public virtual void test_relativeTime()
{
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
double test1 = prov.relativeTime(DATE_TIME);
assertEquals(test1, 0d);
double test2 = prov.relativeTime(DATE_TIME.plusYears(2));
double test3 = prov.relativeTime(DATE_TIME.minusYears(2));
assertEquals(test2, -test3, 1e-2);
}
private const double TOLERANCE_PRICE_CALIBRATION_LS = 5.0E-4; // Calibration Least Square; result not exact
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void normal_cube()
public virtual void normal_cube()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
double tenor = TENORS.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney]))
{
double strike = parRate + MONEYNESS.get(loopmoney);
double volBlack = calibrated.volatility(expiryDateTime, tenor, strike, parRate);
double priceComputed = BlackFormulaRepository.price(parRate + shift, parRate + MONEYNESS.get(loopmoney) + shift, time, volBlack, true);
double priceNormal = NormalFormulaRepository.price(parRate, parRate + MONEYNESS.get(loopmoney), time, DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney], PutCall.CALL);
assertEquals(priceComputed, priceNormal, TOLERANCE_PRICE_CALIBRATION_LS);
}
}
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(enabled = true) public void log_normal_atm()
public virtual void log_normal_atm()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibratedSmile = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
SabrParametersSwaptionVolatilities calibratedAtm = SABR_CALIBRATION.calibrateAlphaWithAtm(NAME_SABR, calibratedSmile, MULTICURVE, ATM_LOGNORMAL_SIMPLE, TENORS_SIMPLE, EXPIRIES_SIMPLE_2, INTERPOLATOR_2D);
int nbExp = EXPIRIES_SIMPLE_2.size();
int nbTenor = TENORS_SIMPLE.size();
for (int loopexpiry = 0; loopexpiry < nbExp; loopexpiry++)
{
for (int looptenor = 0; looptenor < nbTenor; looptenor++)
{
double tenor = TENORS_SIMPLE.get(looptenor).get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE_2.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS_SIMPLE.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibratedAtm.relativeTime(expiryDateTime);
double volBlack = calibratedAtm.volatility(expiryDateTime, tenor, parRate, parRate);
double priceComputed = calibratedAtm.price(time, tenor, PutCall.CALL, parRate, parRate, volBlack);
double priceBlack = BlackFormulaRepository.price(parRate, parRate, time, DATA_LOGNORMAL_ATM_SIMPLE[looptenor + loopexpiry * nbTenor], true);
assertEquals(priceComputed, priceBlack, TOLERANCE_PRICE_CALIBRATION_ROOT);
}
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValue()
{
CurrencyAmount computedRec = SWAPTION_PRICER.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS);
CurrencyAmount computedPay = SWAPTION_PRICER.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS);
double forward = SWAP_PRICER.parRate(RSWAP_REC, RATE_PROVIDER);
double pvbp = SWAP_PRICER.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), RATE_PROVIDER);
double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, TENOR_YEAR, RATE, forward);
double maturity = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry);
double expectedRec = pvbp * BlackFormulaRepository.price(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility, false);
double expectedPay = -pvbp *BlackFormulaRepository.price(forward + SwaptionSabrRateVolatilityDataSet.SHIFT, RATE + SwaptionSabrRateVolatilityDataSet.SHIFT, maturity, volatility, true);
assertEquals(computedRec.Currency, USD);
assertEquals(computedRec.Amount, expectedRec, NOTIONAL * TOL);
assertEquals(computedPay.Currency, USD);
assertEquals(computedPay.Amount, expectedPay, NOTIONAL * TOL);
}
public virtual void test_parameterSensitivity_multi()
{
double[] points1 = new double[] { 2.24, 3.45, -2.12, -0.56 };
double[] points2 = new double[] { -0.145, 1.01, -5.0, -11.0 };
double[] points3 = new double[] { 1.3, -4.32, 2.1, -7.18 };
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
double expiryTime0 = prov.relativeTime(TEST_OPTION_EXPIRY[0]);
double expiryTime3 = prov.relativeTime(TEST_OPTION_EXPIRY[3]);
for (int i = 0; i < NB_TEST; i++)
{
PointSensitivities sensi1 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], ALPHA, USD, points1[0]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], BETA, USD, points1[1]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], RHO, USD, points1[2]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], NU, USD, points1[3]));
PointSensitivities sensi2 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], ALPHA, USD, points2[0]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], BETA, USD, points2[1]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], RHO, USD, points2[2]), SwaptionSabrSensitivity.of(NAME, expiryTime0, TEST_TENOR[i], NU, USD, points2[3]));
PointSensitivities sensi3 = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], ALPHA, USD, points3[0]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], BETA, USD, points3[1]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], RHO, USD, points3[2]), SwaptionSabrSensitivity.of(NAME, expiryTime3, TEST_TENOR[i], NU, USD, points3[3]));
PointSensitivities sensis = sensi1.combinedWith(sensi2).combinedWith(sensi3).normalized();
CurrencyParameterSensitivities computed = prov.parameterSensitivity(sensis);
CurrencyParameterSensitivities expected = prov.parameterSensitivity(sensi1).combinedWith(prov.parameterSensitivity(sensi2)).combinedWith(prov.parameterSensitivity(sensi3));
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.AlphaSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.AlphaSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.BetaSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.BetaSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.RhoSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.RhoSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.NuSurface.Name, USD).Sensitivity.toArray(), expected.getSensitivity(PARAM.NuSurface.Name, USD).Sensitivity.toArray(), TOLERANCE_VOL);
