//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionSmileVolatilities test1 = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, SMILE_TERM);
coverImmutableBean(test1);
BlackFxOptionSmileVolatilities test2 = BlackFxOptionSmileVolatilities.of(FxOptionVolatilitiesName.of("Boo"), CURRENCY_PAIR.inverse(), ZonedDateTime.of(2015, 12, 21, 11, 15, 0, 0, ZoneId.of("Z")), SMILE_TERM);
coverBeanEquals(test1, test2);
}
/// <summary>
/// Creates volatility provider with term structure of smile parameters.
/// <para>
/// The number of time slices are 6, and the day count convention is ACT/365F.
///
/// </para>
/// </summary>
/// <param name="dateTime"> the valuation date time </param>
/// <returns> the volatility provider </returns>
public static BlackFxOptionSmileVolatilities createVolatilitySmileProvider6(ZonedDateTime dateTime)
{
return(BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, dateTime, SMILE_TERM_6));
}
//-------------------------------------------------------------------------
// bumping a node point at (nodeExpiry, nodeDelta)
private double nodeSensitivity(BlackFxOptionSmileVolatilities provider, CurrencyPair pair, ZonedDateTime expiry, double strike, double forward, double nodeExpiry, double nodeDelta)
{
double strikeMod = provider.CurrencyPair.Equals(pair) ? strike : 1.0 / strike;
double forwardMod = provider.CurrencyPair.Equals(pair) ? forward : 1.0 / forward;
InterpolatedStrikeSmileDeltaTermStructure smileTerm = (InterpolatedStrikeSmileDeltaTermStructure)provider.Smile;
double[] times = smileTerm.Expiries.toArray();
int nTimes = times.Length;
SmileDeltaParameters[] volTermUp = new SmileDeltaParameters[nTimes];
SmileDeltaParameters[] volTermDw = new SmileDeltaParameters[nTimes];
int deltaIndex = -1;
for (int i = 0; i < nTimes; ++i)
{
DoubleArray deltas = smileTerm.VolatilityTerm.get(i).Delta;
int nDeltas = deltas.size();
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal];
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j)
{
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
double[] volsUp = smileTerm.VolatilityTerm.get(i).Volatility.toArray();
double[] volsDw = smileTerm.VolatilityTerm.get(i).Volatility.toArray();
if (Math.Abs(times[i] - nodeExpiry) < TOLERANCE)
{
for (int j = 0; j < nDeltasTotal; ++j)
{
if (Math.Abs(deltasTotal[j] - nodeDelta) < TOLERANCE)
{
deltaIndex = j;
volsUp[j] += EPS;
volsDw[j] -= EPS;
}
}
}
volTermUp[i] = SmileDeltaParameters.of(times[i], deltas, DoubleArray.copyOf(volsUp));
volTermDw[i] = SmileDeltaParameters.of(times[i], deltas, DoubleArray.copyOf(volsDw));
}
InterpolatedStrikeSmileDeltaTermStructure smileTermUp = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volTermUp), ACT_365F);
InterpolatedStrikeSmileDeltaTermStructure smileTermDw = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volTermDw), ACT_365F);
BlackFxOptionSmileVolatilities provUp = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, smileTermUp);
BlackFxOptionSmileVolatilities provDw = BlackFxOptionSmileVolatilities.of(NAME, CURRENCY_PAIR, VAL_DATE_TIME, smileTermDw);
double volUp = provUp.volatility(pair, expiry, strike, forward);
double volDw = provDw.volatility(pair, expiry, strike, forward);
double totalSensi = 0.5 * (volUp - volDw) / EPS;
double expiryTime = provider.relativeTime(expiry);
SmileDeltaParameters singleSmile = smileTerm.smileForExpiry(expiryTime);
double[] strikesUp = singleSmile.strike(forwardMod).toArray();
double[] strikesDw = strikesUp.Clone();
double[] vols = singleSmile.Volatility.toArray();
strikesUp[deltaIndex] += EPS;
strikesDw[deltaIndex] -= EPS;
double volStrikeUp = LINEAR.bind(DoubleArray.ofUnsafe(strikesUp), DoubleArray.ofUnsafe(vols), FLAT, FLAT).interpolate(strikeMod);
double volStrikeDw = LINEAR.bind(DoubleArray.ofUnsafe(strikesDw), DoubleArray.ofUnsafe(vols), FLAT, FLAT).interpolate(strikeMod);
double sensiStrike = 0.5 * (volStrikeUp - volStrikeDw) / EPS;
SmileDeltaParameters singleSmileUp = smileTermUp.smileForExpiry(expiryTime);
double strikeUp = singleSmileUp.strike(forwardMod).get(deltaIndex);
SmileDeltaParameters singleSmileDw = smileTermDw.smileForExpiry(expiryTime);
double strikeDw = singleSmileDw.strike(forwardMod).get(deltaIndex);
double sensiVol = 0.5 * (strikeUp - strikeDw) / EPS;
return(totalSensi - sensiStrike * sensiVol);
}
