private void testPriceSensitivityBlackVolatility(CurrencyParameterSensitivities computed, System.Func <BlackBondFutureVolatilities, double> valueFn)
{
IList <ParameterMetadata> list = computed.Sensitivities.get(0).ParameterMetadata;
int nVol = VOL.size();
assertEquals(list.Count, nVol);
for (int i = 0; i < nVol; ++i)
{
double[] volUp = Arrays.copyOf(VOL.toArray(), nVol);
double[] volDw = Arrays.copyOf(VOL.toArray(), nVol);
volUp[i] += EPS;
volDw[i] -= EPS;
InterpolatedNodalSurface sfUp = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volUp), INTERPOLATOR_2D);
InterpolatedNodalSurface sfDw = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volDw), INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, sfUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, sfDw);
double expected = 0.5 * (valueFn(provUp) - valueFn(provDw)) / EPS;
int index = -1;
for (int j = 0; j < nVol; ++j)
{
GenericVolatilitySurfaceYearFractionParameterMetadata meta = (GenericVolatilitySurfaceYearFractionParameterMetadata)list[j];
if (meta.YearFraction == TIME.get(i) && meta.Strike.Value == MONEYNESS.get(i))
{
index = j;
continue;
}
}
assertEquals(computed.Sensitivities.get(0).Sensitivity.get(index), expected, EPS);
}
}
static ShiftedBlackIborCapletFloorletExpiryStrikeVolatilitiesTest()
{
IList <GenericVolatilitySurfaceYearFractionParameterMetadata> list = new List <GenericVolatilitySurfaceYearFractionParameterMetadata>();
int nData = TIME.size();
for (int i = 0; i < nData; ++i)
{
GenericVolatilitySurfaceYearFractionParameterMetadata parameterMetadata = GenericVolatilitySurfaceYearFractionParameterMetadata.of(TIME.get(i), SimpleStrike.of(STRIKE.get(i)));
list.Add(parameterMetadata);
}
METADATA = Surfaces.blackVolatilityByExpiryStrike("CAP_VOL", ACT_365F).withParameterMetadata(list);
}
static BlackBondFutureOptionMarginedProductPricerTest()
{
IList <GenericVolatilitySurfaceYearFractionParameterMetadata> list = new List <GenericVolatilitySurfaceYearFractionParameterMetadata>();
int nData = TIME.size();
for (int i = 0; i < nData; ++i)
{
GenericVolatilitySurfaceYearFractionParameterMetadata parameterMetadata = GenericVolatilitySurfaceYearFractionParameterMetadata.of(TIME.get(i), LogMoneynessStrike.of(MONEYNESS.get(i)));
list.Add(parameterMetadata);
}
METADATA = DefaultSurfaceMetadata.builder().surfaceName(SurfaceName.of("GOVT1-BOND-FUT-VOL")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.LOG_MONEYNESS).zValueType(ValueType.BLACK_VOLATILITY).parameterMetadata(list).dayCount(ACT_365F).build();
}
//-------------------------------------------------------------------------
private static ImmutableList <ParameterMetadata> createParameterMetadata(double expiry, DoubleArray delta)
{
ArgChecker.notNull(delta, "delta");
int nbDelta = delta.size();
ParameterMetadata[] parameterMetadata = new ParameterMetadata[2 * nbDelta + 1];
parameterMetadata[nbDelta] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(0.5d));
for (int i = 0; i < nbDelta; i++)
{
parameterMetadata[i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(1d - delta.get(i))); // Put
parameterMetadata[2 * nbDelta - i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(delta.get(i))); // Call
}
return(ImmutableList.copyOf(parameterMetadata));
}
