public virtual void test_getter() { assertEquals(VOLS.ValuationDate, VAL_DATE); assertEquals(VOLS.Index, GBP_LIBOR_3M); assertEquals(VOLS.Surface, SURFACE); assertEquals(VOLS.ParameterCount, TIME.size()); assertEquals(VOLS.findData(CURVE.Name).get(), CURVE); assertEquals(VOLS.findData(SURFACE.Name).get(), SURFACE); assertFalse(VOLS.findData(CurveName.of("foo")).Present); int nParams = VOLS.ParameterCount; double newValue = 152d; for (int i = 0; i < nParams; ++i) { assertEquals(VOLS.getParameter(i), SURFACE.getParameter(i)); assertEquals(VOLS.getParameterMetadata(i), SURFACE.getParameterMetadata(i)); assertEquals(VOLS.withParameter(i, newValue), ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, SURFACE.withParameter(i, newValue), CURVE)); assertEquals(VOLS.withPerturbation((n, v, m) => 2d * v), ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(GBP_LIBOR_3M, VAL_DATE_TIME, SURFACE.withPerturbation((n, v, m) => 2d * v), CURVE)); } }
public virtual void recovery_test_blackSurface_shift() { SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, LINEAR, ConstantCurve.of("Black shift", 0.02)); DoubleArray strikes = createBlackStrikes(); RawOptionData data = RawOptionData.of(createBlackMaturities(), strikes, ValueType.STRIKE, createFullBlackDataMatrix(), ValueType.BLACK_VOLATILITY); IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER); ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities resVol = (ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities; for (int i = 0; i < strikes.size(); ++i) { Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsBlackVols(i); IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First; IList <double> vols = capsAndVols.Second; int nCaps = caps.Count; for (int j = 0; j < nCaps; ++j) { ConstantSurface volSurface = ConstantSurface.of(Surfaces.blackVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]); BlackIborCapletFloorletExpiryStrikeVolatilities constVol = BlackIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface); double priceOrg = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, constVol).Amount; double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount; assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL); } } assertEquals(res.ChiSquare, 0d); assertEquals(resVol.Index, USD_LIBOR_3M); assertEquals(resVol.Name, definition.Name); assertEquals(resVol.ValuationDateTime, CALIBRATION_TIME); assertEquals(resVol.ShiftCurve, definition.ShiftCurve.get()); InterpolatedNodalSurface surface = (InterpolatedNodalSurface)resVol.Surface; for (int i = 0; i < surface.ParameterCount; ++i) { GenericVolatilitySurfacePeriodParameterMetadata metadata = (GenericVolatilitySurfacePeriodParameterMetadata)surface.getParameterMetadata(i); assertEquals(metadata.Strike.Value + 0.02, surface.YValues.get(i)); } }