//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test()
public virtual void test()
{
assertEquals(DATA.Alpha, ALPHA, 0);
assertEquals(DATA.Beta, BETA, 0);
assertEquals(DATA.Nu, NU, 0);
assertEquals(DATA.Rho, RHO, 0);
assertEquals(DATA.getParameter(0), ALPHA, 0);
assertEquals(DATA.getParameter(1), BETA, 0);
assertEquals(DATA.getParameter(2), RHO, 0);
assertEquals(DATA.getParameter(3), NU, 0);
assertEquals(DATA.NumberOfParameters, 4);
SabrFormulaData other = SabrFormulaData.of(new double[] { ALPHA, BETA, RHO, NU });
assertEquals(other, DATA);
assertEquals(other.GetHashCode(), DATA.GetHashCode());
other = other.with(0, ALPHA - 0.01);
assertFalse(other.Equals(DATA));
other = SabrFormulaData.of(ALPHA, BETA * 0.5, RHO, NU);
assertFalse(other.Equals(DATA));
other = SabrFormulaData.of(ALPHA, BETA, RHO, NU * 0.5);
assertFalse(other.Equals(DATA));
other = SabrFormulaData.of(ALPHA, BETA, RHO * 0.5, NU);
assertFalse(other.Equals(DATA));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testATMSmoothness()
public virtual void testATMSmoothness()
{
double timeToExpiry = 1;
double alpha = 0.05;
double beta = 0.5;
double nu = 0.50;
double rho = -0.25;
int nbPoints = 100;
double forward = 0.05;
double[] sabrVolatilty = new double[2 * nbPoints + 1];
double range = 5E-9;
double[] strike = new double[2 * nbPoints + 1];
for (int looppts = -nbPoints; looppts <= nbPoints; looppts++)
{
strike[looppts + nbPoints] = forward + ((double)looppts) / nbPoints * range;
SabrFormulaData SabrData = SabrFormulaData.of(alpha, beta, rho, nu);
sabrVolatilty[looppts + nbPoints] = FUNCTION.volatility(forward, strike[looppts + nbPoints], timeToExpiry, SabrData);
}
for (int looppts = -nbPoints; looppts < nbPoints; looppts++)
{
assertTrue(Math.Abs(sabrVolatilty[looppts + nbPoints + 1] - sabrVolatilty[looppts + nbPoints]) / (strike[looppts + nbPoints + 1] - strike[looppts + nbPoints]) < 20.0);
}
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
coverImmutableBean(DATA);
SabrFormulaData another = SabrFormulaData.of(1.2, 0.4, 0.0, 0.2);
coverBeanEquals(DATA, another);
}
/// <summary>
/// The limit for $rhp \to 1$ when $z \geq 1$ does not exists. Returning an illegal argument.
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_rho_close_to_1_large()
public virtual void test_rho_close_to_1_large()
{
double rhoEps = 1.e-5;
double rhoIn = 1.0 - 0.5 * rhoEps;
SabrFormulaData dataIn = SabrFormulaData.of(ALPHA, BETA, rhoIn, NU);
assertThrowsIllegalArg(() => FUNCTION.volatility(10 * F, STRIKE_ITM, T, dataIn));
assertThrowsIllegalArg(() => FUNCTION.volatilityAdjoint(10 * F, STRIKE_ITM, T, dataIn));
}
/// <summary>
/// Check that $\rho \simeq 1$ case is smoothly connected with a general case, i.e.,
/// comparing the approximated computation and full computation around the cutoff, which is currently $\rho = 1.0 - 1.0e-5$
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void test_rho_close_to_1()
public virtual void test_rho_close_to_1()
{
double rhoEps = 1.e-5;
// rhoIn is larger than the cutoff,
// thus vol and sensitivities are computed by approximation formulas which are regular in the limit rho -> 1.
double rhoIn = 1.0 - 0.5 * rhoEps;
double rho1 = 1.0d;
// rhoOut is smaller than the cutoff, thus vol and sensitivities are computed by full formula.