}
}
public virtual void test_volatility()
{
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
for (int j = 0; j < NB_STRIKE; ++j)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = PARAM.volatility(expiryTime, TEST_TENOR[i], TEST_STRIKE[j], TEST_FORWARD);
double volComputed = prov.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE[j], TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
}
public virtual void test_parameterSensitivity()
{
double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56;
SabrParametersSwaptionVolatilities prov = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]);
PointSensitivities point = PointSensitivities.of(SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], ALPHA, USD, alphaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], BETA, USD, betaSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], RHO, USD, rhoSensi), SwaptionSabrSensitivity.of(NAME, expiryTime, TEST_TENOR[i], NU, USD, nuSensi));
CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point);
UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
UnitParameterSensitivity nuSensitivities = prov.Parameters.NuSurface.zValueParameterSensitivity(expiryTime, TEST_TENOR[i]);
CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_ALPHA.SurfaceName, USD);
CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_BETA_USD.SurfaceName, USD);
CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_RHO.SurfaceName, USD);
CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(SwaptionSabrRateVolatilityDataSet.META_NU.SurfaceName, USD);
DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity;
DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity;
DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity;
DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity;
assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size());
assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size());
assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size());
assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size());
for (int k = 0; k < alphaNodeSensiComputed.size(); ++k)
{
assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < betaNodeSensiComputed.size(); ++k)
{
assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL);
}
for (int k = 0; k < rhoNodeSensiComputed.size(); ++k)
{
assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL);
}
for (int k = 0; k < nuNodeSensiComputed.size(); ++k)
{
assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL);
}
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Runs the calibration of swaptions and print the calibrated smile results on the console.
/// </summary>
/// <param name="args"> -s to use the sparse data, i.e. a cube with missing data points </param>
public static void Main(string[] args)
{
// select data
TenorRawOptionData data = DATA_FULL;
if (args.Length > 0)
{
if (args[0].Equals("-s"))
{
data = DATA_SPARSE;
}
}
Console.WriteLine("Start calibration");
double beta = 0.50;
SurfaceMetadata betaMetadata = DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build();
Surface betaSurface = ConstantSurface.of(betaMetadata, beta);
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift);
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, data, MULTICURVE, betaSurface, shiftSurface);
Console.WriteLine("End calibration");
/* Graph calibration */
int nbStrikesGraph = 50;
double moneyMin = -0.0250;
double moneyMax = +0.0300;
double[] moneyGraph = new double[nbStrikesGraph + 1];
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
moneyGraph[i] = moneyMin + i * (moneyMax - moneyMin) / nbStrikesGraph;
}
//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[][][] strikesGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] strikesGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//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[][][] volLNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volLNGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//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[][][] volNGraph = new double[NB_TENORS][NB_EXPIRIES][nbStrikesGraph + 1];
double[][][] volNGraph = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES, nbStrikesGraph + 1);
//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[][] parRate = new double[NB_TENORS][NB_EXPIRIES];
double[][] parRate = RectangularArrays.ReturnRectangularDoubleArray(NB_TENORS, NB_EXPIRIES);
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
double tenor = TENORS.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
parRate[looptenor][loopexpiry] = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
strikesGraph[looptenor][loopexpiry][i] = parRate[looptenor][loopexpiry] + moneyGraph[i];
volLNGraph[looptenor][loopexpiry][i] = calibrated.volatility(expiryDateTime, tenor, strikesGraph[looptenor][loopexpiry][i], parRate[looptenor][loopexpiry]);
volNGraph[looptenor][loopexpiry][i] = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(parRate[looptenor][loopexpiry] + shift, strikesGraph[looptenor][loopexpiry][i] + shift, time, volLNGraph[looptenor][loopexpiry][i]);
}
}
}
/* Graph export */
string svn = "Moneyness";
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
svn = svn + ", Strike_" + EXPIRIES.get(loopexpiry).ToString() + "x" + TENORS.get(looptenor).ToString() + ", NormalVol_" + EXPIRIES.get(loopexpiry).ToString() + "x" + TENORS.get(looptenor).ToString();
}
}
svn = svn + "\n";
for (int i = 0; i < nbStrikesGraph + 1; i++)
{
svn = svn + moneyGraph[i];
for (int looptenor = 0; looptenor < TENORS.size(); looptenor++)
{
for (int loopexpiry = 0; loopexpiry < EXPIRIES.size(); loopexpiry++)
{
svn = svn + ", " + strikesGraph[looptenor][loopexpiry][i];
svn = svn + ", " + volNGraph[looptenor][loopexpiry][i];
}
}
svn = svn + "\n";
}
Console.WriteLine(svn);
}
/// <summary>
/// Check that the sensitivities of parameters with respect to data is stored in the metadata.
