//------------------------------------------------------------------------- public virtual void coverage() { NormalSwaptionExpirySimpleMoneynessVolatilities test1 = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE_TIME, SURFACE); coverImmutableBean(test1); NormalSwaptionExpirySimpleMoneynessVolatilities test2 = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE.atStartOfDay(ZoneOffset.UTC), SURFACE); coverBeanEquals(test1, test2); }
//----------------------------------------------------------------------- public override bool Equals(object obj) { if (obj == this) { return(true); } if (obj != null && obj.GetType() == this.GetType()) { NormalSwaptionExpirySimpleMoneynessVolatilities other = (NormalSwaptionExpirySimpleMoneynessVolatilities)obj; return(JodaBeanUtils.equal(convention, other.convention) && JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) && JodaBeanUtils.equal(surface, other.surface)); } return(false); }
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); } } }