//-------------------------------------------------------------------------
public virtual void coverage()
{
RawOptionData test = sut();
coverImmutableBean(test);
RawOptionData test2 = sut2();
coverBeanEquals(test, test2);
}
//-------------------------------------------------------------------------
public virtual void of()
{
RawOptionData test = sut();
assertEquals(test.Strikes, MONEYNESS);
assertEquals(test.StrikeType, ValueType.SIMPLE_MONEYNESS);
assertEquals(test.Data, DATA_FULL);
assertEquals(test.DataType, ValueType.NORMAL_VOLATILITY);
}
/// <summary>
/// Gets the raw option data for a given tenor.
/// </summary>
/// <param name="tenor"> the tenor to retrieve </param>
/// <returns> the raw option data </returns>
public RawOptionData getData(Tenor tenor)
{
RawOptionData result = data.get(tenor);
if (result == null)
{
throw new System.ArgumentException("No data found for tenor " + tenor);
}
return(result);
}
internal static RawOptionData sut2()
{
IList <Period> expiries2 = new List <Period>();
expiries2.Add(Period.ofMonths(3));
expiries2.Add(Period.ofYears(1));
expiries2.Add(Period.ofYears(5));
RawOptionData test2 = RawOptionData.of(expiries2, STRIKES, ValueType.STRIKE, DATA_SPARSE, ERROR, ValueType.BLACK_VOLATILITY);
return(test2);
}
public virtual void ofBlackVolatility()
{
double shift = 0.0075;
RawOptionData test = RawOptionData.ofBlackVolatility(EXPIRIES, STRIKES, ValueType.STRIKE, DATA_SPARSE, shift);
assertEquals(test.Strikes, STRIKES);
assertEquals(test.StrikeType, ValueType.STRIKE);
assertEquals(test.Data, DATA_SPARSE);
assertEquals(test.DataType, ValueType.BLACK_VOLATILITY);
assertEquals(test.Shift, double?.of(shift));
assertFalse(test.Error.Present);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
RawOptionData other = (RawOptionData)obj;
return(JodaBeanUtils.equal(expiries, other.expiries) && JodaBeanUtils.equal(strikes, other.strikes) && JodaBeanUtils.equal(strikeType, other.strikeType) && JodaBeanUtils.equal(data, other.data) && JodaBeanUtils.equal(error, other.error) && JodaBeanUtils.equal(dataType, other.dataType) && JodaBeanUtils.equal(shift, other.shift));
}
return(false);
}
public virtual void available_smile_at_expiry()
{
double shift = 0.0075;
RawOptionData test = RawOptionData.ofBlackVolatility(EXPIRIES, STRIKES, ValueType.STRIKE, DATA_SPARSE, shift);
DoubleArray[] strikesAvailable = new DoubleArray[3];
strikesAvailable[0] = DoubleArray.EMPTY;
strikesAvailable[1] = DoubleArray.of(0.0050, 0.0150, 0.0250);
strikesAvailable[2] = DoubleArray.of(-0.0050, 0.0050, 0.0150, 0.0250);
DoubleArray[] volAvailable = new DoubleArray[3];
volAvailable[0] = DoubleArray.EMPTY;
volAvailable[1] = DoubleArray.of(0.10, 0.11, 0.12);
volAvailable[2] = DoubleArray.of(0.10, 0.11, 0.12, 0.13);
for (int i = 0; i < DATA_SPARSE.rowCount(); i++)
{
Pair <DoubleArray, DoubleArray> smile = test.availableSmileAtExpiry(EXPIRIES[i]);
assertEquals(smile.First, strikesAvailable[i]);
}
}
internal static RawOptionData sut3()
{
return(RawOptionData.of(EXPIRIES, MONEYNESS, ValueType.SIMPLE_MONEYNESS, DATA_FULL, ERROR, ValueType.NORMAL_VOLATILITY));
}
public virtual void test_serialization()
{
RawOptionData test = RawOptionData.of(EXPIRIES, MONEYNESS, ValueType.SIMPLE_MONEYNESS, DATA_FULL, ValueType.BLACK_VOLATILITY);
assertSerialization(test);
}
