// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
RATE_PROVIDER,
(p) ->
CurrencyAmount.of(
EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOL_PROVIDER)));
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double logMoneynessUp = Math.log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurveCurrencyParameterSensitivities sensiVol =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(-vega * volSensi);
expected = expected.combinedWith(sensiVol);
assertTrue(computed.equalWithTolerance(expected, 30d * EPS));
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
SwaptionSensitivity point =
SwaptionSensitivity.of(
CONVENTION,
TEST_OPTION_EXPIRY[i],
TENOR.get(i),
TEST_STRIKE,
TEST_FORWARD,
GBP,
TEST_SENSITIVITY[i]);
SurfaceCurrencyParameterSensitivity sensi =
PROVIDER_WITH_PARAM.surfaceCurrencyParameterSensitivity(point);
Map<DoublesPair, Double> map = new HashMap<DoublesPair, Double>();
for (int j = 0; j < nData; ++j) {
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataDw, INTERPOLATOR_2D);
BlackVolatilityExpiryTenorSwaptionProvider provUp =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramUp, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
BlackVolatilityExpiryTenorSwaptionProvider provDw =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramDw, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
double volUp =
provUp.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double volDw =
provDw.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
map.put(DoublesPair.of(TIME.get(j), TENOR.get(j)), fd);
}
SurfaceCurrencyParameterSensitivity sensiFromNoMetadata =
PROVIDER.surfaceCurrencyParameterSensitivity(point);
List<SurfaceParameterMetadata> list = sensi.getMetadata().getParameterMetadata().get();
DoubleArray computed = sensi.getSensitivity();
assertEquals(computed.size(), nData);
for (int j = 0; j < list.size(); ++j) {
SwaptionSurfaceExpiryTenorNodeMetadata metadata =
(SwaptionSurfaceExpiryTenorNodeMetadata) list.get(i);
double expected = map.get(DoublesPair.of(metadata.getYearFraction(), metadata.getTenor()));
assertEquals(computed.get(i), expected, eps);
assertTrue(
sensiFromNoMetadata.getMetadata().getParameterMetadata().get().contains(metadata));
}
}
}
// -------------------------------------------------------------------------
public void coverage() {
BlackBondFutureExpiryLogMoneynessVolatilities test1 =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
coverImmutableBean(test1);
BlackBondFutureExpiryLogMoneynessVolatilities test2 =
BlackBondFutureExpiryLogMoneynessVolatilities.of(
VAL_DATE_TIME.plusDays(1), SURFACE.withParameter(0, 1d));
coverBeanEquals(test1, test2);
}
public void test_volatility() {
for (int i = 0; i < NB_TEST; i++) {
double expiryTime = PROVIDER_WITH_PARAM.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = SURFACE_WITH_PARAM.zValue(expiryTime, TEST_TENOR[i]);
double volComputed =
PROVIDER_WITH_PARAM.getVolatility(
TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
/**
* 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 void test_theta() {
double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_gamma_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.gammaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
double expiry = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
BondFutureOptionSensitivity point =
BondFutureOptionSensitivity.of(
VOLS.getName(),
expiry,
TEST_FUTURE_EXPIRY[i],
TEST_STRIKE_PRICE[i],
TEST_FUTURE_PRICE[i],
USD,
TEST_SENSITIVITY[i]);
CurrencyParameterSensitivity sensActual =
VOLS.parameterSensitivity(point).getSensitivities().get(0);
double[] computed = sensActual.getSensitivity().toArray();
for (int j = 0; j < nData; j++) {
DoubleArray volDataUp = VOL.with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataDw, INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramDw);
