// -------------------------------------------------------------------------
public void test_cloned() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity test = base.cloned();
assertSame(test, base);
}
// -------------------------------------------------------------------------
public void test_build() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
PointSensitivities test = base.build();
assertEquals(test.getSensitivities(), ImmutableList.of(base));
}
// -------------------------------------------------------------------------
public void test_withSensitivity() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity expected =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, 20d);
BondFutureOptionSensitivity test = base.withSensitivity(20d);
assertEquals(test, expected);
}
// -------------------------------------------------------------------------
public void test_withCurrency() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
assertSame(base.withCurrency(GBP), base);
BondFutureOptionSensitivity expected =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, USD, SENSITIVITY);
BondFutureOptionSensitivity test = base.withCurrency(USD);
assertEquals(test, expected);
}
public void test_of() {
BondFutureOptionSensitivity test =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
assertEquals(test.getVolatilitiesName(), NAME);
assertEquals(test.getCurrency(), GBP);
assertEquals(test.getExpiry(), OPTION_EXPIRY);
assertEquals(test.getFutureExpiryDate(), FUTURE_EXPIRY);
assertEquals(test.getStrikePrice(), STRIKE_PRICE);
assertEquals(test.getFuturePrice(), FUTURE_PRICE);
assertEquals(test.getSensitivity(), SENSITIVITY);
}
// -------------------------------------------------------------------------
public void coverage() {
BondFutureOptionSensitivity test1 =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
coverImmutableBean(test1);
BondFutureOptionSensitivity test2 =
BondFutureOptionSensitivity.of(
BondFutureVolatilitiesName.of("FOO-BOND-FUT"),
OPTION_EXPIRY + 1,
date(2015, 9, 28),
0.985,
0.995,
USD,
SENSITIVITY);
coverBeanEquals(test1, test2);
}
// -------------------------------------------------------------------------
public void test_multipliedBy() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity expected =
BondFutureOptionSensitivity.of(
NAME,
OPTION_EXPIRY,
FUTURE_EXPIRY,
STRIKE_PRICE,
FUTURE_PRICE,
GBP,
SENSITIVITY * 3.5d);
BondFutureOptionSensitivity test = base.multipliedBy(3.5d);
assertEquals(test, expected);
}
// -------------------------------------------------------------------------
public void test_convertedTo() {
BondFutureOptionSensitivity base =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
double rate = 1.5d;
FxMatrix matrix = FxMatrix.of(CurrencyPair.of(GBP, USD), rate);
BondFutureOptionSensitivity test1 = (BondFutureOptionSensitivity) base.convertedTo(USD, matrix);
BondFutureOptionSensitivity expected =
BondFutureOptionSensitivity.of(
NAME,
OPTION_EXPIRY,
FUTURE_EXPIRY,
STRIKE_PRICE,
FUTURE_PRICE,
USD,
SENSITIVITY * rate);
assertEquals(test1, expected);
BondFutureOptionSensitivity test2 = (BondFutureOptionSensitivity) base.convertedTo(GBP, matrix);
assertEquals(test2, base);
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
double expiry = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
BondFutureOptionSensitivity point =
BondFutureOptionSensitivity.of(
VOLS.getName(),
expiry,
TEST_FUTURE_EXPIRY[i],
TEST_STRIKE_PRICE[i],
TEST_FUTURE_PRICE[i],
USD,
TEST_SENSITIVITY[i]);
CurrencyParameterSensitivity sensActual =
VOLS.parameterSensitivity(point).getSensitivities().get(0);
double[] computed = sensActual.getSensitivity().toArray();
for (int j = 0; j < nData; j++) {
DoubleArray volDataUp = VOL.with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataDw, INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramDw);
double volUp =
provUp.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double volDw =
provDw.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed[j], fd, eps);
}
}
}
// -------------------------------------------------------------------------
public void test_compareKey() {
BondFutureOptionSensitivity a1 =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity a2 =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity b =
BondFutureOptionSensitivity.of(
BondFutureVolatilitiesName.of("FOO-BOND-FUT"),
OPTION_EXPIRY,
FUTURE_EXPIRY,
STRIKE_PRICE,
FUTURE_PRICE,
GBP,
SENSITIVITY);
BondFutureOptionSensitivity c =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY + 1, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity d =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, date(2015, 9, 28), STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity e =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, 0.995, FUTURE_PRICE, GBP, SENSITIVITY);
BondFutureOptionSensitivity f =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, 0.975, GBP, SENSITIVITY);
BondFutureOptionSensitivity g =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, USD, SENSITIVITY);
ZeroRateSensitivity other = ZeroRateSensitivity.of(GBP, 2d, 32d);
assertEquals(a1.compareKey(a2), 0);
assertEquals(a1.compareKey(b) > 0, true);
assertEquals(b.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(c) < 0, true);
assertEquals(c.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(d) < 0, true);
assertEquals(d.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(e) < 0, true);
assertEquals(e.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(f) > 0, true);
assertEquals(f.compareKey(a1) < 0, true);
assertEquals(a1.compareKey(g) < 0, true);
assertEquals(g.compareKey(a1) > 0, true);
assertEquals(a1.compareKey(other) < 0, true);
assertEquals(other.compareKey(a1) > 0, true);
}
public void test_serialization() {
BondFutureOptionSensitivity test =
BondFutureOptionSensitivity.of(
NAME, OPTION_EXPIRY, FUTURE_EXPIRY, STRIKE_PRICE, FUTURE_PRICE, GBP, SENSITIVITY);
assertSerialization(test);
}