/** Black volatility data sets for testing. */
public class SwaptionNormalVolatilityDataSets {
private static final double BP1 = 1.0E-4;
private static final Interpolator1D LINEAR_FLAT =
CombinedInterpolatorExtrapolator.of(
CurveInterpolators.LINEAR.getName(),
CurveExtrapolators.FLAT.getName(),
CurveExtrapolators.FLAT.getName());
private static final GridInterpolator2D INTERPOLATOR_2D =
new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
// ===== Standard figures for testing =====
private static final DoubleArray TIMES =
DoubleArray.of(
0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00, 10.0, 0.50, 1.00, 5.00,
10.0, 0.50, 1.00, 5.00, 10.0);
private static final DoubleArray TENOR =
DoubleArray.of(
1.0, 1.0, 1.0, 1.0, 2.0, 2.0, 2.0, 2.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0, 10.0, 30.0,
30.0, 30.0, 30.0);
private static final DoubleArray NORMAL_VOL =
DoubleArray.of(
0.010, 0.011, 0.012, 0.013, 0.011, 0.012, 0.013, 0.014, 0.012, 0.013, 0.014, 0.015, 0.013,
0.014, 0.015, 0.016, 0.014, 0.015, 0.016, 0.017);
private static final SurfaceMetadata METADATA =
DefaultSurfaceMetadata.builder()
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.YEAR_FRACTION)
.zValueType(ValueType.VOLATILITY)
.surfaceName(SurfaceName.of("Normal Vol"))
.build();
private static final NodalSurface SURFACE_STD =
InterpolatedNodalSurface.of(METADATA, TIMES, TENOR, NORMAL_VOL, INTERPOLATOR_2D);
private static final LocalDate VALUATION_DATE_STD = RatesProviderDataSets.VAL_DATE_2014_01_22;
private static final LocalTime VALUATION_TIME_STD = LocalTime.of(13, 45);
private static final ZoneId VALUATION_ZONE_STD = ZoneId.of("Europe/London");
private static final BusinessDayAdjustment MOD_FOL_US =
BusinessDayAdjustment.of(MODIFIED_FOLLOWING, USNY);
private static final FixedRateSwapLegConvention USD_FIXED_1Y_30U360 =
FixedRateSwapLegConvention.of(USD, THIRTY_U_360, Frequency.P6M, MOD_FOL_US);
private static final IborRateSwapLegConvention USD_IBOR_LIBOR3M =
IborRateSwapLegConvention.of(USD_LIBOR_3M);
public static final FixedIborSwapConvention USD_1Y_LIBOR3M =
ImmutableFixedIborSwapConvention.of("USD-Swap", USD_FIXED_1Y_30U360, USD_IBOR_LIBOR3M);
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_STD =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_STD,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
/**
* Returns the swaption normal volatility surface shifted by a given amount. The shift is
* parallel.
*
* @param shift the shift
* @return the swaption normal volatility surface
*/
public static NormalVolatilityExpiryTenorSwaptionProvider normalVolSwaptionProviderUsdStsShifted(
double shift) {
DoubleArray volShifted = NORMAL_VOL.map(v -> v + shift);
return NormalVolatilityExpiryTenorSwaptionProvider.of(
InterpolatedNodalSurface.of(METADATA, TIMES, TENOR, volShifted, INTERPOLATOR_2D),
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
}
public static NormalVolatilityExpiryTenorSwaptionProvider normalVolSwaptionProviderUsdStd(
LocalDate valuationDate) {
return NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_STD,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
valuationDate,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
}
// ===== Flat volatilities for testing =====
private static final DoubleArray TIMES_FLAT = DoubleArray.of(0.0, 100.0, 0.0, 100.0);
private static final DoubleArray TENOR_FLAT = DoubleArray.of(0.0, 0.0, 30.0, 30.0);
private static final DoubleArray NORMAL_VOL_FLAT = DoubleArray.of(0.01, 0.01, 0.01, 0.01);
private static final InterpolatedNodalSurface SURFACE_FLAT =
InterpolatedNodalSurface.of(
METADATA, TIMES_FLAT, TENOR_FLAT, NORMAL_VOL_FLAT, INTERPOLATOR_2D);
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_FLAT =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_FLAT,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_STD,
VALUATION_TIME_STD,
VALUATION_ZONE_STD);
// ===== Market data as of 2014-03-20 =====
private static final DoubleArray TIMES_20150320 =
DoubleArray.of(
0.25, 0.25, 0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 2.0,
2.0, 2.0, 2.0, 2.0, 5.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0, 10.0, 10.0);
private static final DoubleArray TENORS_20150320 =
DoubleArray.of(
1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0,
5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0, 1.0, 2.0, 5.0, 10.0, 30.0);
private static final DoubleArray NORMAL_VOL_20150320_BP =
DoubleArray.of(
43.6, 65.3, 88, 87.5, 88, // 3M
55.5, 72.2, 90.3, 89.3, 88.6, // 6M
72.6, 82.7, 91.6, 89.8, 87.3, // 1Y
90.4, 91.9, 93.4, 84.7, 93.5, // 2Y
99.3, 96.8, 94.3, 88.6, 77.3, // 5Y
88.4, 85.9, 82.2, 76.7, 65.1); // 10Y
private static final DoubleArray NORMAL_VOL_20150320 = NORMAL_VOL_20150320_BP.map(v -> v * BP1);
private static final NodalSurface SURFACE_20150320 =
InterpolatedNodalSurface.of(
METADATA, TIMES_20150320, TENORS_20150320, NORMAL_VOL_20150320, INTERPOLATOR_2D);
private static final LocalDate VALUATION_DATE_20150320 = LocalDate.of(2015, 3, 20);
private static final LocalTime VALUATION_TIME_20150320 = LocalTime.of(18, 00);
private static final ZoneId VALUATION_ZONE_20150320 = ZoneId.of("Europe/London");
public static final NormalVolatilityExpiryTenorSwaptionProvider
NORMAL_VOL_SWAPTION_PROVIDER_USD_20150320 =
NormalVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_20150320,
USD_1Y_LIBOR3M,
DayCounts.ACT_365F,
VALUATION_DATE_20150320,
VALUATION_TIME_20150320,
VALUATION_ZONE_20150320);
}