double volUp =
provUp.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double volDw =
provDw.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed[j], fd, eps);
}
}
}
public void test_volatility() {
for (int i = 0; i < NB_TEST; i++) {
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected =
SURFACE.zValue(expiryTime, Math.log(TEST_STRIKE_PRICE[i] / TEST_FUTURE_PRICE[i]));
double volComputed =
VOLS.volatility(
TEST_OPTION_EXPIRY[i],
TEST_FUTURE_EXPIRY[i],
TEST_STRIKE_PRICE[i],
TEST_FUTURE_PRICE[i]);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
private void testPriceSensitivityBlackVolatility(
SurfaceCurrencyParameterSensitivity computed,
Function<BlackVolatilityBondFutureProvider, Double> valueFn) {
List<SurfaceParameterMetadata> list = computed.getMetadata().getParameterMetadata().get();
int nVol = VOL.size();
assertEquals(list.size(), nVol);
for (int i = 0; i < nVol; ++i) {
double[] volUp = Arrays.copyOf(VOL.toArray(), nVol);
double[] volDw = Arrays.copyOf(VOL.toArray(), nVol);
volUp[i] += EPS;
volDw[i] -= EPS;
InterpolatedNodalSurface sfUp =
InterpolatedNodalSurface.of(
METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volUp), INTERPOLATOR_2D);
InterpolatedNodalSurface sfDw =
InterpolatedNodalSurface.of(
METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volDw), INTERPOLATOR_2D);
BlackVolatilityExpLogMoneynessBondFutureProvider provUp =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
sfUp, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
BlackVolatilityExpLogMoneynessBondFutureProvider provDw =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
sfDw, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
double expected = 0.5 * (valueFn.apply(provUp) - valueFn.apply(provDw)) / EPS;
int index = -1;
for (int j = 0; j < nVol; ++j) {
GenericVolatilitySurfaceYearFractionMetadata meta =
(GenericVolatilitySurfaceYearFractionMetadata) list.get(j);
if (meta.getYearFraction() == TIME.get(i)
&& meta.getStrike().getValue() == MONEYNESS.get(i)) {
index = j;
continue;
}
}
assertEquals(computed.getSensitivity().get(index), expected, EPS);
}
}
/** Test {@link BlackVolatilityExpiryTenorSwaptionProvider}. */
@Test
public class BlackVolatilityExpiryTenorSwaptionProviderTest {
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);
private static final DoubleArray TIME =
DoubleArray.of(0.25, 0.5, 1.0, 0.25, 0.5, 1.0, 0.25, 0.5, 1.0, 0.25, 0.5, 1.0);
private static final DoubleArray TENOR =
DoubleArray.of(3.0, 3.0, 3.0, 5.0, 5.0, 5.0, 7.0, 7.0, 7.0, 10.0, 10.0, 10.0);
private static final DoubleArray VOL =
DoubleArray.of(0.14, 0.12, 0.1, 0.14, 0.13, 0.12, 0.13, 0.12, 0.11, 0.12, 0.11, 0.1);
private static final SurfaceMetadata METADATA_WITH_PARAM;
private static final SurfaceMetadata METADATA;
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();
}
private static final InterpolatedNodalSurface SURFACE_WITH_PARAM =
InterpolatedNodalSurface.of(METADATA_WITH_PARAM, TIME, TENOR, VOL, INTERPOLATOR_2D);
private static final InterpolatedNodalSurface SURFACE =
InterpolatedNodalSurface.of(METADATA, TIME, TENOR, VOL, INTERPOLATOR_2D);
private static final FixedIborSwapConvention CONVENTION =
FixedIborSwapConventions.GBP_FIXED_1Y_LIBOR_3M;
private static final LocalDate VALUATION_DATE = date(2015, 2, 17);
private static final LocalTime VALUATION_TIME = LocalTime.of(13, 45);
private static final ZoneId LONDON_ZONE = ZoneId.of("Europe/London");
private static final ZonedDateTime VALUATION_DATE_TIME =
VALUATION_DATE.atTime(VALUATION_TIME).atZone(LONDON_ZONE);
private static final BlackVolatilityExpiryTenorSwaptionProvider PROVIDER_WITH_PARAM =
BlackVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_WITH_PARAM, CONVENTION, ACT_365F, VALUATION_DATE, VALUATION_TIME, LONDON_ZONE);
private static final BlackVolatilityExpiryTenorSwaptionProvider PROVIDER =
BlackVolatilityExpiryTenorSwaptionProvider.of(
