static {
   List<SwaptionSurfaceExpiryTenorNodeMetadata> list =
       new ArrayList<SwaptionSurfaceExpiryTenorNodeMetadata>();
   int nData = TIME.size();
   for (int i = 0; i < nData; ++i) {
     SwaptionSurfaceExpiryTenorNodeMetadata parameterMetadata =
         SwaptionSurfaceExpiryTenorNodeMetadata.of(TIME.get(i), TENOR.get(i));
     list.add(parameterMetadata);
   }
   METADATA_WITH_PARAM =
       DefaultSurfaceMetadata.builder()
           .dayCount(ACT_365F)
           .parameterMetadata(list)
           .surfaceName(SurfaceName.of("GOVT1-SWAPTION-VOL"))
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.YEAR_FRACTION)
           .build();
   METADATA =
       DefaultSurfaceMetadata.builder()
           .dayCount(ACT_365F)
           .surfaceName(SurfaceName.of("GOVT1-SWAPTION-VOL"))
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.YEAR_FRACTION)
           .build();
 }
 static {
   List<GenericVolatilitySurfaceYearFractionMetadata> list =
       new ArrayList<GenericVolatilitySurfaceYearFractionMetadata>();
   int nData = TIME.size();
   for (int i = 0; i < nData; ++i) {
     GenericVolatilitySurfaceYearFractionMetadata parameterMetadata =
         GenericVolatilitySurfaceYearFractionMetadata.of(
             TIME.get(i), LogMoneynessStrike.of(MONEYNESS.get(i)));
     list.add(parameterMetadata);
   }
   METADATA =
       DefaultSurfaceMetadata.builder()
           .dayCount(ACT_365F)
           .parameterMetadata(list)
           .surfaceName(SurfaceName.of("GOVT1-BOND-FUT-VOL"))
           .xValueType(ValueType.YEAR_FRACTION)
           .yValueType(ValueType.STRIKE)
           .build();
 }
コード例 #3
0
/** 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);
}