public void testFlatSurface() {
final double theta = 0.5;
final double ft = FORWARD_CURVE.getForward(EXPIRY);
final double fL = Math.log(ft / 5.0);
final double fH = Math.log(5.0 * ft);
final ConvectionDiffusionPDESolver solver = new ThetaMethodFiniteDifference(theta, false);
final BoundaryCondition lower = new NeumannBoundaryCondition(1.0, fL, true);
final BoundaryCondition upper = new NeumannBoundaryCondition(1.0, fH, false);
final MeshingFunction timeMesh = new ExponentialMeshing(0, EXPIRY, 100, 0.0);
final MeshingFunction spaceMesh = new ExponentialMeshing(fL, fH, 101, 0.0);
final PDEGrid1D grid = new PDEGrid1D(timeMesh, spaceMesh);
final PDE1DDataBundle<ConvectionDiffusionPDE1DCoefficients> db =
new PDE1DDataBundle<>(PDE, INITIAL_COND, lower, upper, grid);
final PDEResults1D res = solver.solve(db);
final int n = res.getNumberSpaceNodes();
final double kVol = Math.sqrt(-2 * (res.getFunctionValue(n / 2) - Math.log(ft)) / EXPIRY);
assertEquals(FLAT_VOL, kVol, 1e-6);
final YieldAndDiscountCurve yieldCurve =
new YieldCurve("test", ConstantDoublesCurve.from(DRIFT));
final AffineDividends ad = AffineDividends.noDividends();
final EquityVarianceSwapBackwardsPurePDE backSolver = new EquityVarianceSwapBackwardsPurePDE();
final PureLocalVolatilitySurface plv =
new PureLocalVolatilitySurface(ConstantDoublesSurface.from(FLAT_VOL));
final double[] res2 = backSolver.expectedVariance(SPOT, yieldCurve, ad, EXPIRY, plv);
final double kVol2 = Math.sqrt(res2[0] / EXPIRY);
assertEquals(FLAT_VOL, kVol2, 1e-6);
}
