public virtual void test_relativeTime() { double test1 = VOLS.relativeTime(VAL_DATE_TIME); assertEquals(test1, 0d); double test2 = VOLS.relativeTime(date(2018, 2, 17).atStartOfDay(LONDON_ZONE)); double test3 = VOLS.relativeTime(date(2012, 2, 17).atStartOfDay(LONDON_ZONE)); assertEquals(test2, -test3); // consistency checked }
//------------------------------------------------------------------------- public virtual void present_value_formula() { double forward = PRICER_SWAP.parRate(RSWAP_REC, MULTI_USD); double pvbp = PRICER_SWAP.LegPricer.pvbp(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), MULTI_USD); double volatility = NORMAL_VOLS_USD_STD.volatility(SWAPTION_LONG_REC.Expiry, SWAP_TENOR_YEAR, STRIKE, forward); NormalFunctionData normalData = NormalFunctionData.of(forward, Math.Abs(pvbp), volatility); double expiry = NORMAL_VOLS_USD_STD.relativeTime(SWAPTION_LONG_REC.Expiry); EuropeanVanillaOption option = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT); double pvExpected = NORMAL.getPriceFunction(option).apply(normalData); CurrencyAmount pvComputed = PRICER_SWAPTION_NORMAL.presentValue(SWAPTION_LONG_REC, MULTI_USD, NORMAL_VOLS_USD_STD); assertEquals(pvComputed.Currency, USD); assertEquals(pvComputed.Amount, pvExpected, TOLERANCE_PV); }
//------------------------------------------------------------------------- public virtual void test_presentValue() { CurrencyAmount pvRecComputed = PRICER_SWAPTION.presentValue(SWAPTION_REC_LONG, RATE_PROVIDER, VOLS); CurrencyAmount pvPayComputed = PRICER_SWAPTION.presentValue(SWAPTION_PAY_SHORT, RATE_PROVIDER, VOLS); double forward = PRICER_SWAP.parRate(RSWAP_REC, RATE_PROVIDER); double annuityCash = PRICER_SWAP.LegPricer.annuityCash(RSWAP_REC.getLegs(SwapLegType.FIXED).get(0), forward); double volatility = VOLS.volatility(SWAPTION_REC_LONG.Expiry, SWAP_TENOR_YEAR, STRIKE, forward); double discount = RATE_PROVIDER.discountFactor(USD, SETTLE_DATE); NormalFunctionData normalData = NormalFunctionData.of(forward, annuityCash * discount, volatility); double expiry = VOLS.relativeTime(SWAPTION_REC_LONG.Expiry); EuropeanVanillaOption optionRec = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.PUT); EuropeanVanillaOption optionPay = EuropeanVanillaOption.of(STRIKE, expiry, PutCall.CALL); double pvRecExpected = NORMAL.getPriceFunction(optionRec).apply(normalData); double pvPayExpected = -NORMAL.getPriceFunction(optionPay).apply(normalData); assertEquals(pvRecComputed.Currency, USD); assertEquals(pvRecComputed.Amount, pvRecExpected, NOTIONAL * TOL); assertEquals(pvPayComputed.Currency, USD); assertEquals(pvPayComputed.Amount, pvPayExpected, NOTIONAL * TOL); }