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 test_findData()
{
SabrParametersSwaptionVolatilities test = SabrParametersSwaptionVolatilities.of(NAME, CONV, DATE_TIME, PARAM);
assertEquals(test.findData(PARAM.AlphaSurface.Name), PARAM.AlphaSurface);
assertEquals(test.findData(PARAM.BetaSurface.Name), PARAM.BetaSurface);
assertEquals(test.findData(PARAM.RhoSurface.Name), PARAM.RhoSurface);
assertEquals(test.findData(PARAM.NuSurface.Name), PARAM.NuSurface);
assertEquals(test.findData(PARAM.ShiftSurface.Name), PARAM.ShiftSurface);
assertEquals(test.findData(SurfaceName.of("Rubbish")), null);
}
public virtual void test_findData()
{
SabrParametersIborCapletFloorletVolatilities test = SabrParametersIborCapletFloorletVolatilities.of(NAME, EUR_EURIBOR_3M, DATE_TIME, PARAM);
assertEquals(test.findData(PARAM.AlphaCurve.Name), PARAM.AlphaCurve);
assertEquals(test.findData(PARAM.BetaCurve.Name), PARAM.BetaCurve);
assertEquals(test.findData(PARAM.RhoCurve.Name), PARAM.RhoCurve);
assertEquals(test.findData(PARAM.NuCurve.Name), PARAM.NuCurve);
assertEquals(test.findData(PARAM.ShiftCurve.Name), PARAM.ShiftCurve);
assertEquals(test.findData(SurfaceName.of("Rubbish")), null);
}
