static SwaptionCubeData()
{
EXPIRIES.Add(Period.ofMonths(1));
EXPIRIES.Add(Period.ofMonths(3));
EXPIRIES.Add(Period.ofMonths(6));
EXPIRIES.Add(Period.ofYears(1));
EXPIRIES.Add(Period.ofYears(2));
EXPIRIES.Add(Period.ofYears(5));
TENORS.Add(Tenor.TENOR_1Y);
TENORS.Add(Tenor.TENOR_2Y);
TENORS.Add(Tenor.TENOR_5Y);
EXPIRIES_SIMPLE.Add(Period.ofMonths(1));
EXPIRIES_SIMPLE.Add(Period.ofMonths(6));
EXPIRIES_SIMPLE.Add(Period.ofYears(1));
TENORS_SIMPLE.Add(Tenor.TENOR_1Y);
TENORS_SIMPLE.Add(Tenor.TENOR_2Y);
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(1));
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(3));
EXPIRIES_SIMPLE_2.Add(Period.ofMonths(6));
EXPIRIES_SIMPLE_2.Add(Period.ofYears(1));
for (int i = 0; i < EXPIRIES_SIMPLE_2.Count; i++)
{
BusinessDayAdjustment bda = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment;
EXPIRIES_SIMPLE_2_TIME[2 * i] = DAY_COUNT.relativeYearFraction(DATA_DATE, bda.adjust(DATA_DATE.plus(EXPIRIES_SIMPLE_2[i]), REF_DATA));
EXPIRIES_SIMPLE_2_TIME[2 * i + 1] = EXPIRIES_SIMPLE_2_TIME[2 * i];
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test(enabled = true) public void log_normal_atm()
public virtual void log_normal_atm()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0000;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibratedSmile = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SPARSE, MULTICURVE, betaSurface, shiftSurface);
SabrParametersSwaptionVolatilities calibratedAtm = SABR_CALIBRATION.calibrateAlphaWithAtm(NAME_SABR, calibratedSmile, MULTICURVE, ATM_LOGNORMAL_SIMPLE, TENORS_SIMPLE, EXPIRIES_SIMPLE_2, INTERPOLATOR_2D);
int nbExp = EXPIRIES_SIMPLE_2.size();
int nbTenor = TENORS_SIMPLE.size();
for (int loopexpiry = 0; loopexpiry < nbExp; loopexpiry++)
{
for (int looptenor = 0; looptenor < nbTenor; looptenor++)
{
double tenor = TENORS_SIMPLE.get(looptenor).get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE_2.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS_SIMPLE.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibratedAtm.relativeTime(expiryDateTime);
double volBlack = calibratedAtm.volatility(expiryDateTime, tenor, parRate, parRate);
double priceComputed = calibratedAtm.price(time, tenor, PutCall.CALL, parRate, parRate, volBlack);
double priceBlack = BlackFormulaRepository.price(parRate, parRate, time, DATA_LOGNORMAL_ATM_SIMPLE[looptenor + loopexpiry * nbTenor], true);
assertEquals(priceComputed, priceBlack, TOLERANCE_PRICE_CALIBRATION_ROOT);
}
}
}
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void normal_cube()
public virtual void normal_cube()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SIMPLE, MULTICURVE, betaSurface, shiftSurface);
for (int looptenor = 0; looptenor < TENORS_SIMPLE.size(); looptenor++)
{
double tenor = TENORS_SIMPLE.get(looptenor).get(ChronoUnit.YEARS);
for (int loopexpiry = 0; loopexpiry < EXPIRIES_SIMPLE.size(); loopexpiry++)
{
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE.get(loopexpiry)), REF_DATA);
LocalDate effectiveDate = EUR_FIXED_1Y_EURIBOR_6M.calculateSpotDateFromTradeDate(expiry, REF_DATA);
LocalDate endDate = effectiveDate.plus(TENORS_SIMPLE.get(looptenor));
SwapTrade swap = EUR_FIXED_1Y_EURIBOR_6M.toTrade(CALIBRATION_DATE, effectiveDate, endDate, BuySell.BUY, 1.0, 0.0);
double parRate = SWAP_PRICER.parRate(swap.resolve(REF_DATA).Product, MULTICURVE);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney]))
{
double strike = parRate + MONEYNESS.get(loopmoney);
double volBlack = calibrated.volatility(expiryDateTime, tenor, strike, parRate);
double priceComputed = BlackFormulaRepository.price(parRate + shift, parRate + MONEYNESS.get(loopmoney) + shift, time, volBlack, true);
double priceNormal = NormalFormulaRepository.price(parRate, parRate + MONEYNESS.get(loopmoney), time, DATA_ARRAY_SPARSE[looptenor][loopexpiry][loopmoney], PutCall.CALL);
assertEquals(priceComputed, priceNormal, TOLERANCE_PRICE_CALIBRATION_LS);
}
}
}
}
}
/// <summary>
/// Check that the sensitivities of parameters with respect to data is stored in the metadata.
