public virtual void test_volatility()
{
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[i] - TEST_FORWARD[i]);
double volComputed = VOLS.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
public virtual void test_volatility_sensitivity()
{
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
SwaptionSensitivity point = SwaptionSensitivity.of(VOLS.Name, expiryTime, TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i], GBP, TEST_SENSITIVITY[i]);
CurrencyParameterSensitivities sensActual = VOLS.parameterSensitivity(point);
CurrencyParameterSensitivity sensi = sensActual.getSensitivity(SURFACE.Name, GBP);
DoubleArray computed = sensi.Sensitivity;
IDictionary <DoublesPair, double> map = new Dictionary <DoublesPair, double>();
for (int j = 0; j < nData; ++j)
{
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp = InterpolatedNodalSurface.of(METADATA, TIME, SIMPLE_MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, SIMPLE_MONEYNESS, volDataDw, INTERPOLATOR_2D);
NormalSwaptionExpirySimpleMoneynessVolatilities provUp = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE_TIME, paramUp);
NormalSwaptionExpirySimpleMoneynessVolatilities provDw = NormalSwaptionExpirySimpleMoneynessVolatilities.of(CONVENTION, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i]);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD[i]);
double fd = 0.5 * (volUp - volDw) / eps;
map[DoublesPair.of(TIME.get(j), SIMPLE_MONEYNESS.get(j))] = fd;
}
IList <ParameterMetadata> list = sensi.ParameterMetadata;
assertEquals(computed.size(), nData);
for (int j = 0; j < list.Count; ++j)
{
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata metadata = (SwaptionSurfaceExpirySimpleMoneynessParameterMetadata)list[i];
double expected = map[DoublesPair.of(metadata.YearFraction, metadata.SimpleMoneyness)];
assertEquals(computed.get(i), expected, eps);
}
}
}