/** Tests applying a relative index shift to SmileSurfaceDataBundle. */
@Test
public void indexShiftRelativeSurfaceData() {
StandardSmileSurfaceDataBundle surfaceData =
new StandardSmileSurfaceDataBundle(
0d,
new double[] {0, 0, 0}, // not relevant to this test
new double[] {1.1, 1.2, 1.3},
new double[][] {{10}, {10, 20}, {10, 20, 30}},
new double[][] {{1}, {2, 3}, {4, 5, 6}},
new LinearInterpolator1D()); // not relevant to this test
List<Double> shiftList = Lists.newArrayList(0d, 0.1, 0.2);
VolatilitySurfaceIndexShifts shifts =
new VolatilitySurfaceIndexShifts(ScenarioShiftType.RELATIVE, shiftList);
SmileSurfaceDataBundle shiftedData = shifts.shiftSurfaceData(surfaceData);
double[][] expectedVols = new double[][] {{1}, {2.2, 3.3}, {4.8, 6.0, 7.2}};
double[][] shiftedVols = shiftedData.getVolatilities();
assertTrue(Arrays.deepEquals(expectedVols, shiftedVols));
}
/**
* Tests applying an index shift to a surface where there are fewer shifts specified than expiries
* in the surface.
*/
@Test
public void indexSurfaceFewerShiftsThanExpiries() {
NodalDoublesSurface surface =
new NodalDoublesSurface(
new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3},
new double[] {0.1, 0.1, 0.2, 0.1, 0.2, 0.3},
new double[] {1, 2, 3, 4, 5, 6});
List<Double> shiftList = Lists.newArrayList(0d, 0.1);
VolatilitySurfaceIndexShifts shifts =
new VolatilitySurfaceIndexShifts(ScenarioShiftType.ABSOLUTE, shiftList);
ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get();
ValueSpecification spec =
new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties);
VolatilitySurface shiftedSurface =
shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext());
assertEquals(1.0, shiftedSurface.getVolatility(1.1, 0.1), DELTA);
assertEquals(2.1, shiftedSurface.getVolatility(1.2, 0.1), DELTA);
assertEquals(3.1, shiftedSurface.getVolatility(1.2, 0.2), DELTA);
assertEquals(4.0, shiftedSurface.getVolatility(1.3, 0.1), DELTA);
assertEquals(5.0, shiftedSurface.getVolatility(1.3, 0.2), DELTA);
assertEquals(6.0, shiftedSurface.getVolatility(1.3, 0.3), DELTA);
}
/** Tests applying a relative index shift to a surface. */
@Test
public void indexSurfaceRelative() {
NodalDoublesSurface surface =
new NodalDoublesSurface(
new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3},
new double[] {10, 10, 20, 10, 20, 30},
new double[] {1, 2, 3, 4, 5, 6});
List<Double> shiftList = Lists.newArrayList(0d, 0.1, 0.2);
VolatilitySurfaceIndexShifts shifts =
new VolatilitySurfaceIndexShifts(ScenarioShiftType.RELATIVE, shiftList);
ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get();
ValueSpecification spec =
new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties);
VolatilitySurface shiftedSurface =
shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext());
assertEquals(1.0, shiftedSurface.getVolatility(1.1, 10), DELTA);
assertEquals(2.2, shiftedSurface.getVolatility(1.2, 10), DELTA);
assertEquals(3.3, shiftedSurface.getVolatility(1.2, 20), DELTA);
assertEquals(4.8, shiftedSurface.getVolatility(1.3, 10), DELTA);
assertEquals(6.0, shiftedSurface.getVolatility(1.3, 20), DELTA);
assertEquals(7.2, shiftedSurface.getVolatility(1.3, 30), DELTA);
}