public virtual void negativeRates()
{
double shift = 0.05;
Curve surface = ConstantCurve.of("shfit", shift);
SabrParameters @params = SabrParameters.of(ALPHA_CURVE, BETA_CURVE, RHO_CURVE, NU_CURVE, surface, FORMULA);
double expiry = 2.0;
assertEquals(@params.alpha(expiry), ALPHA_CURVE.yValue(expiry));
assertEquals(@params.beta(expiry), BETA_CURVE.yValue(expiry));
assertEquals(@params.rho(expiry), RHO_CURVE.yValue(expiry));
assertEquals(@params.nu(expiry), NU_CURVE.yValue(expiry));
double strike = -0.02;
double forward = 0.015;
double alpha = ALPHA_CURVE.yValue(expiry);
double beta = BETA_CURVE.yValue(expiry);
double rho = RHO_CURVE.yValue(expiry);
double nu = NU_CURVE.yValue(expiry);
assertEquals(@params.volatility(expiry, strike, forward), FORMULA.volatility(forward + shift, strike + shift, expiry, alpha, beta, rho, nu));
double[] adjCmp = @params.volatilityAdjoint(expiry, 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 perturbation()
{
SabrParameters test = PARAMETERS.withPerturbation((i, v, m) => (2d + i) * v);
SabrParameters expected = PARAMETERS;
for (int i = 0; i < PARAMETERS.ParameterCount; ++i)
{
expected = expected.withParameter(i, (2d + i) * expected.getParameter(i));
}
assertEquals(test, expected);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SabrParameters other = (SabrParameters)obj;
return(JodaBeanUtils.equal(alphaCurve, other.alphaCurve) && JodaBeanUtils.equal(betaCurve, other.betaCurve) && JodaBeanUtils.equal(rhoCurve, other.rhoCurve) && JodaBeanUtils.equal(nuCurve, other.nuCurve) && JodaBeanUtils.equal(shiftCurve, other.shiftCurve) && JodaBeanUtils.equal(sabrVolatilityFormula, other.sabrVolatilityFormula));
}
return(false);
}
