//-------------------------------------------------------------------------
public virtual void coverage()
{
SwaptionSurfaceExpiryTenorParameterMetadata test1 = SwaptionSurfaceExpiryTenorParameterMetadata.of(TIME_TO_EXPIRY, TENOR);
coverImmutableBean(test1);
SwaptionSurfaceExpiryTenorParameterMetadata test2 = SwaptionSurfaceExpiryTenorParameterMetadata.of(2.5d, 60d, "(2.5, 60)");
coverBeanEquals(test1, test2);
}
public virtual void test_of_noLabel()
{
SwaptionSurfaceExpiryTenorParameterMetadata test = SwaptionSurfaceExpiryTenorParameterMetadata.of(TIME_TO_EXPIRY, TENOR);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, TENOR));
assertEquals(test.Label, Pair.of(TIME_TO_EXPIRY, TENOR).ToString());
assertEquals(test.Tenor, TENOR);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_of_withLabel()
{
string label = "(1.5Y, 36M)";
SwaptionSurfaceExpiryTenorParameterMetadata test = SwaptionSurfaceExpiryTenorParameterMetadata.of(TIME_TO_EXPIRY, TENOR, label);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, TENOR));
assertEquals(test.Label, label);
assertEquals(test.Tenor, TENOR);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
static BlackSwaptionExpiryTenorVolatilitiesTest()
{
IList<SwaptionSurfaceExpiryTenorParameterMetadata> list = new List<SwaptionSurfaceExpiryTenorParameterMetadata>();
int nData = TIME.size();
for (int i = 0; i < nData; ++i)
{
SwaptionSurfaceExpiryTenorParameterMetadata parameterMetadata = SwaptionSurfaceExpiryTenorParameterMetadata.of(TIME.get(i), TENOR.get(i));
list.Add(parameterMetadata);
}
METADATA = Surfaces.blackVolatilityByExpiryTenor("GOVT1-SWAPTION-VOL", ACT_365F).withParameterMetadata(list);
}
static SwaptionSabrRateVolatilityDataSet()
{
for (int i = 0; i < EXPIRY_NODE_USD.Length; ++i)
{
SwaptionSurfaceExpiryTenorParameterMetadata @base = SwaptionSurfaceExpiryTenorParameterMetadata.of(EXPIRY_NODE_USD[i], TENOR_NODE_USD[i]);
ALPHA_PARAM_METADATA.Add(LabelParameterMetadata.of("Alpha, " + @base.Label));
BETA_PARAM_METADATA.Add(LabelParameterMetadata.of("Beta, " + @base.Label));
RHO_PARAM_METADATA.Add(LabelParameterMetadata.of("Rho, " + @base.Label));
NU_PARAM_METADATA.Add(LabelParameterMetadata.of("Nu, " + @base.Label));
}
int n = BETA_TENOR_NODE_EUR.Length;
PARAMETER_META_LIST_EUR = new List <ParameterMetadata>(n);
for (int i = 0; i < n; ++i)
{
PARAMETER_META_LIST_EUR.Add(SwaptionSurfaceExpiryTenorParameterMetadata.of(BETA_EXPIRY_NODE_EUR[i], BETA_TENOR_NODE_EUR[i]));
}
}
public virtual void regressionPvSurfaceSensi()
{
PointSensitivities pointComputed = SWAPTION_PRICER.presentValueSensitivityModelParamsSabr(SWAPTION_PAY_LONG, RATE_PROVIDER, VOLS_REGRESSION).build();
assertSensitivity(pointComputed, SabrParameterType.ALPHA, 6.5786313367554754E7, REGRESSION_TOL);
assertSensitivity(pointComputed, SabrParameterType.BETA, -1.2044275797229866E7, REGRESSION_TOL);
assertSensitivity(pointComputed, SabrParameterType.RHO, 266223.51118849067, REGRESSION_TOL);
assertSensitivity(pointComputed, SabrParameterType.NU, 400285.5505271345, REGRESSION_TOL);
CurrencyParameterSensitivities sensiComputed = VOLS_REGRESSION.parameterSensitivity(pointComputed);
double[][] alphaExp = new double[][]
{
new double[] { 0.0, 1.0, 0.0 },
new double[] { 0.5, 1.0, 0.0 },
new double[] { 1.0, 1.0, 0.0 },
new double[] { 2.0, 1.0, 0.0 },
new double[] { 5.0, 1.0, 0.0 },
new double[] { 10.0, 1.0, 0.0 },
new double[] { 0.0, 5.0, 0.0 },
new double[] { 0.5, 5.0, 0.0 },
new double[] { 1.0, 5.0, 6204.475194599179 },
new double[] { 2.0, 5.0, 3.94631212984123E7 },
new double[] { 5.0, 5.0, 0.0 },
new double[] { 10.0, 5.0, 0.0 },
new double[] { 0.0, 10.0, 0.0 },
new double[] { 0.5, 10.0, 0.0 },
new double[] { 1.0, 10.0, 4136.961894403858 },
new double[] { 2.0, 10.0, 2.631285063205345E7 },
