@Test
public void sensitivityTest() {
final VolatilitySurfaceProvider vsPro =
new BasisSplineVolatilitySurfaceProvider(0.0, 0.15, 10, 3, 0.0, 10.0, 7, 2);
final DoubleMatrix1D w = new DoubleMatrix1D(vsPro.getNumModelParameters());
for (int i = 0; i < w.getNumberOfElements(); i++) {
w.getData()[i] = RANDOM.nextDouble();
}
final VolatilitySurface volSurf = vsPro.getVolSurface(w);
final Surface<Double, Double, DoubleMatrix1D> senseSurf =
vsPro.getParameterSensitivitySurface(w);
final Surface<Double, Double, Pair<Double, DoubleMatrix1D>> volAndSenseSurf =
vsPro.getVolAndParameterSensitivitySurface(w);
final int nSamples = 20;
final DoublesPair[] points = new DoublesPair[nSamples];
for (int i = 0; i < nSamples; i++) {
final double t = 10.0 * RANDOM.nextDouble();
final double k = 0.15 * RANDOM.nextDouble();
points[i] = DoublesPair.of(t, k);
final double vol = volSurf.getVolatility(points[i]);
final DoubleMatrix1D sense = senseSurf.getZValue(points[i].toPair());
final Pair<Double, DoubleMatrix1D> volAndSense =
volAndSenseSurf.getZValue(points[i].toPair());
assertEquals(vol, volAndSense.getFirst(), 1e-15);
AssertMatrix.assertEqualsVectors(sense, volAndSense.getSecond(), 1e-15);
}
// create a DiscreteVolatilityFunctionProvider in order to compute the Jacobian for a (random)
// set the points
final DiscreteVolatilityFunctionProvider dvfp =
new DiscreteVolatilityFunctionProviderFromVolSurface(vsPro);
final DiscreteVolatilityFunction func = dvfp.from(points);
final DoubleMatrix2D jac = func.calculateJacobian(w);
final DoubleMatrix2D jacFD = func.calculateJacobianViaFD(w);
AssertMatrix.assertEqualsMatrix(jacFD, jac, 1e-10);
}
@Test
public void test() {
final int nSamples = 10;
final List<DoublesPair> points = new ArrayList<>(nSamples);
final DoubleMatrix1D x = new DoubleMatrix1D(nSamples);
for (int i = 0; i < nSamples; i++) {
final double t = RANDOM.nextDouble() * 20.0;
final double k = RANDOM.nextDouble() * 0.15;
points.add(DoublesPair.of(t, k));
x.getData()[i] = RANDOM.nextDouble();
}
final DiscreteVolatilityFunctionProvider pro = new DiscreteVolatilityFunctionProviderDirect();
final DiscreteVolatilityFunction func = pro.from(points);
final DoubleMatrix1D y = func.evaluate(x);
AssertMatrix.assertEqualsVectors(x, y, 0.0);
final DoubleMatrix2D jac = func.calculateJacobian(x);
AssertMatrix.assertEqualsMatrix(new IdentityMatrix(nSamples), jac, 0.0);
assertEquals(nSamples, func.getLengthOfDomain());
assertEquals(nSamples, func.getLengthOfRange());
}