SURFACE, CONVENTION, ACT_365F, VALUATION_DATE, VALUATION_TIME, LONDON_ZONE);
private static final ZonedDateTime[] TEST_OPTION_EXPIRY =
new ZonedDateTime[] {
dateUtc(2015, 2, 17), dateUtc(2015, 5, 17), dateUtc(2015, 6, 17), dateUtc(2017, 2, 17)
};
private static final int NB_TEST = TEST_OPTION_EXPIRY.length;
private static final double[] TEST_TENOR = new double[] {2.0, 6.0, 7.0, 15.0};
private static final double[] TEST_SENSITIVITY = new double[] {1.0, 1.0, 1.0, 1.0};
private static final double TEST_FORWARD = 0.025; // not used internally
private static final double TEST_STRIKE = 0.03; // not used internally
private static final double TOLERANCE_VOL = 1.0E-10;
// -------------------------------------------------------------------------
public void test_valuationDate() {
assertEquals(PROVIDER_WITH_PARAM.getValuationDateTime(), VALUATION_DATE_TIME);
}
public void test_swapConvention() {
assertEquals(PROVIDER_WITH_PARAM.getConvention(), CONVENTION);
}
public void test_tenor() {
double test1 = PROVIDER_WITH_PARAM.tenor(VALUATION_DATE, VALUATION_DATE);
assertEquals(test1, 0d);
double test2 = PROVIDER_WITH_PARAM.tenor(VALUATION_DATE, date(2018, 2, 28));
assertEquals(test2, 3d);
double test3 = PROVIDER_WITH_PARAM.tenor(VALUATION_DATE, date(2018, 2, 10));
assertEquals(test3, 3d);
}
public void test_relativeTime() {
double test1 = PROVIDER_WITH_PARAM.relativeTime(VALUATION_DATE_TIME);
assertEquals(test1, 0d);
double test2 = PROVIDER_WITH_PARAM.relativeTime(date(2018, 2, 17).atStartOfDay(LONDON_ZONE));
double test3 = PROVIDER_WITH_PARAM.relativeTime(date(2012, 2, 17).atStartOfDay(LONDON_ZONE));
assertEquals(test2, -test3); // consistency checked
}
public void test_volatility() {
for (int i = 0; i < NB_TEST; i++) {
double expiryTime = PROVIDER_WITH_PARAM.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected = SURFACE_WITH_PARAM.zValue(expiryTime, TEST_TENOR[i]);
double volComputed =
PROVIDER_WITH_PARAM.getVolatility(
TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
SwaptionSensitivity point =
SwaptionSensitivity.of(
CONVENTION,
TEST_OPTION_EXPIRY[i],
TENOR.get(i),
TEST_STRIKE,
TEST_FORWARD,
GBP,
TEST_SENSITIVITY[i]);
SurfaceCurrencyParameterSensitivity sensi =
PROVIDER_WITH_PARAM.surfaceCurrencyParameterSensitivity(point);
Map<DoublesPair, Double> map = new HashMap<DoublesPair, Double>();
for (int j = 0; j < nData; ++j) {
DoubleArray volDataUp = VOL.subArray(0, nData).with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.subArray(0, nData).with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(
METADATA_WITH_PARAM, TIME, TENOR, volDataDw, INTERPOLATOR_2D);
BlackVolatilityExpiryTenorSwaptionProvider provUp =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramUp, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
BlackVolatilityExpiryTenorSwaptionProvider provDw =
BlackVolatilityExpiryTenorSwaptionProvider.of(
paramDw, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
double volUp =
provUp.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double volDw =
provDw.getVolatility(TEST_OPTION_EXPIRY[i], TEST_TENOR[i], TEST_STRIKE, TEST_FORWARD);
double fd = 0.5 * (volUp - volDw) / eps;
map.put(DoublesPair.of(TIME.get(j), TENOR.get(j)), fd);
}
SurfaceCurrencyParameterSensitivity sensiFromNoMetadata =
PROVIDER.surfaceCurrencyParameterSensitivity(point);
List<SurfaceParameterMetadata> list = sensi.getMetadata().getParameterMetadata().get();
DoubleArray computed = sensi.getSensitivity();
assertEquals(computed.size(), nData);
for (int j = 0; j < list.size(); ++j) {
SwaptionSurfaceExpiryTenorNodeMetadata metadata =
(SwaptionSurfaceExpiryTenorNodeMetadata) list.get(i);
double expected = map.get(DoublesPair.of(metadata.getYearFraction(), metadata.getTenor()));
assertEquals(computed.get(i), expected, eps);
assertTrue(
sensiFromNoMetadata.getMetadata().getParameterMetadata().get().contains(metadata));
