private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point)
{
double expiryTime = point.Expiry;
double strike = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Strike : point.Strike;
double forward = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Forward : point.Forward;
double pointValue = point.Sensitivity;
DoubleMatrix bucketedSensi = smile.volatilityAndSensitivities(expiryTime, strike, forward).Sensitivities;
double[] times = smile.Expiries.toArray();
int nTimes = times.Length;
IList <double> sensiList = new List <double>();
IList <ParameterMetadata> paramList = new List <ParameterMetadata>();
for (int i = 0; i < nTimes; ++i)
{
DoubleArray deltas = smile.VolatilityTerm.get(i).Delta;
int nDeltas = deltas.size();
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal]; // absolute delta
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j)
{
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
for (int j = 0; j < nDeltasTotal; ++j)
{
sensiList.Add(bucketedSensi.get(i, j) * pointValue);
DeltaStrike absoluteDelta = DeltaStrike.of(deltasTotal[j]);
ParameterMetadata parameterMetadata = FxVolatilitySurfaceYearFractionParameterMetadata.of(times[i], absoluteDelta, currencyPair);
paramList.Add(parameterMetadata);
}
}
return(CurrencyParameterSensitivity.of(name, paramList, point.Currency, DoubleArray.copyOf(sensiList)));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
FxVolatilitySurfaceYearFractionParameterMetadata test1 = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
coverImmutableBean(test1);
FxVolatilitySurfaceYearFractionParameterMetadata test2 = FxVolatilitySurfaceYearFractionParameterMetadata.of(3d, MoneynessStrike.of(1.1d), CurrencyPair.of(EUR, AUD));
coverBeanEquals(test1, test2);
}
public virtual void test_of_withStrikeType()
{
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Identifier, Pair.of(TIME_TO_EXPIRY, STRIKE));
assertEquals(test.Label, Pair.of(TIME_TO_EXPIRY, STRIKE.Label).ToString());
assertEquals(test.Strike, STRIKE);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_of_withLabel()
{
Pair <double, Strike> pair = Pair.of(TIME_TO_EXPIRY, STRIKE1);
string label = "(1.5, 1.35)";
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE1, label, CURRENCY_PAIR);
assertEquals(test.CurrencyPair, CURRENCY_PAIR);
assertEquals(test.Identifier, pair);
assertEquals(test.Label, label);
assertEquals(test.Strike, STRIKE1);
assertEquals(test.YearFraction, TIME_TO_EXPIRY);
}
public virtual void test_serialization()
{
FxVolatilitySurfaceYearFractionParameterMetadata test = FxVolatilitySurfaceYearFractionParameterMetadata.of(TIME_TO_EXPIRY, STRIKE, CURRENCY_PAIR);
assertSerialization(test);
}
