public virtual void hashEqualGetter()
{
assertEquals(PARAMETERS.AlphaSurface, ALPHA_SURFACE);
assertEquals(PARAMETERS.BetaSurface, BETA_SURFACE);
assertEquals(PARAMETERS.RhoSurface, RHO_SURFACE);
assertEquals(PARAMETERS.NuSurface, NU_SURFACE);
assertEquals(PARAMETERS.SabrVolatilityFormula, FORMULA);
assertEquals(PARAMETERS.ShiftSurface.Name, SurfaceName.of("Zero shift"));
double expiry = 2.0;
double tenor = 3.0;
double alpha = ALPHA_SURFACE.zValue(expiry, tenor);
double beta = BETA_SURFACE.zValue(expiry, tenor);
double rho = RHO_SURFACE.zValue(expiry, tenor);
double nu = NU_SURFACE.zValue(expiry, tenor);
assertEquals(PARAMETERS.alpha(expiry, tenor), alpha);
assertEquals(PARAMETERS.beta(expiry, tenor), beta);
assertEquals(PARAMETERS.rho(expiry, tenor), rho);
assertEquals(PARAMETERS.nu(expiry, tenor), nu);
double strike = 1.1;
double forward = 1.05;
assertEquals(PARAMETERS.volatility(expiry, tenor, strike, forward), FORMULA.volatility(forward, strike, expiry, alpha, beta, rho, nu));
double[] adjCmp = PARAMETERS.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward, strike, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 6; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
SabrInterestRateParameters other = SabrInterestRateParameters.of(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, FORMULA);
assertEquals(PARAMETERS, other);
assertEquals(PARAMETERS.GetHashCode(), other.GetHashCode());
}
public virtual void getter()
{
assertEquals(PARAMETERS.AlphaCurve, ALPHA_CURVE);
assertEquals(PARAMETERS.BetaCurve, BETA_CURVE);
assertEquals(PARAMETERS.RhoCurve, RHO_CURVE);
assertEquals(PARAMETERS.NuCurve, NU_CURVE);
assertEquals(PARAMETERS.SabrVolatilityFormula, FORMULA);
assertEquals(PARAMETERS.ShiftCurve.Name, CurveName.of("Zero shift"));
assertEquals(PARAMETERS.DayCount, ACT_ACT_ISDA);
assertEquals(PARAMETERS.ParameterCount, 9);
double expiry = 2.0;
double alpha = ALPHA_CURVE.yValue(expiry);
double beta = BETA_CURVE.yValue(expiry);
double rho = RHO_CURVE.yValue(expiry);
double nu = NU_CURVE.yValue(expiry);
assertEquals(PARAMETERS.alpha(expiry), alpha);
assertEquals(PARAMETERS.beta(expiry), beta);
assertEquals(PARAMETERS.rho(expiry), rho);
assertEquals(PARAMETERS.nu(expiry), nu);
double strike = 1.1;
double forward = 1.05;
assertEquals(PARAMETERS.volatility(expiry, strike, forward), FORMULA.volatility(forward, strike, expiry, alpha, beta, rho, nu));
double[] adjCmp = PARAMETERS.volatilityAdjoint(expiry, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward, strike, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 6; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
for (int i = 0; i < 9; ++i)
{
if (i < 2)
{
assertEquals(PARAMETERS.getParameterMetadata(i), ALPHA_CURVE.getParameterMetadata(i));
assertEquals(PARAMETERS.getParameter(i), ALPHA_CURVE.getParameter(i));
}
else if (i < 4)
{
assertEquals(PARAMETERS.getParameterMetadata(i), BETA_CURVE.getParameterMetadata(i - 2));
assertEquals(PARAMETERS.getParameter(i), BETA_CURVE.getParameter(i - 2));
}
else if (i < 6)
{
assertEquals(PARAMETERS.getParameterMetadata(i), RHO_CURVE.getParameterMetadata(i - 4));
assertEquals(PARAMETERS.getParameter(i), RHO_CURVE.getParameter(i - 4));
}
else if (i < 8)
{
assertEquals(PARAMETERS.getParameterMetadata(i), NU_CURVE.getParameterMetadata(i - 6));
assertEquals(PARAMETERS.getParameter(i), NU_CURVE.getParameter(i - 6));
}
else
{
assertEquals(PARAMETERS.getParameterMetadata(i), ParameterMetadata.empty());
assertEquals(PARAMETERS.getParameter(i), 0d);
}
}
}
private void checkCalibrationNormal(DoubleArray moneyness, DoubleArray normalVol, DoubleArray startParameters, BitArray @fixed, double shift, double tolerance)
{
Pair <LeastSquareResultsWithTransform, DoubleArray> rComputed = SABR_CALIBRATION.calibrateLsShiftedFromNormalVolatilities(BDA, CALIBRATION_TIME, ACT_365F, EXPIRY_PERIOD, FORWARD, moneyness, ValueType.SIMPLE_MONEYNESS, normalVol, startParameters, @fixed, shift);
SabrFormulaData sabrComputed = SabrFormulaData.of(rComputed.First.ModelParameters.toArrayUnsafe());
for (int i = 0; i < moneyness.size(); i++)
{
double ivComputed = SABR_FORMULA.volatility(FORWARD + shift, FORWARD + moneyness.get(i) + shift, TIME_EXPIRY, sabrComputed.Alpha, sabrComputed.Beta, sabrComputed.Rho, sabrComputed.Nu);
double priceComputed = BlackFormulaRepository.price(FORWARD + shift, FORWARD + moneyness.get(i) + shift, TIME_EXPIRY, ivComputed, true);
double priceNormal = NormalFormulaRepository.price(FORWARD, FORWARD + moneyness.get(i), TIME_EXPIRY, normalVol.get(i), PutCall.CALL);
assertEquals(priceComputed, priceNormal, tolerance);
}
}
//-------------------------------------------------------------------------
/// <summary>
/// Calculates the volatility for given expiry, strike and forward rate.
/// </summary>
/// <param name="expiry"> the time to expiry as a year fraction </param>
/// <param name="strike"> the strike </param>
/// <param name="forward"> the forward </param>
/// <returns> the volatility </returns>
public double volatility(double expiry, double strike, double forward)
{
double alpha = this.alpha(expiry);
double beta = this.beta(expiry);
double rho = this.rho(expiry);
double nu = this.nu(expiry);
double shift = this.shift(expiry);
return(sabrVolatilityFormula.volatility(forward + shift, strike + shift, expiry, alpha, beta, rho, nu));
}
