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_volatility() { for (int i = 0; i < NB_TEST; i++) { double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]); double volExpected = SURFACE.zValue(expiryTime, Math.Log(TEST_STRIKE_PRICE[i] / TEST_FUTURE_PRICE[i])); double volComputed = VOLS.volatility(TEST_OPTION_EXPIRY[i], TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]); assertEquals(volComputed, volExpected, TOLERANCE_VOL); } }