/// Compare the sensitivities to a finite difference approximation.
/// This test is relatively slow as it calibrates the full surface multiple times.
/// </summary>
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void normal_cube_sensitivity()
public virtual void normal_cube_sensitivity()
{
double beta = 0.50;
Surface betaSurface = ConstantSurface.of("Beta", beta).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).zValueType(ValueType.SABR_BETA).surfaceName("Beta").build());
double shift = 0.0300;
Surface shiftSurface = ConstantSurface.of("Shift", shift).withMetadata(DefaultSurfaceMetadata.builder().xValueType(ValueType.YEAR_FRACTION).yValueType(ValueType.YEAR_FRACTION).surfaceName("Shift").build());
SabrParametersSwaptionVolatilities calibrated = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, DATA_SIMPLE, MULTICURVE, betaSurface, shiftSurface);
double fdShift = 1.0E-5;
SurfaceMetadata alphaMetadata = calibrated.Parameters.AlphaSurface.Metadata;
Optional <IList <ParameterMetadata> > alphaParameterMetadataOption = alphaMetadata.ParameterMetadata;
assertTrue(alphaParameterMetadataOption.Present);
IList <ParameterMetadata> alphaParameterMetadata = alphaParameterMetadataOption.get();
IList <DoubleArray> alphaJacobian = calibrated.DataSensitivityAlpha.get();
SurfaceMetadata rhoMetadata = calibrated.Parameters.RhoSurface.Metadata;
Optional <IList <ParameterMetadata> > rhoParameterMetadataOption = rhoMetadata.ParameterMetadata;
assertTrue(rhoParameterMetadataOption.Present);
IList <ParameterMetadata> rhoParameterMetadata = rhoParameterMetadataOption.get();
IList <DoubleArray> rhoJacobian = calibrated.DataSensitivityRho.get();
SurfaceMetadata nuMetadata = calibrated.Parameters.NuSurface.Metadata;
Optional <IList <ParameterMetadata> > nuParameterMetadataOption = nuMetadata.ParameterMetadata;
assertTrue(nuParameterMetadataOption.Present);
IList <ParameterMetadata> nuParameterMetadata = nuParameterMetadataOption.get();
IList <DoubleArray> nuJacobian = calibrated.DataSensitivityNu.get();
int surfacePointIndex = 0;
for (int loopexpiry = 0; loopexpiry < EXPIRIES_SIMPLE.size(); loopexpiry++)
{
for (int looptenor = 0; looptenor < TENORS_SIMPLE.size(); looptenor++)
{
Tenor tenor = TENORS_SIMPLE.get(looptenor);
double tenorYear = tenor.get(ChronoUnit.YEARS);
LocalDate expiry = EUR_FIXED_1Y_EURIBOR_6M.FloatingLeg.StartDateBusinessDayAdjustment.adjust(CALIBRATION_DATE.plus(EXPIRIES_SIMPLE.get(loopexpiry)), REF_DATA);
ZonedDateTime expiryDateTime = expiry.atTime(11, 0).atZone(ZoneId.of("Europe/Berlin"));
double time = calibrated.relativeTime(expiryDateTime);
Pair <DoubleArray, DoubleArray> ds = DATA_SIMPLE.getData(tenor).availableSmileAtExpiry(EXPIRIES_SIMPLE.get(loopexpiry));
if (!ds.First.Empty)
{
int availableDataIndex = 0;
ParameterMetadata alphaPM = alphaParameterMetadata[surfacePointIndex];
assertTrue(alphaPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmAlphaSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)alphaPM;
assertEquals(tenorYear, pmAlphaSabr.Tenor);
