private void testPriceSensitivityBlackVolatility(CurrencyParameterSensitivities computed, System.Func <BlackBondFutureVolatilities, double> valueFn)
{
IList <ParameterMetadata> list = computed.Sensitivities.get(0).ParameterMetadata;
int nVol = VOL.size();
assertEquals(list.Count, nVol);
for (int i = 0; i < nVol; ++i)
{
double[] volUp = Arrays.copyOf(VOL.toArray(), nVol);
double[] volDw = Arrays.copyOf(VOL.toArray(), nVol);
volUp[i] += EPS;
volDw[i] -= EPS;
InterpolatedNodalSurface sfUp = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volUp), INTERPOLATOR_2D);
InterpolatedNodalSurface sfDw = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volDw), INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, sfUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, sfDw);
double expected = 0.5 * (valueFn(provUp) - valueFn(provDw)) / EPS;
int index = -1;
for (int j = 0; j < nVol; ++j)
{
GenericVolatilitySurfaceYearFractionParameterMetadata meta = (GenericVolatilitySurfaceYearFractionParameterMetadata)list[j];
if (meta.YearFraction == TIME.get(i) && meta.Strike.Value == MONEYNESS.get(i))
{
index = j;
continue;
}
}
assertEquals(computed.Sensitivities.get(0).Sensitivity.get(index), expected, EPS);
}
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
double expiry = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
BondFutureOptionSensitivity point = BondFutureOptionSensitivity.of(VOLS.Name, expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i], USD, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivity sensActual = VOLS.parameterSensitivity(point).Sensitivities.get(0);
double[] computed = sensActual.Sensitivity.toArray();
for (int j = 0; j < nData; j++)
{
DoubleArray volDataUp = VOL.with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataDw, INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double volDw = provDw.volatility(expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed[j], fd, eps);
}
}
}
public virtual void test_priceSensitivity_from_generic_provider()
{
BondFutureVolatilities volProvider = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
PointSensitivities expected = OPTION_PRICER.priceSensitivityRatesStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
PointSensitivities computed = OPTION_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
assertEquals(computed, expected);
}
public virtual void test_price_from_generic_provider()
{
BondFutureVolatilities vols = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, vols);
double expected = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
assertEquals(computed, expected, TOL);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackBondFutureExpiryLogMoneynessVolatilities test1 = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
coverImmutableBean(test1);
BlackBondFutureExpiryLogMoneynessVolatilities test2 = BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME.plusDays(1), SURFACE.withParameter(0, 1d));
coverBeanEquals(test1, test2);
}