public virtual void getter()
{
assertEquals(PARAMETERS.AlphaCurve, ALPHA_CURVE);
assertEquals(PARAMETERS.BetaCurve, BETA_CURVE);
assertEquals(PARAMETERS.RhoCurve, RHO_CURVE);
assertEquals(PARAMETERS.NuCurve, NU_CURVE);
assertEquals(PARAMETERS.SabrVolatilityFormula, FORMULA);
assertEquals(PARAMETERS.ShiftCurve.Name, CurveName.of("Zero shift"));
assertEquals(PARAMETERS.DayCount, ACT_ACT_ISDA);
assertEquals(PARAMETERS.ParameterCount, 9);
double expiry = 2.0;
double alpha = ALPHA_CURVE.yValue(expiry);
double beta = BETA_CURVE.yValue(expiry);
double rho = RHO_CURVE.yValue(expiry);
double nu = NU_CURVE.yValue(expiry);
assertEquals(PARAMETERS.alpha(expiry), alpha);
assertEquals(PARAMETERS.beta(expiry), beta);
assertEquals(PARAMETERS.rho(expiry), rho);
assertEquals(PARAMETERS.nu(expiry), nu);
double strike = 1.1;
double forward = 1.05;
assertEquals(PARAMETERS.volatility(expiry, strike, forward), FORMULA.volatility(forward, strike, expiry, alpha, beta, rho, nu));
double[] adjCmp = PARAMETERS.volatilityAdjoint(expiry, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward, strike, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 6; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
for (int i = 0; i < 9; ++i)
{
if (i < 2)
{
assertEquals(PARAMETERS.getParameterMetadata(i), ALPHA_CURVE.getParameterMetadata(i));
assertEquals(PARAMETERS.getParameter(i), ALPHA_CURVE.getParameter(i));
}
else if (i < 4)
{
assertEquals(PARAMETERS.getParameterMetadata(i), BETA_CURVE.getParameterMetadata(i - 2));
assertEquals(PARAMETERS.getParameter(i), BETA_CURVE.getParameter(i - 2));
}
else if (i < 6)
{
assertEquals(PARAMETERS.getParameterMetadata(i), RHO_CURVE.getParameterMetadata(i - 4));
assertEquals(PARAMETERS.getParameter(i), RHO_CURVE.getParameter(i - 4));
}
else if (i < 8)
{
assertEquals(PARAMETERS.getParameterMetadata(i), NU_CURVE.getParameterMetadata(i - 6));
assertEquals(PARAMETERS.getParameter(i), NU_CURVE.getParameter(i - 6));
}
else
{
assertEquals(PARAMETERS.getParameterMetadata(i), ParameterMetadata.empty());
assertEquals(PARAMETERS.getParameter(i), 0d);
}
}
}
public virtual void perturbation()
{
SabrParameters test = PARAMETERS.withPerturbation((i, v, m) => (2d + i) * v);
SabrParameters expected = PARAMETERS;
for (int i = 0; i < PARAMETERS.ParameterCount; ++i)
{
expected = expected.withParameter(i, (2d + i) * expected.getParameter(i));
}
assertEquals(test, expected);
}