//-------------------------------------------------------------------------
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));
}
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();
}