예제 #1
0
        static NormalSwaptionExpirySimpleMoneynessVolatilitiesTest()
        {
            IList <SwaptionSurfaceExpirySimpleMoneynessParameterMetadata> list = new List <SwaptionSurfaceExpirySimpleMoneynessParameterMetadata>();
            int nData = TIME.size();

            for (int i = 0; i < nData; ++i)
            {
                SwaptionSurfaceExpirySimpleMoneynessParameterMetadata parameterMetadata = SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.of(TIME.get(i), SIMPLE_MONEYNESS.get(i));
                list.Add(parameterMetadata);
            }
            METADATA = Surfaces.normalVolatilityByExpirySimpleMoneyness("GOVT1-SWAPTION-VOL", ACT_365F, MoneynessType.RATES).withParameterMetadata(list);
        }