public virtual void test_recovery_normal_fixedRho()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition definition = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedRho(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, 0.0, CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT, SabrHaganVolatilityFunctionProvider.DEFAULT);
RawOptionData data = RawOptionData.of(createNormalEquivMaturities(), createNormalEquivStrikes(), ValueType.STRIKE, createFullNormalEquivDataMatrix(), ValueType.NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
SabrParametersIborCapletFloorletVolatilities resVols = (SabrParametersIborCapletFloorletVolatilities)res.Volatilities;
for (int i = 1; i < NUM_BLACK_STRIKES; ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalEquivVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_SABR.presentValue(caps[j], RATES_PROVIDER, resVols).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL * 3d);
}
}
assertTrue(res.ChiSquare > 0d);
assertEquals(resVols.Index, USD_LIBOR_3M);
assertEquals(resVols.Name, definition.Name);
assertEquals(resVols.ValuationDateTime, CALIBRATION_TIME);
}
public virtual void recovery_test_normal_shift_fixedRho()
{
double shift = 0.02;
DoubleArray initial = DoubleArray.of(0.05, 0.35, 0.0, 0.9);
SabrIborCapletFloorletVolatilityCalibrationDefinition definition = SabrIborCapletFloorletVolatilityCalibrationDefinition.ofFixedRho(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, shift, ALPHA_KNOTS, BETA_RHO_KNOTS, NU_KNOTS, initial, DOUBLE_QUADRATIC, FLAT, FLAT, HAGAN);
ImmutableList <Period> maturities = createNormalEquivMaturities();
DoubleArray strikes = createNormalEquivStrikes();
DoubleMatrix volData = createFullNormalEquivDataMatrix();
DoubleMatrix error = DoubleMatrix.filled(volData.rowCount(), volData.columnCount(), 1.0e-3);
RawOptionData data = RawOptionData.of(maturities, strikes, ValueType.STRIKE, volData, error, ValueType.NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
SabrIborCapletFloorletVolatilities resVols = (SabrIborCapletFloorletVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalEquivVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_SABR.presentValue(caps[j], RATES_PROVIDER, resVols).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL * 5d);
}
}
}
public virtual void recovery_test_normal2_shift()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC, ConstantCurve.of("Black shift", 0.02));
DoubleArray strikes = createNormalEquivStrikes();
RawOptionData data = RawOptionData.of(createNormalEquivMaturities(), strikes, ValueType.STRIKE, createFullNormalEquivDataMatrix(), ValueType.NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities resVol = (ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalEquivVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
assertEquals(res.ChiSquare, 0d);
}
public virtual void recovery_test_normalToBlack()
{
double lambdaT = 0.07;
double lambdaK = 0.07;
double error = 1.0e-5;
ConstantCurve shiftCurve = ConstantCurve.of("Black shift", 0.02);
DirectIborCapletFloorletVolatilityDefinition definition = DirectIborCapletFloorletVolatilityDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, lambdaT, lambdaK, INTERPOLATOR, shiftCurve);
ImmutableList <Period> maturities = createNormalEquivMaturities();
DoubleArray strikes = createNormalEquivStrikes();
DoubleMatrix errorMatrix = DoubleMatrix.filled(maturities.size(), strikes.size(), error);
RawOptionData data = RawOptionData.of(maturities, strikes, STRIKE, createFullNormalEquivDataMatrix(), errorMatrix, NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities resVol = (ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalEquivVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
for (int k = 0; k < NB_TEST; k++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
IborCapletFloorletSensitivity point = IborCapletFloorletSensitivity.of(IborCapletFloorletVolatilitiesName.of(NAME), expiryTime, TEST_STRIKE[k], TEST_FORWARD, GBP, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivity sensActual = VOLS.parameterSensitivity(point).Sensitivities.get(0);
DoubleArray computed = sensActual.Sensitivity;
for (int j = 0; j < nData; ++j)
{
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataDw, INTERPOLATOR_2D);