double rhoOut = 1.0 - 1.5 * rhoEps;
SabrFormulaData data1 = SabrFormulaData.of(ALPHA, BETA, rho1, NU);
SabrFormulaData dataIn = SabrFormulaData.of(ALPHA, BETA, rhoIn, NU);
SabrFormulaData dataOut = SabrFormulaData.of(ALPHA, BETA, rhoOut, NU);
/*
* z<1 case, i.e., finite values in the rho->1 limit
*/
double volatilityOut = FUNCTION.volatility(F, STRIKE_OTM, T, dataOut);
double[] adjointOut = toArray(FUNCTION.volatilityAdjoint(F, STRIKE_OTM, T, dataOut));
double[] volatilityDOut = new double[6];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] volatilityD2Out = new double[2][2];
double[][] volatilityD2Out = RectangularArrays.ReturnRectangularDoubleArray(2, 2);
double volatility2Out = FUNCTION.volatilityAdjoint2(F, STRIKE_OTM, T, dataOut, volatilityDOut, volatilityD2Out);
double volatilityIn = FUNCTION.volatility(F, STRIKE_OTM, T, dataIn);
double[] adjointIn = toArray(FUNCTION.volatilityAdjoint(F, STRIKE_OTM, T, dataIn));
double[] volatilityDIn = new double[6];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] volatilityD2In = new double[2][2];
double[][] volatilityD2In = RectangularArrays.ReturnRectangularDoubleArray(2, 2);
double volatility2In = FUNCTION.volatilityAdjoint2(F, STRIKE_OTM, T, dataIn, volatilityDIn, volatilityD2In);
double volatility1 = FUNCTION.volatility(F, STRIKE_OTM, T, data1);
assertEquals(volatilityOut, volatility1, TOLERANCE_VOL_LIMIT);
assertEquals(volatilityOut, volatilityIn, TOLERANCE_VOL_LIMIT);
assertEquals(volatility2Out, volatility2In, TOLERANCE_VOL_LIMIT);
for (int i = 0; i < adjointOut.Length; ++i)
{
double @ref = adjointOut[i];
assertEquals(adjointOut[i], adjointIn[i], Math.Max(Math.Abs(@ref), 1.0) * 1.e-3);
}
for (int i = 0; i < volatilityDOut.Length; ++i)
{
double @ref = volatilityDOut[i];
assertEquals(volatilityDOut[i], volatilityDIn[i], Math.Max(Math.Abs(@ref), 1.0) * 1.e-3);
}
}
//TODO write a fuzzer that hits SABR with random parameters
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(enabled = false) public void testRandomParameters()
public virtual void testRandomParameters()
{
double eps = 1e-5;
double tol = 1e-3;
for (int count = 0; count < 100; count++)
{
double alpha = Math.Exp(NORMAL.nextRandom() * 0.2 - 2);
double beta = GlobalRandom.NextDouble; //TODO Uniform numbers in distribution
double nu = Math.Exp(NORMAL.nextRandom() * 0.3 - 1);
double rho = 2 * GlobalRandom.NextDouble - 1;
SabrFormulaData data = SabrFormulaData.of(alpha, beta, rho, nu);
testVolatilityAdjoint(F, CALL_ATM, data, eps, tol);
testVolatilityAdjoint(F, CALL_ITM, data, eps, tol);
testVolatilityAdjoint(F, CALL_OTM, data, eps, tol);
}
}
/// <summary>
/// Calculate the true SABR delta and gamma and compare with that found by finite difference
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(enabled = false) public void testGreeks()
public virtual void testGreeks()
{
double eps = 1e-3;
double f = 1.2;
double k = 1.4;
double t = 5.0;
double alpha = 0.3;
double beta = 0.6;
double rho = -0.4;
double nu = 0.4;
SabrFormulaData sabrData = SabrFormulaData.of(alpha, beta, rho, nu);
ValueDerivatives adj = FUNCTION.volatilityAdjoint(f, k, t, sabrData);
double bsDelta = BlackFormulaRepository.delta(f, k, t, adj.Value, true);
double bsVega = BlackFormulaRepository.vega(f, k, t, adj.Value);
double volForwardSense = adj.getDerivative(1);
double delta = bsDelta + bsVega * volForwardSense;
SabrFormulaData data = SabrFormulaData.of(alpha, beta, rho, nu);
double volUp = FUNCTION.volatility(f + eps, k, t, data);
double volDown = FUNCTION.volatility(f - eps, k, t, data);
double priceUp = BlackFormulaRepository.price(f + eps, k, t, volUp, true);
double price = BlackFormulaRepository.price(f, k, t, adj.Value, true);
double priceDown = BlackFormulaRepository.price(f - eps, k, t, volDown, true);
double fdDelta = (priceUp - priceDown) / 2 / eps;
assertEquals(fdDelta, delta, 1e-6);
double bsVanna = BlackFormulaRepository.vanna(f, k, t, adj.Value);
double bsGamma = BlackFormulaRepository.gamma(f, k, t, adj.Value);
double[] volD1 = new double[5];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: double[][] volD2 = new double[2][2];
double[][] volD2 = RectangularArrays.ReturnRectangularDoubleArray(2, 2);
FUNCTION.volatilityAdjoint2(f, k, t, sabrData, volD1, volD2);
double d2Sigmad2Fwd = volD2[0][0];
double gamma = bsGamma + 2 * bsVanna * adj.getDerivative(1) + bsVega * d2Sigmad2Fwd;
double fdGamma = (priceUp + priceDown - 2 * price) / eps / eps;
double d2Sigmad2FwdFD = (volUp + volDown - 2 * adj.Value) / eps / eps;
assertEquals(d2Sigmad2FwdFD, d2Sigmad2Fwd, 1e-4);
assertEquals(fdGamma, gamma, 1e-2);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testHighRho()
public virtual void testHighRho()
{
assertThrowsIllegalArg(() => SabrFormulaData.of(ALPHA, BETA, RHO + 10, NU));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testNegativeNu()
public virtual void testNegativeNu()
{
assertThrowsIllegalArg(() => SabrFormulaData.of(ALPHA, BETA, RHO, -NU));
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void testWrongParameterLength()
public virtual void testWrongParameterLength()
{
assertThrowsIllegalArg(() => SabrFormulaData.of(new double[] { ALPHA, BETA, RHO, NU, 0.1 }));
}
