public virtual void test_createMetadata()
{
DirectIborCapletFloorletVolatilityDefinition @base = DirectIborCapletFloorletVolatilityDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LAMBDA_EXPIRY, LAMBDA_STRIKE, INTERPOLATOR);
assertEquals(@base.createMetadata(SAMPLE_BLACK), Surfaces.blackVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA));
assertEquals(@base.createMetadata(SAMPLE_NORMAL), Surfaces.normalVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA));
assertThrowsIllegalArg(() => @base.createMetadata(RawOptionData.of(EXPIRIES, STRIKES, STRIKE, DATA, ValueType.PRICE)));
}
public virtual void test_createMetadata_black()
{
SabrIborCapletFloorletVolatilityBootstrapDefinition @base = SabrIborCapletFloorletVolatilityBootstrapDefinition.ofFixedBeta(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, 0.5, LINEAR, FLAT, FLAT, SabrVolatilityFormula.hagan());
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, 0.08, 0.09 }
}), ValueType.BLACK_VOLATILITY);
SurfaceMetadata expected = Surfaces.blackVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA);
SurfaceMetadata computed = @base.createMetadata(capData);
assertEquals(computed, expected);
}
//-------------------------------------------------------------------------
public virtual void test_parameterSensitivity()
{
double expiry = ACT_365F.relativeYearFraction(VAL_DATE, LocalDate.of(2015, 8, 14));
LocalDate fixing = LocalDate.of(2016, 9, 14);
double strikePrice = 1.0025;
double futurePrice = 0.9975;
double sensitivity = 123456;
IborFutureOptionSensitivity point = IborFutureOptionSensitivity.of(VOL_SIMPLE_MONEY_RATE.Name, expiry, fixing, strikePrice, futurePrice, EUR, sensitivity);
CurrencyParameterSensitivities ps = VOL_SIMPLE_MONEY_RATE.parameterSensitivity(point);
double shift = 1.0E-6;
double v0 = VOL_SIMPLE_MONEY_RATE.volatility(expiry, fixing, strikePrice, futurePrice);
for (int i = 0; i < NORMAL_VOL_RATES.size(); i++)
{
DoubleArray v = NORMAL_VOL_RATES.with(i, NORMAL_VOL_RATES.get(i) + shift);
InterpolatedNodalSurface param = InterpolatedNodalSurface.of(Surfaces.normalVolatilityByExpirySimpleMoneyness("Rate", ACT_365F, MoneynessType.RATES), TIMES, MONEYNESS_RATES, v, INTERPOLATOR_2D);
NormalIborFutureOptionExpirySimpleMoneynessVolatilities vol = NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(EUR_EURIBOR_3M, VAL_DATE_TIME, param);
double vP = vol.volatility(expiry, fixing, strikePrice, futurePrice);
double s = ps.getSensitivity(PARAMETERS_RATE.Name, EUR).Sensitivity.get(i);
assertEquals(s, (vP - v0) / shift * sensitivity, TOLERANCE_DELTA);
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivityBuilder pointCaplet = PRICER.presentValueSensitivityRatesStickyModel(CAPLET_LONG, RATES, VOLS);
CurrencyParameterSensitivities computedCaplet = RATES.parameterSensitivity(pointCaplet.build());
PointSensitivityBuilder pointFloorlet = PRICER.presentValueSensitivityRatesStickyModel(FLOORLET_SHORT, RATES, VOLS);
CurrencyParameterSensitivities computedFloorlet = RATES.parameterSensitivity(pointFloorlet.build());
CurrencyParameterSensitivities expectedCaplet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(CAPLET_LONG, p, VOLS));
CurrencyParameterSensitivities expectedFloorlet = FD_CAL.sensitivity(RATES, p => PRICER_BASE.presentValue(FLOORLET_SHORT, p, VOLS));
assertTrue(computedCaplet.equalWithTolerance(expectedCaplet, EPS_FD * NOTIONAL * 50d));
assertTrue(computedFloorlet.equalWithTolerance(expectedFloorlet, EPS_FD * NOTIONAL * 50d));
// consistency with shifted Black
PointSensitivityBuilder pointCapletBase = PRICER.presentValueSensitivityRates(CAPLET_LONG, RATES, VOLS);
PointSensitivityBuilder pointFloorletBase = PRICER.presentValueSensitivityRates(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(EUR_EURIBOR_3M, VALUATION, ConstantSurface.of("constVol", volatility).withMetadata(Surfaces.blackVolatilityByExpiryStrike("costVol", DayCounts.ACT_ACT_ISDA)), IborCapletFloorletSabrRateVolatilityDataSet.CURVE_CONST_SHIFT);
PointSensitivityBuilder pointCapletExp = PRICER_BASE.presentValueSensitivityRates(CAPLET_LONG, RATES, vols);
PointSensitivityBuilder pointFloorletExp = PRICER_BASE.presentValueSensitivityRates(FLOORLET_SHORT, RATES, vols);
assertEquals(pointCapletBase, pointCapletExp);
assertEquals(pointFloorletBase, pointFloorletExp);
}
//-------------------------------------------------------------------------
public virtual void test_presentValue_formula()
{
CurrencyAmount computedCaplet = PRICER.presentValue(CAPLET_LONG, RATES, VOLS);
CurrencyAmount computedFloorlet = PRICER.presentValue(FLOORLET_SHORT, RATES, VOLS);
double forward = RATES.iborIndexRates(EUR_EURIBOR_3M).rate(RATE_COMP.Observation);
double expiry = VOLS.relativeTime(CAPLET_LONG.FixingDateTime);
double volatility = VOLS.volatility(expiry, STRIKE, forward);
double df = RATES.discountFactor(EUR, CAPLET_LONG.PaymentDate);
double expectedCaplet = NOTIONAL * df * CAPLET_LONG.YearFraction * BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, CALL.Call);
double expectedFloorlet = -NOTIONAL *df *FLOORLET_SHORT.YearFraction *BlackFormulaRepository.price(forward + SHIFT, STRIKE + SHIFT, expiry, volatility, PUT.Call);
assertEquals(computedCaplet.Currency, EUR);
assertEquals(computedCaplet.Amount, expectedCaplet, NOTIONAL * TOL);
assertEquals(computedFloorlet.Currency, EUR);
assertEquals(computedFloorlet.Amount, expectedFloorlet, NOTIONAL * TOL);
// consistency with shifted Black
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(EUR_EURIBOR_3M, VALUATION, ConstantSurface.of("constVol", volatility).withMetadata(Surfaces.blackVolatilityByExpiryStrike("costVol", DayCounts.ACT_ACT_ISDA)), IborCapletFloorletSabrRateVolatilityDataSet.CURVE_CONST_SHIFT);
CurrencyAmount computedCapletBlack = PRICER_BASE.presentValue(CAPLET_LONG, RATES, vols);
CurrencyAmount computedFloorletBlack = PRICER_BASE.presentValue(FLOORLET_SHORT, RATES, vols);
assertEquals(computedCaplet.Amount, computedCapletBlack.Amount, NOTIONAL * TOL);
assertEquals(computedFloorlet.Amount, computedFloorletBlack.Amount, NOTIONAL * TOL);
}