public virtual void test_relativeTime() { SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM); double test1 = prov.relativeTime(DATE_TIME); assertEquals(test1, 0d); double test2 = prov.relativeTime(DATE_TIME.plusYears(2)); double test3 = prov.relativeTime(DATE_TIME.minusYears(2)); assertEquals(test2, -test3, 1e-2); }
public virtual void test_parameterSensitivity() { double alphaSensi = 2.24, betaSensi = 3.45, rhoSensi = -2.12, nuSensi = -0.56, shiftSensi = 2.5; SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM); for (int i = 0; i < NB_TEST; i++) { double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]); PointSensitivities point = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, ALPHA, EUR, alphaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, BETA, EUR, betaSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, RHO, EUR, rhoSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, NU, EUR, nuSensi), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime, SHIFT, EUR, shiftSensi)); CurrencyParameterSensitivities sensiComputed = prov.parameterSensitivity(point); UnitParameterSensitivity alphaSensitivities = prov.Parameters.AlphaCurve.yValueParameterSensitivity(expiryTime); UnitParameterSensitivity betaSensitivities = prov.Parameters.BetaCurve.yValueParameterSensitivity(expiryTime); UnitParameterSensitivity rhoSensitivities = prov.Parameters.RhoCurve.yValueParameterSensitivity(expiryTime); UnitParameterSensitivity nuSensitivities = prov.Parameters.NuCurve.yValueParameterSensitivity(expiryTime); UnitParameterSensitivity shiftSensitivities = prov.Parameters.ShiftCurve.yValueParameterSensitivity(expiryTime); CurrencyParameterSensitivity alphaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_ALPHA.CurveName, EUR); CurrencyParameterSensitivity betaSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_BETA.CurveName, EUR); CurrencyParameterSensitivity rhoSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_RHO.CurveName, EUR); CurrencyParameterSensitivity nuSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_NU.CurveName, EUR); CurrencyParameterSensitivity shiftSensiObj = sensiComputed.getSensitivity(IborCapletFloorletSabrRateVolatilityDataSet.META_SHIFT.CurveName, EUR); DoubleArray alphaNodeSensiComputed = alphaSensiObj.Sensitivity; DoubleArray betaNodeSensiComputed = betaSensiObj.Sensitivity; DoubleArray rhoNodeSensiComputed = rhoSensiObj.Sensitivity; DoubleArray nuNodeSensiComputed = nuSensiObj.Sensitivity; DoubleArray shiftNodeSensiComputed = shiftSensiObj.Sensitivity; assertEquals(alphaSensitivities.Sensitivity.size(), alphaNodeSensiComputed.size()); assertEquals(betaSensitivities.Sensitivity.size(), betaNodeSensiComputed.size()); assertEquals(rhoSensitivities.Sensitivity.size(), rhoNodeSensiComputed.size()); assertEquals(nuSensitivities.Sensitivity.size(), nuNodeSensiComputed.size()); assertEquals(shiftSensitivities.Sensitivity.size(), shiftNodeSensiComputed.size()); for (int k = 0; k < alphaNodeSensiComputed.size(); ++k) { assertEquals(alphaNodeSensiComputed.get(k), alphaSensitivities.Sensitivity.get(k) * alphaSensi, TOLERANCE_VOL); } for (int k = 0; k < betaNodeSensiComputed.size(); ++k) { assertEquals(betaNodeSensiComputed.get(k), betaSensitivities.Sensitivity.get(k) * betaSensi, TOLERANCE_VOL); } for (int k = 0; k < rhoNodeSensiComputed.size(); ++k) { assertEquals(rhoNodeSensiComputed.get(k), rhoSensitivities.Sensitivity.get(k) * rhoSensi, TOLERANCE_VOL); } for (int k = 0; k < nuNodeSensiComputed.size(); ++k) { assertEquals(nuNodeSensiComputed.get(k), nuSensitivities.Sensitivity.get(k) * nuSensi, TOLERANCE_VOL); } for (int k = 0; k < shiftNodeSensiComputed.size(); ++k) { assertEquals(shiftNodeSensiComputed.get(k), shiftSensitivities.Sensitivity.get(k) * shiftSensi, TOLERANCE_VOL); } } }
