public virtual void recovery_test_normal2_shift()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC, ConstantCurve.of("Black shift", 0.02));
DoubleArray strikes = createNormalEquivStrikes();
RawOptionData data = RawOptionData.of(createNormalEquivMaturities(), strikes, ValueType.STRIKE, createFullNormalEquivDataMatrix(), ValueType.NORMAL_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities resVol = (ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsNormalEquivVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.normalVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
NormalIborCapletFloorletExpiryStrikeVolatilities constVol = NormalIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_NORMAL.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
assertEquals(res.ChiSquare, 0d);
}
public virtual void recovery_test_blackSurface()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, LINEAR);
DoubleArray strikes = createBlackStrikes();
RawOptionData data = RawOptionData.of(createBlackMaturities(), strikes, ValueType.STRIKE, createFullBlackDataMatrix(), ValueType.BLACK_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
BlackIborCapletFloorletExpiryStrikeVolatilities resVol = (BlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsBlackVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.blackVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
BlackIborCapletFloorletExpiryStrikeVolatilities constVol = BlackIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
assertEquals(res.ChiSquare, 0d);
assertEquals(resVol.Index, USD_LIBOR_3M);
assertEquals(resVol.Name, definition.Name);
assertEquals(resVol.ValuationDateTime, CALIBRATION_TIME);
InterpolatedNodalSurface surface = (InterpolatedNodalSurface)resVol.Surface;
for (int i = 0; i < surface.ParameterCount; ++i)
{
GenericVolatilitySurfacePeriodParameterMetadata metadata = (GenericVolatilitySurfacePeriodParameterMetadata)surface.getParameterMetadata(i);
assertEquals(metadata.Strike.Value, surface.YValues.get(i));
}
}
public virtual void recovery_test_blackCurve()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, LINEAR);
DoubleArray strikes = createBlackStrikes();
for (int i = 0; i < strikes.size(); ++i)
{
Pair <IList <Period>, DoubleMatrix> trimedData = trimData(createBlackMaturities(), createBlackDataMatrixForStrike(i));
RawOptionData data = RawOptionData.of(trimedData.First, DoubleArray.of(strikes.get(i)), ValueType.STRIKE, trimedData.Second, ValueType.BLACK_VOLATILITY);
IborCapletFloorletVolatilityCalibrationResult res = CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER);
BlackIborCapletFloorletExpiryStrikeVolatilities resVol = (BlackIborCapletFloorletExpiryStrikeVolatilities)res.Volatilities;
Pair <IList <ResolvedIborCapFloorLeg>, IList <double> > capsAndVols = getCapsBlackVols(i);
IList <ResolvedIborCapFloorLeg> caps = capsAndVols.First;
IList <double> vols = capsAndVols.Second;
int nCaps = caps.Count;
for (int j = 0; j < nCaps; ++j)
{
ConstantSurface volSurface = ConstantSurface.of(Surfaces.blackVolatilityByExpiryStrike("test", ACT_ACT_ISDA), vols[j]);
BlackIborCapletFloorletExpiryStrikeVolatilities constVol = BlackIborCapletFloorletExpiryStrikeVolatilities.of(USD_LIBOR_3M, CALIBRATION_TIME, volSurface);
double priceOrg = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, constVol).Amount;
double priceCalib = LEG_PRICER_BLACK.presentValue(caps[j], RATES_PROVIDER, resVol).Amount;
assertEquals(priceOrg, priceCalib, Math.Max(priceOrg, 1d) * TOL);
}
}
}
public virtual void test_invalid_data()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition definition = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("test"), USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, LINEAR);
DoubleArray strikes = createBlackStrikes();
RawOptionData data = RawOptionData.of(createBlackMaturities(), strikes, ValueType.STRIKE, createFullBlackDataMatrixInvalid(), ValueType.BLACK_VOLATILITY);
assertThrowsIllegalArg(() => CALIBRATOR.calibrate(definition, CALIBRATION_TIME, data, RATES_PROVIDER));
}
//-------------------------------------------------------------------------
public virtual void coverage()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test1 = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
coverImmutableBean(test1);
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test2 = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName.of("other"), GBP_LIBOR_3M, ACT_365F, LINEAR, LINEAR, SHIFT);