/// Compare the sensitivities to a finite difference approximation.
/// This test is relatively slow as it calibrates the full surface multiple times.
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void log_normal_cube_sensitivity()
public virtual void log_normal_cube_sensitivity()
{
double beta = 1.0;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
double fdShift = 1.0E-5;
SurfaceMetadata alphaMetadata = calibrated.Parameters.AlphaSurface.Metadata;
Optional <IList <ParameterMetadata> > alphaParameterMetadataOption = alphaMetadata.ParameterMetadata;
assertTrue(alphaParameterMetadataOption.Present);
IList <ParameterMetadata> alphaParameterMetadata = alphaParameterMetadataOption.get();
IList <DoubleArray> alphaJacobian = calibrated.DataSensitivityAlpha.get();
SurfaceMetadata rhoMetadata = calibrated.Parameters.RhoSurface.Metadata;
Optional <IList <ParameterMetadata> > rhoParameterMetadataOption = rhoMetadata.ParameterMetadata;
assertTrue(rhoParameterMetadataOption.Present);
IList <ParameterMetadata> rhoParameterMetadata = rhoParameterMetadataOption.get();
IList <DoubleArray> rhoJacobian = calibrated.DataSensitivityRho.get();
SurfaceMetadata nuMetadata = calibrated.Parameters.NuSurface.Metadata;
Optional <IList <ParameterMetadata> > nuParameterMetadataOption = nuMetadata.ParameterMetadata;
assertTrue(nuParameterMetadataOption.Present);
IList <ParameterMetadata> nuParameterMetadata = nuParameterMetadataOption.get();
IList <DoubleArray> nuJacobian = calibrated.DataSensitivityNu.get();
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES.Count; loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS.Count; looptenor++)
{
Tenor tenor = TENORS[looptenor];
double tenorYears = tenor.get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES[loopexpiry]), REF_DATA);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
Pair <DoubleArray, DoubleArray> ds = DATA_SPARSE.getData(tenor).availableSmileAtExpiry(EXPIRIES[loopexpiry]);
if (!ds.First.Empty)
{
int availableDataIndex = 0;
ParameterMetadata alphaPM = alphaParameterMetadata[surfacePointIndex];
assertTrue(alphaPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmAlphaSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)alphaPM;
assertEquals(tenorYears, pmAlphaSabr.Tenor);
assertEquals(time, pmAlphaSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray alphaSensitivityToData = alphaJacobian[surfacePointIndex];
ParameterMetadata rhoPM = rhoParameterMetadata[surfacePointIndex];
assertTrue(rhoPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmRhoSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)rhoPM;
assertEquals(tenorYears, pmRhoSabr.Tenor);
assertEquals(time, pmRhoSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray rhoSensitivityToData = rhoJacobian[surfacePointIndex];
ParameterMetadata nuPM = nuParameterMetadata[surfacePointIndex];
assertTrue(nuPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmNuSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)nuPM;
assertEquals(tenorYears, pmNuSabr.Tenor);
assertEquals(time, pmNuSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray nuSensitivityToData = nuJacobian[surfacePointIndex];
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_LOGNORMAL[looptenor][loopexpiry][loopmoney]))
{
double[] alphaShifted = new double[2];
double[] rhoShifted = new double[2];
double[] nuShifted = new double[2];
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftPoint(TENORS, EXPIRIES, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.BLACK_VOLATILITY, DATA_LOGNORMAL, looptenor, loopexpiry, loopmoney, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, betaSurface, shiftSurface);
alphaShifted[loopsign] = calibratedShifted.Parameters.AlphaSurface.zValue(time, tenorYears);
rhoShifted[loopsign] = calibratedShifted.Parameters.RhoSurface.zValue(time, tenorYears);
nuShifted[loopsign] = calibratedShifted.Parameters.NuSurface.zValue(time, tenorYears);
}
double alphaSensitivityComputed = alphaSensitivityToData.get(availableDataIndex);
double alphaSensitivityExpected = (alphaShifted[1] - alphaShifted[0]) / (2 * fdShift);
checkAcceptable(alphaSensitivityComputed, alphaSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Alpha: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double rhoSensitivityComputed = rhoSensitivityToData.get(availableDataIndex);
double rhoSensitivityExpected = (rhoShifted[1] - rhoShifted[0]) / (2 * fdShift);
checkAcceptable(rhoSensitivityComputed, rhoSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Rho: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double nuSensitivityComputed = nuSensitivityToData.get(availableDataIndex);
double nuSensitivityExpected = (nuShifted[1] - nuShifted[0]) / (2 * fdShift);
checkAcceptable(nuSensitivityComputed, nuSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Nu: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
availableDataIndex++;
}
}
surfacePointIndex++;
}
}
}
}
