//-------------------------------------------------------------------------
public virtual void normalVolatilityByExpiryStrike_string()
{
SurfaceMetadata test = Surfaces.normalVolatilityByExpiryStrike(NAME, ACT_360);
SurfaceMetadata expected = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.STRIKE).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(ACT_360).build();
assertEquals(test, expected);
}
public virtual void sabrParameterByExpiryTenor_surfaceName()
{
SurfaceMetadata test = Surfaces.sabrParameterByExpiryTenor(SURFACE_NAME, ACT_360, ValueType.SABR_BETA);
SurfaceMetadata expected = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).dayCount(ACT_360).build();
assertEquals(test, expected);
}
public virtual void blackVolatilityByExpiryLogMoneyness_surfaceName()
{
SurfaceMetadata test = Surfaces.blackVolatilityByExpiryLogMoneyness(SURFACE_NAME, ACT_360);
SurfaceMetadata expected = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.LOG_MONEYNESS).zValueType(ValueType.BLACK_VOLATILITY).dayCount(ACT_360).build();
assertEquals(test, expected);
}
public virtual void normalVolatilityByExpirySimpleMoneyness_surfaceName()
{
SurfaceMetadata test = Surfaces.normalVolatilityByExpirySimpleMoneyness(SURFACE_NAME, ACT_360, MoneynessType.PRICE);
SurfaceMetadata expected = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.SIMPLE_MONEYNESS).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(ACT_360).addInfo(SurfaceInfoType.MONEYNESS_TYPE, MoneynessType.PRICE).build();
assertEquals(test, expected);
}
/// <summary>
/// Creates metadata for a surface providing a SABR expiry-tenor parameter.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="zType"> the z-value type, which must be one of the four SABR values </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata sabrParameterByExpiryTenor(SurfaceName name, DayCount dayCount, ValueType zType)
{
if (!zType.Equals(ValueType.SABR_ALPHA) && !zType.Equals(ValueType.SABR_BETA) && !zType.Equals(ValueType.SABR_RHO) && !zType.Equals(ValueType.SABR_NU))
{
throw new System.ArgumentException("SABR z-value type must be SabrAlpha, SabrBeta, SabrRho or SabrNu");
}
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(zType).dayCount(dayCount).build());
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.of(SURFACE_NAME);
coverImmutableBean(test);
DefaultSurfaceMetadata test2 = DefaultSurfaceMetadata.builder().surfaceName(SurfaceName.of("Test")).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).zValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).parameterMetadata(ParameterMetadata.empty()).build();
coverBeanEquals(test, test2);
}
public virtual void test_builder3()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).parameterMetadata(ImmutableList.of(ParameterMetadata.empty())).clearParameterMetadata().build();
assertThat(test.SurfaceName).isEqualTo(SURFACE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.YValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ZValueType).isEqualTo(ValueType.UNKNOWN);
assertThat(test.ParameterMetadata.Present).False;
}
public virtual void test_builder2()
{
DefaultSurfaceMetadata test = DefaultSurfaceMetadata.builder().surfaceName(SURFACE_NAME).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.DISCOUNT_FACTOR).zValueType(ValueType.ZERO_RATE).dayCount(ACT_365F).addInfo(SurfaceInfoType.DAY_COUNT, null).addInfo(DESCRIPTION, "Hello").parameterMetadata(ImmutableList.of(ParameterMetadata.empty())).build();
assertThat(test.SurfaceName).isEqualTo(SURFACE_NAME);
assertThat(test.XValueType).isEqualTo(ValueType.YEAR_FRACTION);
assertThat(test.YValueType).isEqualTo(ValueType.DISCOUNT_FACTOR);
assertThat(test.ZValueType).isEqualTo(ValueType.ZERO_RATE);
assertThrowsIllegalArg(() => test.getInfo(SurfaceInfoType.DAY_COUNT));
assertThat(test.findInfo(SurfaceInfoType.DAY_COUNT)).Empty;
assertThat(test.getInfo(DESCRIPTION)).isEqualTo("Hello");
assertThat(test.findInfo(DESCRIPTION)).isEqualTo(("Hello"));
assertThat(test.findInfo(SurfaceInfoType.of("Rubbish"))).isEqualTo(null);
assertThat(test.ParameterMetadata.Present).True;
assertThat(test.ParameterMetadata.get()).containsExactly(ParameterMetadata.empty());
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-strike volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent strike
/// The z-values represent Black volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryStrike(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.STRIKE).zValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).build());
}
/// <summary>
/// Creates metadata for a surface providing Normal expiry-simple moneyness volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent simple moneyness.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <param name="moneynessType"> the moneyness type, prices or rates </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpirySimpleMoneyness(SurfaceName name, DayCount dayCount, MoneynessType moneynessType)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.SIMPLE_MONEYNESS).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(dayCount).addInfo(SurfaceInfoType.MONEYNESS_TYPE, moneynessType).build());
}
/// <summary>
/// Creates metadata for a surface providing Normal expiry-tenor volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent tenor year fractions.
/// The z-values represent Normal volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata normalVolatilityByExpiryTenor(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.NORMAL_VOLATILITY).dayCount(dayCount).build());
}
/// <summary>
/// Creates metadata for a surface providing Black expiry-log moneyness volatility.
/// <para>
/// The x-values represent time to expiry year fractions as defined by the specified day count.
/// The y-values represent log-moneyness
/// The z-values represent Black volatility.
///
/// </para>
/// </summary>
/// <param name="name"> the surface name </param>
/// <param name="dayCount"> the day count </param>
/// <returns> the surface metadata </returns>
public static SurfaceMetadata blackVolatilityByExpiryLogMoneyness(SurfaceName name, DayCount dayCount)
{
return(DefaultSurfaceMetadata.builder().surfaceName(name).xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.LOG_MONEYNESS).zValueType(ValueType.BLACK_VOLATILITY).dayCount(dayCount).build());
}
