/**
* Test interpolation part, essentially consistent with the super class (where extrapolation is
* absent) iff local fitting is applied. If global fit is used, resulting interpolation is tested
* with larger tolerance
*/
@Test
public void interpolationTest() {
double eps = 1.0e-14;
double expiry = 1.2;
double forward = 1.7;
int nStrikes = 11;
double[] strikes = new double[nStrikes];
double[] impliedVols =
new double[] {
2.17, 1.92, 1.702, 1.545, 1.281, 0.912, 0.9934, 1.0878, 1.1499, 1.2032, 1.242
};
for (int i = 0; i < nStrikes; ++i) {
strikes[i] = forward * (0.85 + i * 0.05);
}
WeightingFunction weight = LinearWeightingFunction.getInstance();
int seed = 4729;
double beta = 0.95;
ShiftedLogNormalExtrapolationFunctionProvider extapQuiet =
new ShiftedLogNormalExtrapolationFunctionProvider("Quiet");
SmileInterpolatorSABRWithExtrapolation interpQuiet =
new SmileInterpolatorSABRWithExtrapolation(
seed, new SABRHaganVolatilityFunction(), beta, weight, extapQuiet);
InterpolatedSmileFunction funcQuiet =
new InterpolatedSmileFunction(interpQuiet, forward, strikes, expiry, impliedVols);
SmileInterpolatorSABR sabr =
new SmileInterpolatorSABR(seed, new SABRHaganVolatilityFunction(), beta, weight);
Function1D<Double, Double> volFunc =
sabr.getVolatilityFunction(forward, strikes, expiry, impliedVols);
int nKeys = 20;
for (int i = 0; i < nKeys + 1; ++i) {
Double key = strikes[0] + (strikes[nStrikes - 1] - strikes[0]) * i / nKeys;
assertEquals(volFunc.evaluate(key), funcQuiet.getVolatility(key), eps);
}
SmileInterpolatorSABRWithExtrapolation interpGlobal1 =
new SmileInterpolatorSABRWithExtrapolation(new SABRPaulotVolatilityFunction(), extapQuiet);
SmileInterpolatorSABRWithExtrapolation interpGlobal2 =
new SmileInterpolatorSABRWithExtrapolation(
new SABRBerestyckiVolatilityFunction(), extapQuiet);
SmileInterpolatorSABRWithExtrapolation interpGlobal3 =
new SmileInterpolatorSABRWithExtrapolation(
new SABRHaganAlternativeVolatilityFunction(), extapQuiet);
InterpolatedSmileFunction funcGlobal1 =
new InterpolatedSmileFunction(interpGlobal1, forward, strikes, expiry, impliedVols);
InterpolatedSmileFunction funcGlobal2 =
new InterpolatedSmileFunction(interpGlobal2, forward, strikes, expiry, impliedVols);
InterpolatedSmileFunction funcGlobal3 =
new InterpolatedSmileFunction(interpGlobal3, forward, strikes, expiry, impliedVols);
for (int i = 0; i < nKeys + 1; ++i) {
Double key = strikes[0] + (strikes[nStrikes - 1] - strikes[0]) * i / nKeys;
double ref = funcQuiet.getVolatility(key);
assertEquals(ref, funcGlobal1.getVolatility(key), 1.5 * ref * 1.0e-1);
assertEquals(ref, funcGlobal2.getVolatility(key), ref * 1.0e-1);
assertEquals(ref, funcGlobal3.getVolatility(key), ref * 1.0e-1);
}
}
@Test
public void hashCodeAndEqualsTest() {
WeightingFunction weight = LinearWeightingFunction.getInstance();
int seed = 4729;
double beta = 0.95;
ShiftedLogNormalExtrapolationFunctionProvider extapQuiet =
new ShiftedLogNormalExtrapolationFunctionProvider("Quiet");
ShiftedLogNormalExtrapolationFunctionProvider extapFlat =
new ShiftedLogNormalExtrapolationFunctionProvider("Flat");
SmileInterpolatorSABRWithExtrapolation interpQuiet1 =
new SmileInterpolatorSABRWithExtrapolation(
seed, new SABRHaganVolatilityFunction(), beta, weight, extapQuiet);
SmileInterpolatorSABRWithExtrapolation interpQuiet2 =
new SmileInterpolatorSABRWithExtrapolation(
seed, new SABRHaganVolatilityFunction(), beta * 0.9, weight, extapQuiet);
SmileInterpolatorSABRWithExtrapolation interpQuiet3 = interpQuiet1;
SmileInterpolatorSABRWithExtrapolation interpQuiet4 =
new SmileInterpolatorSABRWithExtrapolation(
seed, new SABRHaganVolatilityFunction(), beta, weight, extapQuiet);
SmileInterpolatorSABRWithExtrapolation interpFlat =
new SmileInterpolatorSABRWithExtrapolation(
seed, new SABRHaganVolatilityFunction(), beta, weight, extapFlat);
assertTrue(interpQuiet1.equals(interpQuiet1));
assertTrue(interpQuiet1.hashCode() == interpQuiet3.hashCode());
assertTrue(interpQuiet1.equals(interpQuiet3));
assertTrue(interpQuiet3.equals(interpQuiet1));
assertFalse(interpQuiet1.equals(interpQuiet2));
assertFalse(interpQuiet1.hashCode() == interpQuiet2.hashCode());
assertFalse(interpQuiet1.equals(interpFlat));
assertFalse(interpQuiet1.hashCode() == interpFlat.hashCode());
assertTrue(interpQuiet1.hashCode() == interpQuiet4.hashCode());
assertTrue(interpQuiet1.equals(interpQuiet4));
assertTrue(interpQuiet4.equals(interpQuiet1));
assertFalse(interpQuiet1.equals(null));
assertFalse(interpQuiet1.equals(new SmileInterpolatorSABR()));
}