NormalIborCapletFloorletExpiryStrikeVolatilities provUp = NormalIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramUp);
NormalIborCapletFloorletExpiryStrikeVolatilities provDw = NormalIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[k], TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed.get(j), fd * TEST_SENSITIVITY[i], eps);
}
}
}
}
private System.Func <Surface, IborCapletFloorletVolatilities> normalVolatilitiesFunction(IborIndex index, ZonedDateTime calibrationDateTime)
{
System.Func <Surface, IborCapletFloorletVolatilities> func = (Surface s) =>
{
return(NormalIborCapletFloorletExpiryStrikeVolatilities.of(index, calibrationDateTime, s));
};
return(func);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
NormalIborCapletFloorletExpiryStrikeVolatilities other = (NormalIborCapletFloorletExpiryStrikeVolatilities)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) && JodaBeanUtils.equal(surface, other.surface));
}
return(false);
}
private void testSurfaceSensitivity(CurrencyParameterSensitivity computed, NormalIborCapletFloorletExpiryStrikeVolatilities vols, System.Func <IborCapletFloorletVolatilities, CurrencyAmount> valueFn)
{
double pvBase = valueFn(vols).Amount;
InterpolatedNodalSurface surfaceBase = (InterpolatedNodalSurface)vols.Surface;
int nParams = surfaceBase.ParameterCount;
for (int i = 0; i < nParams; ++i)
{
DoubleArray zBumped = surfaceBase.ZValues.with(i, surfaceBase.ZValues.get(i) + EPS_FD);
InterpolatedNodalSurface surfaceBumped = surfaceBase.withZValues(zBumped);
NormalIborCapletFloorletExpiryStrikeVolatilities volsBumped = NormalIborCapletFloorletExpiryStrikeVolatilities.of(vols.Index, vols.ValuationDateTime, surfaceBumped);
double fd = (valueFn(volsBumped).Amount - pvBase) / EPS_FD;
assertEquals(computed.Sensitivity.get(i), fd, NOTIONAL * EPS_FD);
}
}
public virtual void recovery_test_normalFlat()
{
double lambdaT = 0.01;
double lambdaK = 0.01;
double error = 1.0e-3;
DirectIborCapletFloorletVolatilityDefinition definition = DirectIborCapletFloorletVolatilityDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, lambdaT, lambdaK, INTERPOLATOR);
ImmutableList <Period> maturities = createBlackMaturities();
DoubleArray strikes = createBlackStrikes();
DoubleMatrix errorMatrix = DoubleMatrix.filled(maturities.size(), strikes.size(), error);
RawOptionData data = RawOptionData.of(maturities, strikes, STRIKE, createFullFlatBlackDataMatrix(), errorMatrix, NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
NormalIborCapletFloorletExpiryStrikeVolatilities resVol = (NormalIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
Surface resSurface = resVol.Surface;
int nParams = resSurface.ParameterCount;
for (int i = 0; i < nParams; ++i)
{
assertEquals(resSurface.getParameter(i), 0.5, 1.0e-12);
}
}
public virtual void recovery_test_normal1()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
DoubleArray strikes = createNormalStrikes();
RawOptionData data = RawOptionData.of(createNormalMaturities(), strikes, ValueType.STRIKE, createFullNormalDataMatrix(), ValueType.NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
NormalIborCapletFloorletExpiryStrikeVolatilities resVol = (NormalIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
assertEquals(res.ChiSquare, 0d);
assertEquals(res.ChiSquare, 0d);
assertEquals(resVol.Index, USD_LIBOR_3M);
assertEquals(resVol.Name, definition.Name);
assertEquals(resVol.ValuationDateTime, CALIBRATION_TIME);
InterpolatedNodalSurface surface = (InterpolatedNodalSurface)resVol.Surface;
for (int i = 0; i < surface.ParameterCount; ++i)
{
GenericVolatilitySurfacePeriodParameterMetadata metadata = (GenericVolatilitySurfacePeriodParameterMetadata)surface.getParameterMetadata(i);
assertEquals(metadata.Strike.Value, surface.YValues.get(i));
}
}
/// <summary>
/// Creates volatilities provider with specified date and index.
/// </summary>
/// <param name="valuationDate"> the valuation date </param>
/// <param name="index"> the index </param>
/// <returns> the volatilities provider </returns>
public static NormalIborCapletFloorletExpiryStrikeVolatilities createNormalVolatilities(ZonedDateTime valuationDate, IborIndex index)
{
return(NormalIborCapletFloorletExpiryStrikeVolatilities.of(index, valuationDate, NORMAL_SURFACE_EXP_STR));
}
