//-------------------------------------------------------------------------
public virtual void coverage()
{
NormalIborFutureOptionExpirySimpleMoneynessVolatilities test = NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(EUR_EURIBOR_3M, VAL_DATE_TIME, PARAMETERS_RATE);
coverImmutableBean(test);
NormalIborFutureOptionExpirySimpleMoneynessVolatilities test2 = NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(EUR_EURIBOR_6M, VAL_DATE_TIME.plusDays(1), PARAMETERS_PRICE);
coverBeanEquals(test, test2);
}
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
NormalIborFutureOptionExpirySimpleMoneynessVolatilities other = (NormalIborFutureOptionExpirySimpleMoneynessVolatilities)obj;
return(JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(valuationDateTime, other.valuationDateTime) && JodaBeanUtils.equal(surface, other.surface));
}
return(false);
}
//-------------------------------------------------------------------------
public virtual void test_parameterSensitivity()
{
double expiry = ACT_365F.relativeYearFraction(VAL_DATE, LocalDate.of(2015, 8, 14));
LocalDate fixing = LocalDate.of(2016, 9, 14);
double strikePrice = 1.0025;
double futurePrice = 0.9975;
double sensitivity = 123456;
IborFutureOptionSensitivity point = IborFutureOptionSensitivity.of(VOL_SIMPLE_MONEY_RATE.Name, expiry, fixing, strikePrice, futurePrice, EUR, sensitivity);
CurrencyParameterSensitivities ps = VOL_SIMPLE_MONEY_RATE.parameterSensitivity(point);
double shift = 1.0E-6;
double v0 = VOL_SIMPLE_MONEY_RATE.volatility(expiry, fixing, strikePrice, futurePrice);
for (int i = 0; i < NORMAL_VOL_RATES.size(); i++)
{
DoubleArray v = NORMAL_VOL_RATES.with(i, NORMAL_VOL_RATES.get(i) + shift);
InterpolatedNodalSurface param = InterpolatedNodalSurface.of(Surfaces.normalVolatilityByExpirySimpleMoneyness("Rate", ACT_365F, MoneynessType.RATES), TIMES, MONEYNESS_RATES, v, INTERPOLATOR_2D);
NormalIborFutureOptionExpirySimpleMoneynessVolatilities vol = NormalIborFutureOptionExpirySimpleMoneynessVolatilities.of(EUR_EURIBOR_3M, VAL_DATE_TIME, param);
double vP = vol.volatility(expiry, fixing, strikePrice, futurePrice);
double s = ps.getSensitivity(PARAMETERS_RATE.Name, EUR).Sensitivity.get(i);
assertEquals(s, (vP - v0) / shift * sensitivity, TOLERANCE_DELTA);
}
}