assertEquals(time, pmAlphaSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray alphaSensitivityToData = alphaJacobian[surfacePointIndex];
ParameterMetadata rhoPM = rhoParameterMetadata[surfacePointIndex];
assertTrue(rhoPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmRhoSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)rhoPM;
assertEquals(tenorYear, pmRhoSabr.Tenor);
assertEquals(time, pmRhoSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray rhoSensitivityToData = rhoJacobian[surfacePointIndex];
ParameterMetadata nuPM = nuParameterMetadata[surfacePointIndex];
assertTrue(nuPM is SwaptionSurfaceExpiryTenorParameterMetadata);
SwaptionSurfaceExpiryTenorParameterMetadata pmNuSabr = (SwaptionSurfaceExpiryTenorParameterMetadata)nuPM;
assertEquals(tenorYear, pmNuSabr.Tenor);
assertEquals(time, pmNuSabr.YearFraction, TOLERANCE_EXPIRY);
DoubleArray nuSensitivityToData = nuJacobian[surfacePointIndex];
for (int loopmoney = 0; loopmoney < MONEYNESS.size(); loopmoney++)
{
if (!double.IsNaN(DATA_NORMAL_SIMPLE[looptenor][loopexpiry][loopmoney]))
{
double[] alphaShifted = new double[2];
double[] rhoShifted = new double[2];
double[] nuShifted = new double[2];
for (int loopsign = 0; loopsign < 2; loopsign++)
{
TenorRawOptionData dataShifted = SabrSwaptionCalibratorSmileTestUtils.rawDataShiftPoint(TENORS_SIMPLE, EXPIRIES_SIMPLE, ValueType.SIMPLE_MONEYNESS, MONEYNESS, ValueType.NORMAL_VOLATILITY, DATA_NORMAL_SIMPLE, looptenor, loopexpiry, loopmoney, (2 * loopsign - 1) * fdShift);
SabrParametersSwaptionVolatilities calibratedShifted = SABR_CALIBRATION.calibrateWithFixedBetaAndShift(DEFINITION, CALIBRATION_TIME, dataShifted, MULTICURVE, betaSurface, shiftSurface);
alphaShifted[loopsign] = calibratedShifted.Parameters.AlphaSurface.zValue(time, tenorYear);
rhoShifted[loopsign] = calibratedShifted.Parameters.RhoSurface.zValue(time, tenorYear);
nuShifted[loopsign] = calibratedShifted.Parameters.NuSurface.zValue(time, tenorYear);
}
double alphaSensitivityComputed = alphaSensitivityToData.get(availableDataIndex);
double alphaSensitivityExpected = (alphaShifted[1] - alphaShifted[0]) / (2 * fdShift);
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(alphaSensitivityComputed, alphaSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Alpha: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double rhoSensitivityComputed = rhoSensitivityToData.get(availableDataIndex);
double rhoSensitivityExpected = (rhoShifted[1] - rhoShifted[0]) / (2 * fdShift);
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(rhoSensitivityComputed, rhoSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY, "Rho: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
double nuSensitivityComputed = nuSensitivityToData.get(availableDataIndex);
double nuSensitivityExpected = (nuShifted[1] - nuShifted[0]) / (2 * fdShift);
SabrSwaptionCalibratorSmileTestUtils.checkAcceptable(nuSensitivityComputed, nuSensitivityExpected, TOLERANCE_PARAM_SENSITIVITY_NU, "Nu: " + looptenor + " / " + loopexpiry + " / " + loopmoney);
availableDataIndex++;
}
}
surfacePointIndex++;
}
}
}
}
