//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
VolatilityAndBucketedSensitivities other = (VolatilityAndBucketedSensitivities)obj;
return(JodaBeanUtils.equal(volatility, other.volatility) && JodaBeanUtils.equal(sensitivities, other.sensitivities));
}
return(false);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
VolatilityAndBucketedSensitivities @object = VolatilityAndBucketedSensitivities.of(VOL, SENSITIVITIES);
assertEquals(VOL, @object.Volatility);
assertEquals(SENSITIVITIES, @object.Sensitivities);
VolatilityAndBucketedSensitivities other = VolatilityAndBucketedSensitivities.of(VOL, DoubleMatrix.of(2, 3, 0.1, 0.2, 0.3, 0.4, 0.5, 0.6));
assertEquals(@object, other);
assertEquals(@object.GetHashCode(), other.GetHashCode());
other = VolatilityAndBucketedSensitivities.of(VOL + 0.01, SENSITIVITIES);
assertFalse(other.Equals(@object));
other = VolatilityAndBucketedSensitivities.of(VOL, SENSITIVITIES2);
assertFalse(other.Equals(@object));
}
/// <summary>
/// Tests the interpolation and its derivative with respect to the data by comparison to finite difference.
/// </summary>
public virtual void volatilityAjoint()
{
double forward = 1.40;
double[] timeToExpiry = new double[] { 0.75, 1.00, 2.50 };
double[] strike = new double[] { 1.50, 1.70, 2.20 };
double[] tolerance = new double[] { 3e-2, 1e-1, 1e-5 };
int nbTest = strike.Length;
double shift = 0.00001;
for (int looptest = 0; looptest < nbTest; looptest++)
{
double vol = SMILE_TERM.volatility(timeToExpiry[looptest], strike[looptest], forward);
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] bucketTest = new double[TIME_TO_EXPIRY.size()][2 * DELTA.size() + 1];
double[][] bucketTest = RectangularArrays.ReturnRectangularDoubleArray(TIME_TO_EXPIRY.size(), 2 * DELTA.size() + 1);
VolatilityAndBucketedSensitivities volComputed = SMILE_TERM.volatilityAndSensitivities(timeToExpiry[looptest], strike[looptest], forward);
DoubleMatrix bucketSensi = volComputed.Sensitivities;
assertEquals(volComputed.Volatility, vol, 1.0E-10, "Smile by delta term structure: volatility adjoint");
SmileDeltaParameters[] volData = new SmileDeltaParameters[TIME_TO_EXPIRY.size()];
double[] volBumped = new double[2 * DELTA.size() + 1];
for (int loopexp = 0; loopexp < TIME_TO_EXPIRY.size(); loopexp++)
{
for (int loopsmile = 0; loopsmile < 2 * DELTA.size() + 1; loopsmile++)
{
Array.Copy(SMILE_TERM.VolatilityTerm.toArray(), 0, volData, 0, TIME_TO_EXPIRY.size());
Array.Copy(SMILE_TERM.VolatilityTerm.get(loopexp).Volatility.toArray(), 0, volBumped, 0, 2 * DELTA.size() + 1);
volBumped[loopsmile] += shift;
volData[loopexp] = SmileDeltaParameters.of(TIME_TO_EXPIRY.get(loopexp), DELTA, DoubleArray.copyOf(volBumped));
InterpolatedStrikeSmileDeltaTermStructure smileTermBumped = InterpolatedStrikeSmileDeltaTermStructure.of(ImmutableList.copyOf(volData), ACT_360);
bucketTest[loopexp][loopsmile] = (smileTermBumped.volatility(timeToExpiry[looptest], strike[looptest], forward) - volComputed.Volatility) / shift;
assertEquals(bucketSensi.get(loopexp, loopsmile), bucketTest[loopexp][loopsmile], tolerance[looptest], "Smile by delta term structure: (test: " + looptest + ") volatility bucket sensitivity " + loopexp + " - " + loopsmile);
}
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void testNullSensitivities()
public virtual void testNullSensitivities()
{
VolatilityAndBucketedSensitivities.of(VOL, null);
}