static SwaptionCubeData()
{
EXPIRIES.Add(Period.ofMonths(1));
EXPIRIES.Add(Period.ofMonths(3));
EXPIRIES.Add(Period.ofMonths(6));
EXPIRIES.Add(Period.ofYears(1));
EXPIRIES.Add(Period.ofYears(2));
EXPIRIES.Add(Period.ofYears(5));
TENORS.Add(Tenor.TENOR_1Y);
TENORS.Add(Tenor.TENOR_2Y);
TENORS.Add(Tenor.TENOR_5Y);
EXPIRIES_SIMPLE.Add(Period.ofMonths(1));
EXPIRIES_SIMPLE.Add(Period.ofMonths(6));
EXPIRIES_SIMPLE.Add(Period.ofYears(1));
TENORS_SIMPLE.Add(Tenor.TENOR_1Y);
TENORS_SIMPLE.Add(Tenor.TENOR_2Y);
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(1));
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(3));
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(6));
EXPIRIES_SIMPLE_2.Add(Period.ofYears(1));
for (int i = 0; i < EXPIRIES_SIMPLE_2.Count; i++)
{
BusinessDayAdjustment bda = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment;
EXPIRIES_SIMPLE_2_TIME[2 * i] = DAY_COUNT.relativeYearFraction(DATA_DATE, bda.adjust(DATA_DATE.plus(EXPIRIES_SIMPLE_2[i]), REF_DATA));
EXPIRIES_SIMPLE_2_TIME[2 * i + 1] = EXPIRIES_SIMPLE_2_TIME[2 * i];
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(enabled = true) public void log_normal_atm()
public virtual void log_normal_atm()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibratedSmile = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
SabrParametersSwaptionVolatilities calibratedAtm = SABR_CALIBRATION.calibrateAlphaWithAtm(NAME_SABR, calibratedSmile, MULTICURVE, ATM_LOGNORMAL_SIMPLE, TENORS_SIMPLE, EXPIRIES_SIMPLE_2, INTERPOLATOR_2D);
int nbExp = EXPIRIES_SIMPLE_2.size();
int nbTenor = TENORS_SIMPLE.size();
for (int loopexpiry = 0; loopexpiry < nbExp; loopexpiry++)
{
for (int looptenor = 0; looptenor < nbTenor; looptenor++)
{
double tenor = TENORS_SIMPLE.get(looptenor).get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE_2.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS_SIMPLE.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibratedAtm.relativeTime(expiryDateTime);
double volBlack = calibratedAtm.volatility(expiryDateTime, tenor, parRate, parRate);
double priceComputed = calibratedAtm.price(time, tenor, PutCall.CALL, parRate, parRate, volBlack);
double priceBlack = BlackFormulaRepository.price(parRate, parRate, time, DATA_LOGNORMAL_ATM_SIMPLE[looptenor + loopexpiry * nbTenor], true);
assertEquals(priceComputed, priceBlack, TOLERANCE_PRICE_CALIBRATION_ROOT);
}
}
}
