//-------------------------------------------------------------------------
public virtual void test_volatility()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
double expiryTime = VOLS.relativeTime(TEST_EXPIRY[i]);
for (int j = 0; j < NB_STRIKE; ++j)
{
double volExpected = CURVE.yValue(expiryTime);
double volComputed = VOLS.volatility(CURRENCY_PAIR, TEST_EXPIRY[i], TEST_STRIKE[j], FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE);
}
}
}
//-------------------------------------------------------------------------
// bumping a node point at nodeExpiry
private double nodeSensitivity(BlackFxOptionFlatVolatilities provider, CurrencyPair pair, ZonedDateTime expiry, double strike, double forward, double nodeExpiry)
{
NodalCurve curve = (NodalCurve)provider.Curve;
DoubleArray xValues = curve.XValues;
DoubleArray yValues = curve.YValues;
int nData = xValues.size();
int index = -1;
for (int i = 0; i < nData; ++i)
{
if (Math.Abs(xValues.get(i) - nodeExpiry) < TOLERANCE)
{
index = i;
}
}
NodalCurve curveUp = curve.withYValues(yValues.with(index, yValues.get(index) + EPS));
NodalCurve curveDw = curve.withYValues(yValues.with(index, yValues.get(index) - EPS));
BlackFxOptionFlatVolatilities provUp = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, curveUp);
BlackFxOptionFlatVolatilities provDw = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, curveDw);
double volUp = provUp.volatility(pair, expiry, strike, forward);
double volDw = provDw.volatility(pair, expiry, strike, forward);
return(0.5 * (volUp - volDw) / EPS);
}
