@Test
public void testFunctionalSurface3() {
final StandardSmileSurfaceDataBundle data =
new StandardSmileSurfaceDataBundle(
new double[] {1, 2, 3, 4},
new double[] {4, 5, 6, 7},
new double[][] {
new double[] {1, 2, 3, 4},
new double[] {1, 2, 3, 4},
new double[] {1, 2, 3, 4},
new double[] {1, 2, 3, 4}
},
new double[][] {
new double[] {0.1, 0.1, 0.1, 0.1},
new double[] {0.1, 0.1, 0.1, 0.1},
new double[] {0.1, 0.1, 0.1, 0.1},
new double[] {0.1, 0.1, 0.1, 0.1}
},
true,
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR));
final BlackVolatilitySurfaceMoneyness s1 =
new MoneynessPiecewiseSABRSurfaceFitter(true, false, 100).getVolatilitySurface(data);
@SuppressWarnings("unchecked")
final Surface<Double, Double, Double> s2 = cycleObject(Surface.class, s1.getSurface());
assertSurfaceEquals(s1.getSurface(), s2);
}
static {
final IborIndex index =
new IborIndex(
CCY,
Period.ofMonths(1),
0,
new MondayToFridayCalendar("A"),
DayCountFactory.INSTANCE.getDayCount("Actual/365"),
BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
true);
CASH = new ArrayList<InstrumentDerivative>();
FRA = new ArrayList<InstrumentDerivative>();
MIXED_INSTRUMENT = new ArrayList<InstrumentDerivative>();
FORWARD_NODES = new double[N];
FUNDING_NODES = new double[M];
final double[] dataN = new double[N];
final double[] dataM = new double[M];
final double[] dataNpM = new double[N + M];
for (int i = 0; i < N; i++) {
final InstrumentDerivative ird =
new ForwardRateAgreement(
CCY, i, FUNDING_CURVE_NAME, 0.5, 1, index, i, i, i + 0.5, 0.5, 0, FORWARD_CURVE_NAME);
FRA.add(ird);
MIXED_INSTRUMENT.add(ird);
FORWARD_NODES[i] = i + 1;
dataN[i] = Math.random() / 10;
dataNpM[i] = dataN[i];
}
for (int i = 0; i < M; i++) {
final InstrumentDerivative ird = new Cash(CCY, 0, i, 1, 0.0, i, FUNDING_CURVE_NAME);
CASH.add(ird);
MIXED_INSTRUMENT.add(ird);
FUNDING_NODES[i] = i;
dataM[i] = Math.random() / 10;
dataNpM[i + N] = dataM[i];
}
EXTRAPOLATOR =
CombinedInterpolatorExtrapolatorFactory.getInterpolator(
Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR);
CASH_NODES = new LinkedHashMap<String, double[]>();
CASH_NODES.put(FUNDING_CURVE_NAME, FUNDING_NODES);
FRA_NODES = new LinkedHashMap<String, double[]>();
FRA_NODES.put(FORWARD_CURVE_NAME, FORWARD_NODES);
MIXED_NODES = new LinkedHashMap<String, double[]>();
MIXED_NODES.put(FORWARD_CURVE_NAME, FORWARD_NODES);
MIXED_NODES.put(FUNDING_CURVE_NAME, FUNDING_NODES);
CASH_INTERPOLATORS = new LinkedHashMap<String, Interpolator1D>();
CASH_INTERPOLATORS.put(FUNDING_CURVE_NAME, EXTRAPOLATOR);
FRA_INTERPOLATORS = new LinkedHashMap<String, Interpolator1D>();
FRA_INTERPOLATORS.put(FORWARD_CURVE_NAME, EXTRAPOLATOR);
MIXED_INTERPOLATORS = new LinkedHashMap<String, Interpolator1D>();
MIXED_INTERPOLATORS.put(FORWARD_CURVE_NAME, EXTRAPOLATOR);
MIXED_INTERPOLATORS.put(FUNDING_CURVE_NAME, EXTRAPOLATOR);
XM = new DoubleMatrix1D(dataM);
XN = new DoubleMatrix1D(dataN);
XNM = new DoubleMatrix1D(dataNpM);
CASH_ONLY =
new MultipleYieldCurveFinderJacobian(
new MultipleYieldCurveFinderDataBundle(
CASH, new double[CASH.size()], null, CASH_NODES, CASH_INTERPOLATORS, false),
SENSITIVITY_CALCULATOR);
FRA_ONLY =
new MultipleYieldCurveFinderJacobian(
new MultipleYieldCurveFinderDataBundle(
FRA, new double[FRA.size()], null, FRA_NODES, FRA_INTERPOLATORS, false),
SENSITIVITY_CALCULATOR);
MIXED =
new MultipleYieldCurveFinderJacobian(
new MultipleYieldCurveFinderDataBundle(
MIXED_INSTRUMENT,
new double[MIXED_INSTRUMENT.size()],
null,
MIXED_NODES,
MIXED_INTERPOLATORS,
false),
SENSITIVITY_CALCULATOR);
}
