public virtual void test_createSabrParameterMetadata()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
ImmutableList <CurveMetadata> expected = ImmutableList.of(Curves.sabrParameterByExpiry(NAME.Name + "-Alpha", ACT_ACT_ISDA, SABR_ALPHA), Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), Curves.sabrParameterByExpiry(NAME.Name + "-Rho", ACT_ACT_ISDA, SABR_RHO), Curves.sabrParameterByExpiry(NAME.Name + "-Nu", ACT_ACT_ISDA, SABR_NU));
ImmutableList <CurveMetadata> computed = @base.createSabrParameterMetadata();
assertEquals(computed, expected);
}
public virtual void test_ofFixedBeta_shift()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition test = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, 0.01, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, LINEAR);
assertEquals(test.ExtrapolatorLeft, FLAT);
assertEquals(test.ExtrapolatorRight, FLAT);
assertEquals(test.Name, NAME);
assertEquals(test.BetaCurve.get(), ConstantCurve.of(Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), 0.5));
assertFalse(test.RhoCurve.Present);
assertEquals(test.SabrVolatilityFormula, SabrVolatilityFormula.hagan());
assertEquals(test.ShiftCurve, ConstantCurve.of("Shift curve", 0.01));
}
public virtual void test_builder()
{
Curve betaCurve = ConstantCurve.of(Curves.sabrParameterByExpiry(NAME.Name + "-Beta", ACT_ACT_ISDA, SABR_BETA), 0.65);
SabrIborCapletFloorletVolatilityBootstrapDefinition test = SabrIborCapletFloorletVolatilityBootstrapDefinition.builder().index(USD_LIBOR_3M).name(NAME).interpolator(LINEAR).extrapolatorLeft(FLAT).extrapolatorRight(CurveExtrapolators.LINEAR).dayCount(ACT_ACT_ISDA).sabrVolatilityFormula(SabrVolatilityFormula.hagan()).betaCurve(betaCurve).build();
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, LINEAR);
assertEquals(test.ExtrapolatorLeft, FLAT);
assertEquals(test.ExtrapolatorRight, CurveExtrapolators.LINEAR);
assertEquals(test.Name, NAME);
assertEquals(test.BetaCurve.get(), betaCurve);
assertFalse(test.RhoCurve.Present);
assertEquals(test.SabrVolatilityFormula, SabrVolatilityFormula.hagan());
assertEquals(test.ShiftCurve, ConstantCurve.of("Zero shift", 0d));
}