//-------------------------------------------------------------------------
public virtual void coverage()
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test1 = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS);
coverImmutableBean(test1);
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test2 = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(2.5d, 60d, "(2.5, 60)");
coverBeanEquals(test1, test2);
}
public virtual void test_of_noLabel()
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS));
assertEquals(test.Label, Pair.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS).ToString());
assertEquals(test.SimpleMoneyness, SIMPLE_MONEYNESS);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_of_withLabel()
{
string label = "(1.5Y, 0.25)";
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS, label);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS));
assertEquals(test.Label, label);
assertEquals(test.SimpleMoneyness, SIMPLE_MONEYNESS);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
static NormalSwaptionExpirySimpleMoneynessVolatilitiesTest()
{
IList <SwaptionSurfaceExpirySimpleMoneynessParameterMetadata> list = new List <SwaptionSurfaceExpirySimpleMoneynessParameterMetadata>();
int nData = TIME.size();
for (int i = 0; i < nData; ++i)
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata parameterMetadata = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME.get(i), SIMPLE_MONEYNESS.get(i));
list.Add(parameterMetadata);
}
METADATA = Surfaces.normalVolatilityByExpirySimpleMoneyness("GOVT1-SWAPTION-VOL", ACT_365F, MoneynessType.RATES).withParameterMetadata(list);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata other = (SwaptionSurfaceExpirySimpleMoneynessParameterMetadata)obj;
return(JodaBeanUtils.equal(yearFraction, other.yearFraction) && JodaBeanUtils.equal(simpleMoneyness, other.simpleMoneyness) && JodaBeanUtils.equal(label, other.label));
}
return(false);
}
public virtual void test_builder_noLabel()
{
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: org.joda.beans.BeanBuilder<? extends SwaptionSurfaceExpirySimpleMoneynessParameterMetadata> builder = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.meta().builder();
BeanBuilder <SwaptionSurfaceExpirySimpleMoneynessParameterMetadata> builder = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.meta().builder();
Pair <double, double> pair = Pair.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS);
builder.set(SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.meta().yearFraction(), TIME_TO_EXPIRY);
builder.set(SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.meta().simpleMoneyness(), SIMPLE_MONEYNESS);
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test = builder.build();
assertEquals(test.Identifier, pair);
assertEquals(test.Label, pair.ToString());
assertEquals(test.SimpleMoneyness, SIMPLE_MONEYNESS);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
SwaptionSensitivity point = SwaptionSensitivity.of(VOLS.Name, expiryTime, TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i], GBP, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivities sensActual = VOLS.parameterSensitivity(point);
CurrencyParameterSensitivity sensi = sensActual.getSensitivity(SURFACE.Name, GBP);
DoubleArray computed = sensi.Sensitivity;
IDictionary <DoublesPair, double> map = new Dictionary <DoublesPair, double>();
for (int j = 0; j < nData; ++j)
{
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, SIMPLE_MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, SIMPLE_MONEYNESS, volDataDw, INTERPOLATOR_2D);
NormalSwaptionExpirySimpleMoneynessVolatilities provUp = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE_TIME, paramUp);
NormalSwaptionExpirySimpleMoneynessVolatilities provDw = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i]);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i]);
double fd = 0.5 * (volUp - volDw) / eps;
map[DoublesPair.of(TIME.get(j), SIMPLE_MONEYNESS.get(j))] = fd;
}
IList <ParameterMetadata> list = sensi.ParameterMetadata;
assertEquals(computed.size(), nData);
for (int j = 0; j < list.Count; ++j)
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata metadata = (SwaptionSurfaceExpirySimpleMoneynessParameterMetadata)list[i];
double expected = map[DoublesPair.of(metadata.YearFraction, metadata.SimpleMoneyness)];
assertEquals(computed.get(i), expected, eps);
}
}
}
public virtual void test_serialization()
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata test = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME_TO_EXPIRY, SIMPLE_MONEYNESS);
assertSerialization(test);
}
