//-------------------------------------------------------------------------
public virtual void test_volatility()
{
for (int i = 0; i < NB_EXPIRY; i++)
{
double expiryTime = VOLS.relativeTime(TEST_EXPIRY[i]);
for (int j = 0; j < NB_STRIKE; ++j)
{
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[j]);
double volComputed = VOLS.volatility(CURRENCY_PAIR, TEST_EXPIRY[i], TEST_STRIKE[j], FORWARD[i]);
assertEquals(volComputed, volExpected, TOLERANCE);
}
}
}
public virtual void test_volatility()
{
for (int i = 0; i < NB_TEST; i++)
{
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = SURFACE.zValue(expiryTime, TEST_STRIKE[i]);
double volComputed = VOLS.volatility(TEST_OPTION_EXPIRY[i], TEST_TENOR, TEST_STRIKE[i], TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
//-------------------------------------------------------------------------
public virtual void test_presentValueSensitivity()
{
PointSensitivities point = OPTION_TRADE_PRICER.presentValueSensitivityRates(OPTION_TRADE, RATE_PROVIDER, VOLS);
CurrencyParameterSensitivities computed = RATE_PROVIDER.parameterSensitivity(point);
double futurePrice = FUTURE_PRICER.price(OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER);
double strike = OPTION_PRODUCT.StrikePrice;
double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, OPTION_PRODUCT.ExpiryDate);
double logMoneyness = Math.Log(strike / futurePrice);
double logMoneynessUp = Math.Log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.Log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurrencyParameterSensitivities sensiVol = RATE_PROVIDER.parameterSensitivity(FUTURE_PRICER.priceSensitivity(OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER)).multipliedBy(-vega * volSensi * NOTIONAL * QUANTITY);
CurrencyParameterSensitivities expected = FD_CAL.sensitivity(RATE_PROVIDER, (p) => OPTION_TRADE_PRICER.presentValue(OPTION_TRADE, (p), VOLS, REFERENCE_PRICE));
assertTrue(computed.equalWithTolerance(expected.combinedWith(sensiVol), 30d * EPS * NOTIONAL * QUANTITY));
}
public virtual void test_price()
{
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOLS);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.UnderlyingFuture, RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.StrikePrice;
double expiryTime = ACT_365F.relativeYearFraction(VAL_DATE, FUTURE_OPTION_PRODUCT.ExpiryDate);
double logMoneyness = Math.Log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
private Triple <DoubleArray, DoubleArray, DoubleArray> createCapletNodes(InterpolatedNodalSurface capVolSurface, DoubleArray capletExpiries, DoubleArray strikes, Curve shiftCurve)
{
IList <double> timeCapletList = new List <double>();
IList <double> strikeCapletList = new List <double>();
IList <double> volCapletList = new List <double>();
int nTimes = capletExpiries.size();
int nStrikes = strikes.size();
for (int i = 0; i < nTimes; ++i)
{
double expiry = capletExpiries.get(i);
double shift = shiftCurve.yValue(expiry);
((IList <double>)timeCapletList).AddRange(DoubleArray.filled(nStrikes, expiry).toList());
((IList <double>)strikeCapletList).AddRange(strikes.plus(shift).toList());
((IList <double>)volCapletList).AddRange(DoubleArray.of(nStrikes, n => capVolSurface.zValue(expiry, strikes.get(n) + shift)).toList()); // initial guess
}
return(Triple.of(DoubleArray.copyOf(timeCapletList), DoubleArray.copyOf(strikeCapletList), DoubleArray.copyOf(volCapletList)));
}