//-------------------------------------------------------------------------
public virtual void test_surfaceParameterSensitivity()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
for (int j = 0; j < NB_STRIKE; ++j)
{
double timeToExpiry = VOLS.relativeTime(TEST_EXPIRY[i]);
FxOptionSensitivity sensi = FxOptionSensitivity.of(VOLS.Name, CURRENCY_PAIR, timeToExpiry, TEST_STRIKE[j], FORWARD[i], GBP, 1d);
CurrencyParameterSensitivity computed = VOLS.parameterSensitivity(sensi).Sensitivities.get(0);
IEnumerator <ParameterMetadata> itr = computed.ParameterMetadata.GetEnumerator();
foreach (double value in computed.Sensitivity.toArray())
{
//JAVA TO C# CONVERTER TODO TASK: Java iterators are only converted within the context of 'while' and 'for' loops:
FxVolatilitySurfaceYearFractionParameterMetadata meta = ((FxVolatilitySurfaceYearFractionParameterMetadata)itr.next());
double nodeExpiry = meta.YearFraction;
double nodeDelta = meta.Strike.Value;
double expected = nodeSensitivity(VOLS, CURRENCY_PAIR, TEST_EXPIRY[i], TEST_STRIKE[j], FORWARD[i], nodeExpiry, nodeDelta);
assertEquals(value, expected, EPS);
}
}
}
}
//-------------------------------------------------------------------------
public virtual void test_putCallParity()
{
double df = RATES_PROVIDER.discountFactor(USD, PAY);
PointSensitivityBuilder dfSensi = RATES_PROVIDER.discountFactors(USD).zeroRatePointSensitivity(PAY);
for (int i = 0; i < NB_STRIKES; ++i)
{
CurrencyAmount pvCall = PRICER.presentValue(CALLS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiCall = PRICER.presentValueSensitivityRatesStickyStrike(CALLS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiVolCall = PRICER.presentValueSensitivityModelParamsVolatility(CALLS[i], RATES_PROVIDER, VOLS);
CurrencyAmount pvPut = PRICER.presentValue(PUTS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiPut = PRICER.presentValueSensitivityRatesStickyStrike(PUTS[i], RATES_PROVIDER, VOLS);
PointSensitivityBuilder pvSensiVolPut = PRICER.presentValueSensitivityModelParamsVolatility(PUTS[i], RATES_PROVIDER, VOLS);
double forward = FX_PRICER.forwardFxRate(UNDERLYING[i], RATES_PROVIDER).fxRate(CURRENCY_PAIR);
PointSensitivityBuilder forwardSensi = FX_PRICER.forwardFxRatePointSensitivity(UNDERLYING[i], RATES_PROVIDER);
double strike = CALLS[i].Strike;
assertEquals(pvCall.Amount + pvPut.Amount, df * (forward - strike) * NOTIONAL, TOL * NOTIONAL);
assertTrue(pvSensiCall.combinedWith(pvSensiPut).build().normalized().equalWithTolerance(dfSensi.multipliedBy((forward - strike) * NOTIONAL).combinedWith(forwardSensi.multipliedBy(df * NOTIONAL)).build().normalized(), NOTIONAL * TOL));
DoubleArray sensiVol = VOLS.parameterSensitivity(pvSensiVolCall.combinedWith(pvSensiVolPut).build()).Sensitivities.get(0).Sensitivity;
assertTrue(DoubleArrayMath.fuzzyEquals(sensiVol.toArray(), new double[sensiVol.size()], NOTIONAL * TOL));
}
}