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);
}
}
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_formula()
{
CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS);
CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, CALL);
double expectedFloorlet = -NOTIONAL *df *CAPLET_LONG.YearFraction *NormalFormulaRepository.price(forward, STRIKE, expiry, volatility, PUT);
assertEquals(computedCaplet.Currency, EUR);
assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL);
assertEquals(computedFloorlet.Currency, EUR);
assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL);
}
public virtual void test_volatility()
{
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
for (int j = 0; j < NB_TEST; ++j)
{
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[j]);
double volComputed = VOLS.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[j], TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
}