coverBeanEquals(test1, test2);
}
public virtual void test_of_shift()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, STEP_UPPER, DOUBLE_QUADRATIC, SHIFT);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, GridSurfaceInterpolator.of(STEP_UPPER, DOUBLE_QUADRATIC));
assertEquals(test.Name, NAME);
assertEquals(test.ShiftCurve.get(), SHIFT);
}
public virtual void test_of_surface()
{
GridSurfaceInterpolator interp = GridSurfaceInterpolator.of(LINEAR, LINEAR);
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, interp);
assertEquals(test.DayCount, ACT_ACT_ISDA);
assertEquals(test.Index, USD_LIBOR_3M);
assertEquals(test.Interpolator, interp);
assertEquals(test.Name, NAME);
assertFalse(test.ShiftCurve.Present);
}
public virtual void test_createMetadata_wrongValueType()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition @base = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, 0.08, 0.09 }
}), ValueType.PRICE);
assertThrowsIllegalArg(() => @base.createMetadata(capData));
}
public virtual void test_createCap()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition @base = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, TIME_SQUARE, DOUBLE_QUADRATIC);
LocalDate startDate = LocalDate.of(2012, 4, 20);
LocalDate endDate = LocalDate.of(2017, 4, 20);
double strike = 0.01;
IborCapFloorLeg expected = IborCapFloorLeg.builder().calculation(IborRateCalculation.of(USD_LIBOR_3M)).capSchedule(ValueSchedule.of(strike)).currency(USD_LIBOR_3M.Currency).notional(ValueSchedule.ALWAYS_1).paymentDateOffset(DaysAdjustment.NONE).paymentSchedule(PeriodicSchedule.of(startDate, endDate, Frequency.of(USD_LIBOR_3M.Tenor.Period), BusinessDayAdjustment.of(BusinessDayConventions.MODIFIED_FOLLOWING, USD_LIBOR_3M.FixingCalendar), StubConvention.NONE, RollConventions.NONE)).payReceive(PayReceive.RECEIVE).build();
IborCapFloorLeg computed = @base.createCap(startDate, endDate, strike);
assertEquals(computed, expected);
}
//-----------------------------------------------------------------------
public override bool Equals(object obj)
{
if (obj == this)
{
return(true);
}
if (obj != null && obj.GetType() == this.GetType())
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition other = (SurfaceIborCapletFloorletVolatilityBootstrapDefinition)obj;
return(JodaBeanUtils.equal(name, other.name) && JodaBeanUtils.equal(index, other.index) && JodaBeanUtils.equal(dayCount, other.dayCount) && JodaBeanUtils.equal(interpolator, other.interpolator) && JodaBeanUtils.equal(shiftCurve, other.shiftCurve));
}
return(false);
}
public virtual void test_createMetadata_normal()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition @base = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
RawOptionData capData = RawOptionData.of(ImmutableList.of(Period.ofYears(1), Period.ofYears(5)), DoubleArray.of(0.005, 0.01, 0.015), ValueType.STRIKE, DoubleMatrix.copyOf(new double[][]
{
new double[] { 0.15, 0.12, 0.13 },
new double[] { 0.1, Double.NaN, 0.09 }
}), ValueType.NORMAL_VOLATILITY);
IList <GenericVolatilitySurfacePeriodParameterMetadata> list = new List <GenericVolatilitySurfacePeriodParameterMetadata>();
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.005)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.01)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(1), SimpleStrike.of(0.015)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(5), SimpleStrike.of(0.005)));
list.Add(GenericVolatilitySurfacePeriodParameterMetadata.of(Period.ofYears(5), SimpleStrike.of(0.015)));
SurfaceMetadata expected = Surfaces.normalVolatilityByExpiryStrike(NAME.Name, ACT_ACT_ISDA).withParameterMetadata(list);
SurfaceMetadata computed = @base.createMetadata(capData);
assertEquals(computed, expected);
}
public virtual void test_serialization()
{
SurfaceIborCapletFloorletVolatilityBootstrapDefinition test = SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, LINEAR, DOUBLE_QUADRATIC);
assertSerialization(test);
}
//-------------------------------------------------------------------------
public virtual void test_of_wrongInterpolator()
{
assertThrowsIllegalArg(() => SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(NAME, USD_LIBOR_3M, ACT_ACT_ISDA, DOUBLE_QUADRATIC, DOUBLE_QUADRATIC));
}
//-------------------------------------------------------------------------
