//-------------------------------------------------------------------------
public virtual void test_volatility()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
double expiryTime = VOLS.relativeTime(TEST_EXPIRY[i]);
for (int j = 0; j < NB_STRIKE; ++j)
{
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[j]);
double volComputed = VOLS.volatility(CURRENCY_PAIR, TEST_EXPIRY[i], TEST_STRIKE[j], FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE);
}
}
}
//-------------------------------------------------------------------------
// bumping a node point at (nodeExpiry, nodeStrike)
private double nodeSensitivity(BlackFxOptionSurfaceVolatilities provider, CurrencyPair pair, ZonedDateTime expiry, double strike, double forward, double nodeExpiry, double nodeStrike)
{
NodalSurface surface = (NodalSurface)provider.Surface;
DoubleArray xValues = surface.XValues;
DoubleArray yValues = surface.YValues;
DoubleArray zValues = surface.ZValues;
int nData = xValues.size();
int index = -1;
for (int i = 0; i < nData; ++i)
{
if (Math.Abs(xValues.get(i) - nodeExpiry) < TOLERANCE && Math.Abs(yValues.get(i) - nodeStrike) < TOLERANCE)
{
index = i;
}
}
Surface surfaceUp = surface.withZValues(zValues.with(index, zValues.get(index) + EPS));
Surface surfaceDw = surface.withZValues(zValues.with(index, zValues.get(index) - EPS));
BlackFxOptionSurfaceVolatilities provUp = BlackFxOptionSurfaceVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, surfaceUp);
BlackFxOptionSurfaceVolatilities provDw = BlackFxOptionSurfaceVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, surfaceDw);
double volUp = provUp.volatility(pair, expiry, strike, forward);
double volDw = provDw.volatility(pair, expiry, strike, forward);
return(0.5 * (volUp - volDw) / EPS);
}