}
}
}
// -------------------------------------------------------------------------
public void coverage() {
BlackVolatilityExpiryTenorSwaptionProvider test1 =
BlackVolatilityExpiryTenorSwaptionProvider.of(
SURFACE_WITH_PARAM, CONVENTION, ACT_365F, VALUATION_DATE_TIME);
coverImmutableBean(test1);
BlackVolatilityExpiryTenorSwaptionProvider test2 =
BlackVolatilityExpiryTenorSwaptionProvider.of(SURFACE, CONVENTION, ACT_360, VALUATION_DATE);
coverBeanEquals(test1, test2);
}
}
/** 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);
}
/** Test {@link BlackBondFutureOptionMarginedProductPricer}. */
@Test
public class BlackBondFutureOptionMarginedProductPricerTest {
// product
private static final StandardId FUTURE_SECURITY_ID = BondDataSets.FUTURE_SECURITY_ID_EUR;
private static final BondFutureOption FUTURE_OPTION_PRODUCT =
BondDataSets.FUTURE_OPTION_PRODUCT_EUR_116;
// curves
private static final LegalEntityDiscountingProvider RATE_PROVIDER =
LegalEntityDiscountingProviderDataSets.ISSUER_REPO_ZERO_EUR;
// vol surface
private static final Interpolator1D LINEAR_FLAT =
CombinedInterpolatorExtrapolator.of(
CurveInterpolators.LINEAR, CurveExtrapolators.FLAT, CurveExtrapolators.FLAT);
private static final GridInterpolator2D INTERPOLATOR_2D =
new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
private static final DoubleArray TIME =
DoubleArray.of(0.20, 0.20, 0.20, 0.20, 0.20, 0.45, 0.45, 0.45, 0.45, 0.45);
private static final DoubleArray MONEYNESS =
DoubleArray.of(-0.050, -0.005, 0.000, 0.005, 0.050, -0.050, -0.005, 0.000, 0.005, 0.050);
private static final DoubleArray VOL =
DoubleArray.of(0.50, 0.49, 0.47, 0.48, 0.51, 0.45, 0.44, 0.42, 0.43, 0.46);
private static final SurfaceMetadata METADATA;
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();
}
private static final InterpolatedNodalSurface SURFACE =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, VOL, INTERPOLATOR_2D);
private static final LocalDate VALUATION_DATE = RATE_PROVIDER.getValuationDate();
private static final LocalTime VALUATION_TIME = LocalTime.of(0, 0);
private static final ZoneId ZONE = FUTURE_OPTION_PRODUCT.getExpiryZone();
private static final ZonedDateTime VALUATION_DATE_TIME =
VALUATION_DATE.atTime(VALUATION_TIME).atZone(ZONE);
private static final BlackVolatilityExpLogMoneynessBondFutureProvider VOL_PROVIDER =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
SURFACE, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
private static final double TOL = 1.0E-13;
private static final double EPS = 1.0e-6;
// pricer
private static final DiscountingBondFutureProductPricer FUTURE_PRICER =
DiscountingBondFutureProductPricer.DEFAULT;
private static final BlackBondFutureOptionMarginedProductPricer OPTION_PRICER =
new BlackBondFutureOptionMarginedProductPricer(FUTURE_PRICER);
private static final RatesFiniteDifferenceSensitivityCalculator FD_CAL =
new RatesFiniteDifferenceSensitivityCalculator(EPS);
public void test_getFuturePricer() {
assertSame(OPTION_PRICER.getFuturePricer(), FUTURE_PRICER);
}
public void test_price() {
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
public void test_price_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.price(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
public void test_price_from_generic_provider() {
BondFutureProvider volProvider =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
SURFACE, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
double computed = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
double expected = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
assertEquals(computed, expected, TOL);
}
// -------------------------------------------------------------------------
public void test_delta() {
double computed =
OPTION_PRICER.deltaStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.delta(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
