@Test
public void testGetters() {
assertEquals(DATA.getInterestRateCurve(), CURVE);
assertEquals(DATA.getCostOfCarry(), B, 0);
assertEquals(DATA.getDate(), DATE);
assertEquals(DATA.getSpot(), SPOT, 0);
assertEquals(DATA.getVolatilitySurface(), SURFACE);
}
@Test
public void testBuilders() {
assertEquals(
new SkewKurtosisOptionDataBundle(OTHER_CURVE, B, SURFACE, SPOT, DATE, SKEW, KURTOSIS),
DATA.withInterestRateCurve(OTHER_CURVE));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, OTHER_B, SURFACE, SPOT, DATE, SKEW, KURTOSIS),
DATA.withCostOfCarry(OTHER_B));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, B, OTHER_SURFACE, SPOT, DATE, SKEW, KURTOSIS),
DATA.withVolatilitySurface(OTHER_SURFACE));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, OTHER_SPOT, DATE, SKEW, KURTOSIS),
DATA.withSpot(OTHER_SPOT));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, OTHER_DATE, SKEW, KURTOSIS),
DATA.withDate(OTHER_DATE));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, OTHER_SKEW, KURTOSIS),
DATA.withSkew(OTHER_SKEW));
assertEquals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, SKEW, OTHER_KURTOSIS),
DATA.withKurtosis(OTHER_KURTOSIS));
}
public SkewKurtosisOptionDataBundle(final SkewKurtosisOptionDataBundle data) {
super(data);
_annualizedSkew = data.getAnnualizedSkew();
_annualizedPearsonKurtosis = data.getAnnualizedPearsonKurtosis();
_annualizedFisherKurtosis = _annualizedPearsonKurtosis - 3;
}
@Test
public void testEqualsAndHashCode() {
final SkewKurtosisOptionDataBundle data1 =
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, SKEW, KURTOSIS);
final SkewKurtosisOptionDataBundle data2 =
new SkewKurtosisOptionDataBundle(
new StandardOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE), SKEW, KURTOSIS);
final SkewKurtosisOptionDataBundle data3 =
new SkewKurtosisOptionDataBundle(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, SKEW, KURTOSIS));
assertEquals(DATA, data1);
assertEquals(DATA.hashCode(), data1.hashCode());
assertEquals(DATA, data2);
assertEquals(DATA.hashCode(), data2.hashCode());
assertEquals(DATA, data3);
assertEquals(DATA.hashCode(), data3.hashCode());
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(OTHER_CURVE, B, SURFACE, SPOT, DATE, SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, OTHER_B, SURFACE, SPOT, DATE, SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, B, OTHER_SURFACE, SPOT, DATE, SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, OTHER_SPOT, DATE, SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, OTHER_DATE, SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, OTHER_SKEW, KURTOSIS)));
assertFalse(
DATA.equals(
new SkewKurtosisOptionDataBundle(CURVE, B, SURFACE, SPOT, DATE, SKEW, OTHER_KURTOSIS)));
}
@Test
public void testGetVolatility() {
for (int i = 0; i < 10; i++) {
assertEquals(DATA.getVolatility(Math.random(), Math.random()), SIGMA, 1e-15);
}
}
@Test
public void testGetInterestRate() {
for (int i = 0; i < 10; i++) {
assertEquals(DATA.getInterestRate(Math.random()), R, 1e-15);
}
}
