private void priceCheck(double[] strikes)
{
for (int i = 0; i < N; i++)
{
double ivNormalComputed = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, strikes[i], T, SIGMA_BLACK[i]);
double priceNormalComputed = NormalFormulaRepository.price(FORWARD, strikes[i], T, ivNormalComputed, PutCall.CALL) * DF;
double priceBlack = BlackFormulaRepository.price(FORWARD, strikes[i], T, SIGMA_BLACK[i], true) * DF;
assertEquals(priceNormalComputed, priceBlack, TOLERANCE_PRICE);
}
}
public virtual void implied_volatility_adjoint()
{
double shiftFd = 1.0E-6;
for (int i = 0; i < N; i++)
{
double impliedVol = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
ValueDerivatives impliedVolAdj = NormalFormulaRepository.impliedVolatilityFromBlackApproximatedAdjoint(FORWARD, STRIKES[i], T, SIGMA_BLACK[i]);
assertEquals(impliedVolAdj.Value, impliedVol, TOLERANCE_VOL);
double impliedVolP = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] + shiftFd);
double impliedVolM = NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, STRIKES[i], T, SIGMA_BLACK[i] - shiftFd);
double derivativeApproximated = (impliedVolP - impliedVolM) / (2 * shiftFd);
assertEquals(impliedVolAdj.Derivatives.size(), 1);
assertEquals(impliedVolAdj.getDerivative(0), derivativeApproximated, TOLERANCE_VOL);
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void wrong_forward()
public virtual void wrong_forward()
{
NormalFormulaRepository.impliedVolatilityFromBlackApproximated(-1.0d, FORWARD, T, 0.20d);
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(expectedExceptions = IllegalArgumentException.class) public void wrong_strike()
public virtual void wrong_strike()
{
NormalFormulaRepository.impliedVolatilityFromBlackApproximated(FORWARD, -1.0d, T, 0.20d);
}