public void test_delta_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.deltaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.delta(futurePrice, strike, expiryTime, vol, true);
assertEquals(computed, expected, TOL);
}
public void test_gamma() {
double computed =
OPTION_PRICER.gammaStickyStrike(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_gamma_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.gammaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.gamma(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_theta() {
double computed = OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
public void test_theta_from_future_price() {
double futurePrice = 1.1d;
double computed =
OPTION_PRICER.theta(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double expected = BlackFormulaRepository.driftlessTheta(futurePrice, strike, expiryTime, vol);
assertEquals(computed, expected, TOL);
}
// -------------------------------------------------------------------------
public void test_priceSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
CurveCurrencyParameterSensitivities expected =
FD_CAL.sensitivity(
RATE_PROVIDER,
(p) ->
CurrencyAmount.of(
EUR, OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, (p), VOL_PROVIDER)));
double futurePrice = FUTURE_PRICER.price(FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER);
double strike = FUTURE_OPTION_PRODUCT.getStrikePrice();
double expiryTime =
ACT_365F.relativeYearFraction(VALUATION_DATE, FUTURE_OPTION_PRODUCT.getExpiryDate());
double logMoneyness = Math.log(strike / futurePrice);
double logMoneynessUp = Math.log(strike / (futurePrice + EPS));
double logMoneynessDw = Math.log(strike / (futurePrice - EPS));
double vol = SURFACE.zValue(expiryTime, logMoneyness);
double volUp = SURFACE.zValue(expiryTime, logMoneynessUp);
double volDw = SURFACE.zValue(expiryTime, logMoneynessDw);
double volSensi = 0.5 * (volUp - volDw) / EPS;
double vega = BlackFormulaRepository.vega(futurePrice, strike, expiryTime, vol);
CurveCurrencyParameterSensitivities sensiVol =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(-vega * volSensi);
expected = expected.combinedWith(sensiVol);
assertTrue(computed.equalWithTolerance(expected, 30d * EPS));
}
public void test_priceSensitivity_from_future_price() {
double futurePrice = 1.1d;
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities computed = RATE_PROVIDER.curveParameterSensitivity(point);
double delta =
OPTION_PRICER.deltaStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
CurveCurrencyParameterSensitivities expected =
RATE_PROVIDER
.curveParameterSensitivity(
FUTURE_PRICER.priceSensitivity(
FUTURE_OPTION_PRODUCT.getUnderlying(), RATE_PROVIDER))
.multipliedBy(delta);
assertTrue(computed.equalWithTolerance(expected, TOL));
}
public void test_priceSensitivity_from_generic_provider() {
BondFutureProvider volProvider =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
SURFACE, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
PointSensitivities expected =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
PointSensitivities computed =
OPTION_PRICER.priceSensitivity(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, volProvider);
assertEquals(computed, expected);
}
// -------------------------------------------------------------------------
public void test_priceSensitivityBlackVolatility() {
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p)));
}
public void test_priceSensitivityBlackVolatility_from_future_price() {
double futurePrice = 1.1d;
BondFutureOptionSensitivity sensi =
OPTION_PRICER.priceSensitivityBlackVolatility(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER, futurePrice);
testPriceSensitivityBlackVolatility(
VOL_PROVIDER.surfaceCurrencyParameterSensitivity(sensi),