public virtual void test_parameterSensitivity_multi() { double[] points1 = new double[] { 2.24, 3.45, -2.12, -0.56 }; double[] points2 = new double[] { -0.145, 1.01, -5.0, -11.0 }; double[] points3 = new double[] { 1.3, -4.32, 2.1, -7.18 }; SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM); double expiryTime0 = prov.relativeTime(TEST_OPTION_EXPIRY[0]); double expiryTime3 = prov.relativeTime(TEST_OPTION_EXPIRY[3]); for (int i = 0; i < NB_TEST; i++) { PointSensitivities sensi1 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, ALPHA, EUR, points1[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, BETA, EUR, points1[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, RHO, EUR, points1[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, NU, EUR, points1[3])); PointSensitivities sensi2 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, ALPHA, EUR, points2[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, BETA, EUR, points2[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, RHO, EUR, points2[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime0, NU, EUR, points2[3])); PointSensitivities sensi3 = PointSensitivities.of(IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, ALPHA, EUR, points3[0]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, BETA, EUR, points3[1]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, RHO, EUR, points3[2]), IborCapletFloorletSabrSensitivity.of(NAME, expiryTime3, NU, EUR, points3[3])); PointSensitivities sensis = sensi1.combinedWith(sensi2).combinedWith(sensi3).normalized(); CurrencyParameterSensitivities computed = prov.parameterSensitivity(sensis); CurrencyParameterSensitivities expected = prov.parameterSensitivity(sensi1).combinedWith(prov.parameterSensitivity(sensi2)).combinedWith(prov.parameterSensitivity(sensi3)); DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.AlphaCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.AlphaCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL); DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.BetaCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.BetaCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL); DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.RhoCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.RhoCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL); DoubleArrayMath.fuzzyEquals(computed.getSensitivity(PARAM.NuCurve.Name, EUR).Sensitivity.toArray(), expected.getSensitivity(PARAM.NuCurve.Name, EUR).Sensitivity.toArray(), TOLERANCE_VOL); } }
public virtual void test_volatility() { SabrParametersIborCapletFloorletVolatilities prov = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM); for (int i = 0; i < NB_TEST; i++) { for (int j = 0; j < NB_STRIKE; ++j) { double expiryTime = prov.relativeTime(TEST_OPTION_EXPIRY[i]); double volExpected = PARAM.volatility(expiryTime, TEST_STRIKE[j], TEST_FORWARD); double volComputed = prov.volatility(TEST_OPTION_EXPIRY[i], TEST_STRIKE[j], TEST_FORWARD); assertEquals(volComputed, volExpected, TOLERANCE_VOL); ValueDerivatives volAdjExpected = PARAM.volatilityAdjoint(expiryTime, TEST_STRIKE[j], TEST_FORWARD); ValueDerivatives volAdjComputed = prov.volatilityAdjoint(expiryTime, TEST_STRIKE[j], TEST_FORWARD); assertEquals(volAdjComputed.Value, volExpected, TOLERANCE_VOL); assertTrue(DoubleArrayMath.fuzzyEquals(volAdjComputed.Derivatives.toArray(), volAdjExpected.Derivatives.toArray(), TOLERANCE_VOL)); } } }
//------------------------------------------------------------------------- public virtual void test_presentValue_formula() { CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS); CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS); double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation); double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime); double volatility = VOLS.volatility(expiry, STRIKE, forward); double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate); double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, CALL.Call); double expectedFloorlet = -NOTIONAL *df *FLOORLET_SHORT.YearFraction *BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, PUT.Call); assertEquals(computedCaplet.Currency, EUR); assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL); assertEquals(computedFloorlet.Currency, EUR); assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL); // consistency with shifted Black ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(EUR_EURIBOR_3M, VALUATION, ConstantSurface.of("constVol", volatility).withMetadata(Surfaces.blackVolatilityByExpiryStrike("costVol", DayCounts.ACT_ACT_ISDA)), IborCapletFloorletSabrRateVolatilityDataSet.CURVE_CONST_SHIFT); CurrencyAmount computedCapletBlack = PRICER_BASE.presentValue(CAPLET_LONG, RATES, vols); CurrencyAmount computedFloorletBlack = PRICER_BASE.presentValue(FLOORLET_SHORT, RATES, vols); assertEquals(computedCaplet.Amount, computedCapletBlack.Amount, NOTIONAL * TOL); assertEquals(computedFloorlet.Amount, computedFloorletBlack.Amount, NOTIONAL * TOL); }