//-------------------------------------------------------------------------
public SurfaceMetadata createMetadata(RawOptionData capFloorData)
{
IList <GenericVolatilitySurfacePeriodParameterMetadata> list = new List <GenericVolatilitySurfacePeriodParameterMetadata>();
ImmutableList <Period> expiries = capFloorData.Expiries;
int nExpiries = expiries.size();
DoubleArray strikes = capFloorData.Strikes;
int nStrikes = strikes.size();
for (int i = 0; i < nExpiries; ++i)
{
for (int j = 0; j < nStrikes; ++j)
{
if (Double.isFinite(capFloorData.Data.get(i, j)))
{
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(expiries.get(i), SimpleStrike.of(strikes.get(j))));
}
}
}
SurfaceMetadata metadata;
if (capFloorData.DataType.Equals(ValueType.BLACK_VOLATILITY))
{
metadata = Surfaces.blackVolatilityByExpiryStrike(name.Name, dayCount);
}
else if (capFloorData.DataType.Equals(ValueType.NORMAL_VOLATILITY))
{
metadata = Surfaces.normalVolatilityByExpiryStrike(name.Name, dayCount);
}
else
{
throw new System.ArgumentException("Data type not supported");
}
return(metadata.withParameterMetadata(list));
}
public virtual void test_createMetadata_normal()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition @base = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, Double.NaN, 0.09 }
}), ValueType.NORMAL_VOLATILITY);
IList <GenericVolatilitySurfacePeriodParameterMetadata> list = new List <GenericVolatilitySurfacePeriodParameterMetadata>();
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.005)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.01)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.015)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(5), SimpleStrike.of(0.005)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(5), SimpleStrike.of(0.015)));
SurfaceMetadata expected = Surfaces.normalVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA).withParameterMetadata(list);
SurfaceMetadata computed = @base.createMetadata(capData);
assertEquals(computed, expected);
}