//-------------------------------------------------------------------------
// bumping a node point at nodeExpiry
private double nodeSensitivity(BlackFxOptionFlatVolatilities provider, CurrencyPair pair, ZonedDateTime expiry, double strike, double forward, double nodeExpiry)
{
NodalCurve curve = (NodalCurve)provider.Curve;
DoubleArray xValues = curve.XValues;
DoubleArray yValues = curve.YValues;
int nData = xValues.size();
int index = -1;
for (int i = 0; i < nData; ++i)
{
if (Math.Abs(xValues.get(i) - nodeExpiry) < TOLERANCE)
{
index = i;
}
}
NodalCurve curveUp = curve.withYValues(yValues.with(index, yValues.get(index) + EPS));
NodalCurve curveDw = curve.withYValues(yValues.with(index, yValues.get(index) - EPS));
BlackFxOptionFlatVolatilities provUp = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, curveUp);
BlackFxOptionFlatVolatilities provDw = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, curveDw);
double volUp = provUp.volatility(pair, expiry, strike, forward);
double volDw = provDw.volatility(pair, expiry, strike, forward);
return(0.5 * (volUp - volDw) / EPS);
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
BlackFxOptionFlatVolatilities test1 = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR, VAL_DATE_TIME, CURVE);
coverImmutableBean(test1);
BlackFxOptionFlatVolatilities test2 = BlackFxOptionFlatVolatilities.of(CURRENCY_PAIR.inverse(), ZonedDateTime.of(2015, 12, 21, 11, 15, 0, 0, ZoneId.of("Z")), CURVE);
coverBeanEquals(test1, test2);
}