//-------------------------------------------------------------------------
public virtual void coverage()
{
NormalSwaptionExpiryStrikeVolatilities test1 = NormalSwaptionExpiryStrikeVolatilities.of(CONVENTION, VAL_DATE_TIME, SURFACE);
coverImmutableBean(test1);
NormalSwaptionExpiryStrikeVolatilities test2 = NormalSwaptionExpiryStrikeVolatilities.of(CONVENTION, VAL_DATE.atStartOfDay(ZoneOffset.UTC), SURFACE);
coverBeanEquals(test1, test2);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
NormalSwaptionExpiryStrikeVolatilities other = (NormalSwaptionExpiryStrikeVolatilities)obj;
return(JodaBeanUtils.equal(convention, other.convention) && JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) && JodaBeanUtils.equal(surface, other.surface));
}
return(false);
}
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, 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, STRIKE, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw = InterpolatedNodalSurface.of(METADATA, TIME, STRIKE, volDataDw, INTERPOLATOR_2D);
NormalSwaptionExpiryStrikeVolatilities provUp = NormalSwaptionExpiryStrikeVolatilities.of(CONVENTION, VAL_DATE_TIME, paramUp);
NormalSwaptionExpiryStrikeVolatilities provDw = NormalSwaptionExpiryStrikeVolatilities.of(CONVENTION, VAL_DATE_TIME, paramDw);
double volUp = provUp.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD);
double volDw = provDw.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
map[DoublesPair.of(TIME.get(j), STRIKE.get(j))] = fd;
}
IList <ParameterMetadata> list = sensi.ParameterMetadata;
assertEquals(computed.size(), nData);
for (int j = 0; j < list.Count; ++j)
{
SwaptionSurfaceExpiryStrikeParameterMetadata metadata = (SwaptionSurfaceExpiryStrikeParameterMetadata)list[i];
double expected = map[DoublesPair.of(metadata.YearFraction, metadata.Strike)];
assertEquals(computed.get(i), expected, eps);
}
}
}