public virtual void implied_volatility_adjoint()
{
double shiftFd = 1.0E-6;
for (int i = 0; i < N; i++)
{
double impliedVol = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
ValueDerivatives impliedVolAdj = NormalFormulaRepository.impliedVolatilityFromBlackApproximatedAdjoint(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
assertEquals(impliedVolAdj.Value, impliedVol, TOLERANCE_VOL);
double impliedVolP = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] + shiftFd);
double impliedVolM = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] - shiftFd);
double derivativeApproximated = (impliedVolP - impliedVolM) / (2 * shiftFd);
assertEquals(impliedVolAdj.Derivatives.size(), 1);
assertEquals(impliedVolAdj.getDerivative(0), derivativeApproximated, TOLERANCE_VOL);
}
}
