public virtual void negativeRates()
{
double shift = 0.05;
Surface surface = ConstantSurface.of("shfit", shift);
SabrInterestRateParameters @params = SabrInterestRateParameters.of(ALPHA_SURFACE, BETA_SURFACE, RHO_SURFACE, NU_SURFACE, surface, FORMULA);
double expiry = 2.0;
double tenor = 3.0;
assertEquals(@params.alpha(expiry, tenor), ALPHA_SURFACE.zValue(expiry, tenor));
assertEquals(@params.beta(expiry, tenor), BETA_SURFACE.zValue(expiry, tenor));
assertEquals(@params.rho(expiry, tenor), RHO_SURFACE.zValue(expiry, tenor));
assertEquals(@params.nu(expiry, tenor), NU_SURFACE.zValue(expiry, tenor));
double strike = -0.02;
double forward = 0.015;
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(@params.volatility(expiry, tenor, strike, forward), FORMULA.volatility(forward + shift, strike + shift, expiry, alpha, beta, rho, nu));
double[] adjCmp = @params.volatilityAdjoint(expiry, tenor, strike, forward).Derivatives.toArray();
double[] adjExp = FORMULA.volatilityAdjoint(forward + shift, strike + shift, expiry, alpha, beta, rho, nu).Derivatives.toArray();
for (int i = 0; i < 4; ++i)
{
assertEquals(adjCmp[i], adjExp[i]);
}
}
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());
}