(p) -> OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, (p), futurePrice));
}
private void testPriceSensitivityBlackVolatility(
SurfaceCurrencyParameterSensitivity computed,
Function<BlackVolatilityBondFutureProvider, Double> valueFn) {
List<SurfaceParameterMetadata> list = computed.getMetadata().getParameterMetadata().get();
int nVol = VOL.size();
assertEquals(list.size(), nVol);
for (int i = 0; i < nVol; ++i) {
double[] volUp = Arrays.copyOf(VOL.toArray(), nVol);
double[] volDw = Arrays.copyOf(VOL.toArray(), nVol);
volUp[i] += EPS;
volDw[i] -= EPS;
InterpolatedNodalSurface sfUp =
InterpolatedNodalSurface.of(
METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volUp), INTERPOLATOR_2D);
InterpolatedNodalSurface sfDw =
InterpolatedNodalSurface.of(
METADATA, TIME, MONEYNESS, DoubleArray.copyOf(volDw), INTERPOLATOR_2D);
BlackVolatilityExpLogMoneynessBondFutureProvider provUp =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
sfUp, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
BlackVolatilityExpLogMoneynessBondFutureProvider provDw =
BlackVolatilityExpLogMoneynessBondFutureProvider.of(
sfDw, FUTURE_SECURITY_ID, ACT_365F, VALUATION_DATE_TIME);
double expected = 0.5 * (valueFn.apply(provUp) - valueFn.apply(provDw)) / EPS;
int index = -1;
for (int j = 0; j < nVol; ++j) {
GenericVolatilitySurfaceYearFractionMetadata meta =
(GenericVolatilitySurfaceYearFractionMetadata) list.get(j);
if (meta.getYearFraction() == TIME.get(i)
&& meta.getStrike().getValue() == MONEYNESS.get(i)) {
index = j;
continue;
}
}
assertEquals(computed.getSensitivity().get(index), expected, EPS);
}
}
// -------------------------------------------------------------------------
public void test_marginIndex() {
double price = 0.12d;
double computed = OPTION_PRICER.marginIndex(FUTURE_OPTION_PRODUCT, price);
assertEquals(computed, price * FUTURE_OPTION_PRODUCT.getUnderlying().getNotional());
}
public void test_marginIndexSensitivity() {
PointSensitivities point =
OPTION_PRICER.priceSensitivityStickyStrike(
FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
PointSensitivities computed =
OPTION_PRICER.marginIndexSensitivity(FUTURE_OPTION_PRODUCT, point);
assertEquals(computed, point.multipliedBy(FUTURE_OPTION_PRODUCT.getUnderlying().getNotional()));
}
// -------------------------------------------------------------------------
public void regression_price() {
double price = OPTION_PRICER.price(FUTURE_OPTION_PRODUCT, RATE_PROVIDER, VOL_PROVIDER);
assertEquals(price, 0.08916005173932573, TOL); // 2.x
}
}
/** Test {@link BlackBondFutureExpiryLogMoneynessVolatilities}. */
@Test
public class BlackBondFutureExpiryLogMoneynessVolatilitiesTest {
private static final SurfaceInterpolator INTERPOLATOR_2D =
GridSurfaceInterpolator.of(LINEAR, LINEAR);
private static final DoubleArray TIME =
DoubleArray.of(0.25, 0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.00, 1.00, 1.00, 1.00);
private static final DoubleArray MONEYNESS =
DoubleArray.of(-0.02, -0.01, 0.00, 0.01, -0.02, -0.01, 0.00, 0.01, -0.02, -0.01, 0.00, 0.01);
private static final DoubleArray VOL =
DoubleArray.of(
0.01, 0.011, 0.012, 0.010, 0.011, 0.012, 0.013, 0.012, 0.012, 0.013, 0.014, 0.014);
private static final SurfaceMetadata METADATA;
static {
List<GenericVolatilitySurfaceYearFractionParameterMetadata> list =
new ArrayList<GenericVolatilitySurfaceYearFractionParameterMetadata>();
int nData = TIME.size();
for (int i = 0; i < nData; ++i) {
GenericVolatilitySurfaceYearFractionParameterMetadata parameterMetadata =
GenericVolatilitySurfaceYearFractionParameterMetadata.of(
TIME.get(i), LogMoneynessStrike.of(MONEYNESS.get(i)));
list.add(parameterMetadata);
}
METADATA =
DefaultSurfaceMetadata.builder()
.surfaceName(SurfaceName.of("GOVT1-BOND-FUT-VOL"))
.xValueType(ValueType.YEAR_FRACTION)
.yValueType(ValueType.LOG_MONEYNESS)
.zValueType(ValueType.BLACK_VOLATILITY)