new double[] { 5.0, 10.0, 0.0 },
new double[] { 10.0, 10.0, 0.0 }
};
double[][] betaExp = new double[][]
{
new double[] { 0.0, 1.0, -0.0 },
new double[] { 0.5, 1.0, -0.0 },
new double[] { 1.0, 1.0, -0.0 },
new double[] { 2.0, 1.0, -0.0 },
new double[] { 5.0, 1.0, -0.0 },
new double[] { 10.0, 1.0, -0.0 },
new double[] { 0.0, 5.0, -0.0 },
new double[] { 0.5, 5.0, -0.0 },
new double[] { 1.0, 5.0, -1135.926404680998 },
new double[] { 2.0, 5.0, -7224978.759366533 },
new double[] { 5.0, 5.0, -0.0 },
new double[] { 10.0, 5.0, -0.0 },
new double[] { 0.0, 10.0, -0.0 },
new double[] { 0.5, 10.0, -0.0 },
new double[] { 1.0, 10.0, -757.402375482629 },
new double[] { 2.0, 10.0, -4817403.70908317 },
new double[] { 5.0, 10.0, -0.0 },
new double[] { 10.0, 10.0, -0.0 }
};
double[][] rhoExp = new double[][]
{
new double[] { 0.0, 1.0, 0.0 },
new double[] { 0.5, 1.0, 0.0 },
new double[] { 1.0, 1.0, 0.0 },
new double[] { 2.0, 1.0, 0.0 },
new double[] { 5.0, 1.0, 0.0 },
new double[] { 10.0, 1.0, 0.0 },
new double[] { 0.0, 5.0, 0.0 },
new double[] { 0.5, 5.0, 0.0 },
new double[] { 1.0, 5.0, 25.10821912392996 },
new double[] { 2.0, 5.0, 159699.03429338703 },
new double[] { 5.0, 5.0, 0.0 },
new double[] { 10.0, 5.0, 0.0 },
new double[] { 0.0, 10.0, 0.0 },
new double[] { 0.5, 10.0, 0.0 },
new double[] { 1.0, 10.0, 16.741423326578513 },
new double[] { 2.0, 10.0, 106482.62725265314 },
new double[] { 5.0, 10.0, 0.0 },
new double[] { 10.0, 10.0, 0.0 }
};
double[][] nuExp = new double[][]
{
new double[] { 0.0, 1.0, 0.0 },
new double[] { 0.5, 1.0, 0.0 },
new double[] { 1.0, 1.0, 0.0 },
new double[] { 2.0, 1.0, 0.0 },
new double[] { 5.0, 1.0, 0.0 },
new double[] { 10.0, 1.0, 0.0 },
new double[] { 0.0, 5.0, 0.0 },
new double[] { 0.5, 5.0, 0.0 },
new double[] { 1.0, 5.0, 37.751952372314484 },
new double[] { 2.0, 5.0, 240118.59649585965 },
new double[] { 5.0, 5.0, 0.0 },
new double[] { 10.0, 5.0, 0.0 },
new double[] { 0.0, 10.0, 0.0 },
new double[] { 0.5, 10.0, 0.0 },
new double[] { 1.0, 10.0, 25.171893432592533 },
new double[] { 2.0, 10.0, 160104.03018547 },
new double[] { 5.0, 10.0, 0.0 },
new double[] { 10.0, 10.0, 0.0 }
};
double[][][] exps = new double[][][] { alphaExp, betaExp, rhoExp, nuExp };
SurfaceMetadata[] metadata = new SurfaceMetadata[] { SwaptionSabrRateVolatilityDataSet.META_ALPHA, SwaptionSabrRateVolatilityDataSet.META_BETA_USD, SwaptionSabrRateVolatilityDataSet.META_RHO, SwaptionSabrRateVolatilityDataSet.META_NU };
// x-y-value order does not match sorted order in surface, thus sort it
CurrencyParameterSensitivities sensiExpected = CurrencyParameterSensitivities.empty();
for (int i = 0; i < exps.Length; ++i)
{
int size = exps[i].Length;
IDictionary <DoublesPair, double> sensiMap = new SortedDictionary <DoublesPair, double>();
for (int j = 0; j < size; ++j)
{
sensiMap[DoublesPair.of(exps[i][j][0], exps[i][j][1])] = exps[i][j][2];
}
IList <ParameterMetadata> paramMetadata = new List <ParameterMetadata>(size);
IList <double> sensi = new List <double>();
foreach (KeyValuePair <DoublesPair, double> entry in sensiMap.SetOfKeyValuePairs())
{
paramMetadata.Add(SwaptionSurfaceExpiryTenorParameterMetadata.of(entry.Key.First, entry.Key.Second));
sensi.Add(entry.Value);
}
SurfaceMetadata surfaceMetadata = metadata[i].withParameterMetadata(paramMetadata);
sensiExpected = sensiExpected.combinedWith(CurrencyParameterSensitivity.of(surfaceMetadata.SurfaceName, surfaceMetadata.ParameterMetadata.get(), USD, DoubleArray.copyOf(sensi)));
}
testSurfaceParameterSensitivities(sensiComputed, sensiExpected, REGRESSION_TOL * NOTIONAL);
}
public virtual void test_serialization()
{
SwaptionSurfaceExpiryTenorParameterMetadata test = SwaptionSurfaceExpiryTenorParameterMetadata.of(TIME_TO_EXPIRY, TENOR);
assertSerialization(test);
}
