public virtual void recovery_test_normal()
{
double lambdaT = 0.07;
double lambdaK = 0.07;
double error = 1.0e-5;
DirectIborCapletFloorletVolatilityDefinition definition = DirectIborCapletFloorletVolatilityDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, lambdaT, lambdaK, INTERPOLATOR);
ImmutableList <Period> maturities = createNormalMaturities();
DoubleArray strikes = createNormalStrikes();
DoubleMatrix errorMatrix = DoubleMatrix.filled(maturities.size(), strikes.size(), error);
RawOptionData data = RawOptionData.of(maturities, strikes, STRIKE, createFullNormalDataMatrix(), errorMatrix, NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
NormalIborCapletFloorletExpiryStrikeVolatilities resVol = (NormalIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
}
public virtual void test_presentValue()
{
CurrencyAmount capComputed = PRICER.presentValue(CAP, RATES, VOLS);
CurrencyAmount floorComputed = PRICER.presentValue(FLOOR, RATES, VOLS);
double capExpected = 0d;
double floorExpected = 0d;
int nPeriods = CAP.CapletFloorletPeriods.size();
for (int i = 0; i < nPeriods; ++i)
{
capExpected += PRICER_PERIOD.presentValue(CAP.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
floorExpected += PRICER_PERIOD.presentValue(FLOOR.CapletFloorletPeriods.get(i), RATES, VOLS).Amount;
}
assertEquals(capComputed.Currency, EUR);
assertEquals(capComputed.Amount, capExpected);
assertEquals(floorComputed.Currency, EUR);
assertEquals(floorComputed.Amount, floorExpected);
}
public virtual void test_presentValue()
{
MultiCurrencyAmount computed1 = PRICER.presentValue(CAP_ONE_LEG, RATES, VOLS);
MultiCurrencyAmount computed2 = PRICER.presentValue(CAP_TWO_LEGS, RATES, VOLS);
CurrencyAmount cap = PRICER_CAP_LEG.presentValue(CAP_LEG, RATES, VOLS);
CurrencyAmount pay = PRICER_PAY_LEG.presentValue(PAY_LEG, RATES);
assertEquals(computed1, MultiCurrencyAmount.of(cap));
assertEquals(computed2, MultiCurrencyAmount.of(cap.plus(pay)));
}