.dayCount(ACT_365F)
.parameterMetadata(list)
.build();
}
private static final InterpolatedNodalSurface SURFACE =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, VOL, INTERPOLATOR_2D);
private static final LocalDate VAL_DATE = date(2015, 2, 17);
private static final LocalTime VAL_TIME = LocalTime.of(13, 45);
private static final ZoneId LONDON_ZONE = ZoneId.of("Europe/London");
private static final ZonedDateTime VAL_DATE_TIME = VAL_DATE.atTime(VAL_TIME).atZone(LONDON_ZONE);
private static final BlackBondFutureExpiryLogMoneynessVolatilities VOLS =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
private static final ZonedDateTime[] TEST_OPTION_EXPIRY =
new ZonedDateTime[] {
dateUtc(2015, 2, 17), dateUtc(2015, 5, 17), dateUtc(2015, 6, 17), dateUtc(2017, 2, 17)
};
private static final int NB_TEST = TEST_OPTION_EXPIRY.length;
private static final LocalDate[] TEST_FUTURE_EXPIRY =
new LocalDate[] {date(2015, 2, 17), date(2015, 5, 17), date(2015, 5, 17), date(2015, 5, 17)};
private static final double[] TEST_STRIKE_PRICE = new double[] {0.985, 0.985, 0.985, 0.985};
private static final double[] TEST_FUTURE_PRICE = new double[] {0.98, 0.985, 1.00, 1.01};
// private static final double[] TEST_SENSITIVITY = new double[] {9.2, 16.0, 1.8, 5.7 };
private static final double[] TEST_SENSITIVITY = new double[] {1.0, 1.0, 1.0, 1.0};
private static final double TOLERANCE_VOL = 1.0E-10;
// -------------------------------------------------------------------------
public void test_valuationDate() {
assertEquals(VOLS.getValuationDateTime(), VAL_DATE_TIME);
}
public void test_volatility() {
for (int i = 0; i < NB_TEST; i++) {
double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
double volExpected =
SURFACE.zValue(expiryTime, Math.log(TEST_STRIKE_PRICE[i] / TEST_FUTURE_PRICE[i]));
double volComputed =
VOLS.volatility(
TEST_OPTION_EXPIRY[i],
TEST_FUTURE_EXPIRY[i],
TEST_STRIKE_PRICE[i],
TEST_FUTURE_PRICE[i]);
assertEquals(volComputed, volExpected, TOLERANCE_VOL);
}
}
public void test_volatility_sensitivity() {
double eps = 1.0e-6;
int nData = TIME.size();
for (int i = 0; i < NB_TEST; i++) {
double expiry = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]);
BondFutureOptionSensitivity point =
BondFutureOptionSensitivity.of(
VOLS.getName(),
expiry,
TEST_FUTURE_EXPIRY[i],
TEST_STRIKE_PRICE[i],
TEST_FUTURE_PRICE[i],
USD,
TEST_SENSITIVITY[i]);
CurrencyParameterSensitivity sensActual =
VOLS.parameterSensitivity(point).getSensitivities().get(0);
double[] computed = sensActual.getSensitivity().toArray();
for (int j = 0; j < nData; j++) {
DoubleArray volDataUp = VOL.with(j, VOL.get(j) + eps);
DoubleArray volDataDw = VOL.with(j, VOL.get(j) - eps);
InterpolatedNodalSurface paramUp =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataUp, INTERPOLATOR_2D);
InterpolatedNodalSurface paramDw =
InterpolatedNodalSurface.of(METADATA, TIME, MONEYNESS, volDataDw, INTERPOLATOR_2D);
BlackBondFutureExpiryLogMoneynessVolatilities provUp =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramUp);
BlackBondFutureExpiryLogMoneynessVolatilities provDw =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, paramDw);
double volUp =
provUp.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double volDw =
provDw.volatility(
expiry, TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]);
double fd = 0.5 * (volUp - volDw) / eps;
assertEquals(computed[j], fd, eps);
}
}
}
// -------------------------------------------------------------------------
public void coverage() {
BlackBondFutureExpiryLogMoneynessVolatilities test1 =
BlackBondFutureExpiryLogMoneynessVolatilities.of(VAL_DATE_TIME, SURFACE);
coverImmutableBean(test1);
BlackBondFutureExpiryLogMoneynessVolatilities test2 =
BlackBondFutureExpiryLogMoneynessVolatilities.of(
VAL_DATE_TIME.plusDays(1), SURFACE.withParameter(0, 1d));
coverBeanEquals(test1, test2);
}
}