public override IborCapletFloorletVolatilityCalibrationResult calibrate(IborCapletFloorletVolatilityDefinition definition, ZonedDateTime calibrationDateTime, RawOptionData capFloorData, RatesProvider ratesProvider)
{
ArgChecker.isTrue(ratesProvider.ValuationDate.Equals(calibrationDateTime.toLocalDate()), "valuationDate of ratesProvider should be coherent to calibrationDateTime");
ArgChecker.isTrue(definition is SurfaceIborCapletFloorletVolatilityBootstrapDefinition, "definition should be SurfaceIborCapletFloorletVolatilityBootstrapDefinition");
SurfaceIborCapletFloorletVolatilityBootstrapDefinition bsDefinition = (SurfaceIborCapletFloorletVolatilityBootstrapDefinition)definition;
IborIndex index = bsDefinition.Index;
LocalDate calibrationDate = calibrationDateTime.toLocalDate();
LocalDate baseDate = index.EffectiveDateOffset.adjust(calibrationDate, ReferenceData);
LocalDate startDate = baseDate.plus(index.Tenor);
System.Func <Surface, IborCapletFloorletVolatilities> volatilitiesFunction = this.volatilitiesFunction(bsDefinition, calibrationDateTime, capFloorData);
SurfaceMetadata metadata = bsDefinition.createMetadata(capFloorData);
IList <Period> expiries = capFloorData.Expiries;
int nExpiries = expiries.Count;
DoubleArray strikes = capFloorData.Strikes;
DoubleMatrix errorsMatrix = capFloorData.Error.orElse(DoubleMatrix.filled(nExpiries, strikes.size(), 1d));
IList <double> timeList = new List <double>();
IList <double> strikeList = new List <double>();
IList <double> volList = new List <double>();
IList <ResolvedIborCapFloorLeg> capList = new List <ResolvedIborCapFloorLeg>();
IList <double> priceList = new List <double>();
IList <double> errorList = new List <double>();
int[] startIndex = new int[nExpiries + 1];
for (int i = 0; i < nExpiries; ++i)
{
LocalDate endDate = baseDate.plus(expiries[i]);
DoubleArray volatilityData = capFloorData.Data.row(i);
DoubleArray errors = errorsMatrix.row(i);
reduceRawData(bsDefinition, ratesProvider, strikes, volatilityData, errors, startDate, endDate, metadata, volatilitiesFunction, timeList, strikeList, volList, capList, priceList, errorList);
startIndex[i + 1] = volList.Count;
ArgChecker.isTrue(startIndex[i + 1] > startIndex[i], "no valid option data for {}", expiries[i]);
}
int nTotal = startIndex[nExpiries];
IborCapletFloorletVolatilities vols;
int start;
ZonedDateTime prevExpiry;
DoubleArray initialVol = DoubleArray.copyOf(volList);
if (bsDefinition.ShiftCurve.Present)
{
Curve shiftCurve = bsDefinition.ShiftCurve.get();
DoubleArray strikeShifted = DoubleArray.of(nTotal, n => strikeList[n] + shiftCurve.yValue(timeList[n]));
if (capFloorData.DataType.Equals(NORMAL_VOLATILITY))
{ // correct initial surface
metadata = Surfaces.blackVolatilityByExpiryStrike(bsDefinition.Name.Name, bsDefinition.DayCount).withParameterMetadata(metadata.ParameterMetadata.get());
initialVol = DoubleArray.of(nTotal, n => volList[n] / (ratesProvider.iborIndexRates(index).rate(capList[n].FinalPeriod.IborRate.Observation) + shiftCurve.yValue(timeList[n])));
}
InterpolatedNodalSurface surface = InterpolatedNodalSurface.of(metadata, DoubleArray.copyOf(timeList), strikeShifted, initialVol, bsDefinition.Interpolator);
vols = ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.of(index, calibrationDateTime, surface, bsDefinition.ShiftCurve.get());
start = 0;
prevExpiry = calibrationDateTime.minusDays(1L); // included if calibrationDateTime == fixingDateTime
}
else
{
InterpolatedNodalSurface surface = InterpolatedNodalSurface.of(metadata, DoubleArray.copyOf(timeList), DoubleArray.copyOf(strikeList), initialVol, bsDefinition.Interpolator);
vols = volatilitiesFunction(surface);
start = 1;
prevExpiry = capList[startIndex[1] - 1].FinalFixingDateTime;
}
for (int i = start; i < nExpiries; ++i)
{
for (int j = startIndex[i]; j < startIndex[i + 1]; ++j)
{
System.Func <double, double[]> func = getValueVegaFunction(capList[j], ratesProvider, vols, prevExpiry, j);
GenericImpliedVolatiltySolver solver = new GenericImpliedVolatiltySolver(func);
double priceFixed = i == 0 ? 0d : this.priceFixed(capList[j], ratesProvider, vols, prevExpiry);
double capletVol = solver.impliedVolatility(priceList[j] - priceFixed, initialVol.get(j));
vols = vols.withParameter(j, capletVol);
}
prevExpiry = capList[startIndex[i + 1] - 1].FinalFixingDateTime;
}
return(IborCapletFloorletVolatilityCalibrationResult.ofRootFind(vols));
}
