// start date before end date
static LocalDateTime[] parse(String startDateTimeString, String endDateTimeString) {
LocalDateTime[] dates = new LocalDateTime[2];
String startDateString = null;
String startTimeString = null;
String endDateString = null;
String endTimeString = null;
Pattern pattern = Pattern.compile(DATE_TIME_PATTERN);
Matcher matcher = pattern.matcher(startDateTimeString);
matcher.find();
startDateString = matcher.group(1);
startTimeString = matcher.group(2);
matcher = pattern.matcher(endDateTimeString);
matcher.find();
endDateString = matcher.group(1);
endTimeString = matcher.group(2);
if (startDateString == null) {
startDateString = processNullStartDate(endDateString);
}
if (startDateString.equals("now")) {
startTimeString = getCurrentTime();
}
if (endDateString == null) {
endDateString = startDateString;
}
if (startTimeString == null) {
startTimeString = processNullStartTime(startDateString);
}
if (endTimeString == null) {
endTimeString = processNullEndTime(startDateString, endDateString, startTimeString);
}
LocalDate startDate = DateParser.parse(startDateString);
LocalTime startTime = TimeParser.parse(startTimeString);
LocalDateTime startDateTime = startDate.atTime(startTime);
LocalDate endDate = DateParser.parse(endDateString);
LocalTime endTime = TimeParser.parse(endTimeString);
LocalDateTime endDateTime = endDate.atTime(endTime);
if (endDateTime.isBefore(startDateTime)) {
endDateTime.plusDays(1);
}
dates[0] = startDateTime;
dates[1] = endDateTime;
return dates;
}
public static void main(String[] args) {
LocalDate today = LocalDate.now(); // Today’s date
System.out.println("TODAY: " + today);
/*String strDate = today.plusWeeks(1).toString(); // 2015-09-01
String day;
if (strDate.substring(8, 9).matches("0")) {
day = strDate.substring(9);
System.out.println("DAY IS: " + day);
} else {
day = strDate.substring(8);
System.out.println("DAY IS: " + day);
}*/
int dayOfMonth = today.plusDays(4).getDayOfMonth();
System.out.println("DAY OF MONTH: " + dayOfMonth);
LocalDate localDate = LocalDate.of(2015, Month.valueOf("OCTOBER"), 25);
System.out.println("LOCAL DATE: " + localDate);
long toDays = Duration.between(localDate.atTime(0, 0), today.atTime(0, 0)).toDays();
System.out.println("TO DAYS: " + toDays);
Duration toDays23 = Duration.between(localDate, today);
System.out.println("TO DAYS: " + toDays23);
Month month = today.getMonth();
// localDate.
System.out.println("Month " + month.toString());
String displayName = month.getDisplayName(TextStyle.FULL, Locale.CANADA);
System.out.println("DISPLAY NAME: " + displayName);
LocalDate alonzosBirthday = LocalDate.of(1903, 6, 14);
alonzosBirthday = LocalDate.of(1903, Month.JUNE, 14);
// Uses the Month enumeration
System.out.println("alonzosBirthday: " + alonzosBirthday);
LocalDate programmersDay = LocalDate.of(2015, 1, 1).plusDays(255);
// September 13, but in a leap year it would be September 12
System.out.println("programmersDay: " + programmersDay);
LocalDate independenceDay = LocalDate.of(2014, Month.JULY, 4);
LocalDate christmas = LocalDate.of(2014, Month.DECEMBER, 25);
System.out.println("Until christmas: " + independenceDay.until(christmas));
System.out.println(
"Until christmas (with crono): " + independenceDay.until(christmas, ChronoUnit.DAYS));
System.out.println(LocalDate.of(2016, 1, 31).plusMonths(1));
System.out.println(LocalDate.of(2016, 3, 31).minusMonths(1));
DayOfWeek startOfLastMillennium = LocalDate.of(1900, 1, 1).getDayOfWeek();
System.out.println("startOfLastMillennium: " + startOfLastMillennium);
System.out.println(startOfLastMillennium.getValue());
System.out.println(DayOfWeek.SATURDAY.plus(3));
}
@RequestMapping(
method = RequestMethod.GET,
params = {"fromDate", "toDate"})
public List<AuditEvent> getByDates(
@RequestParam(value = "fromDate") @DateTimeFormat(iso = DateTimeFormat.ISO.DATE)
LocalDate fromDate,
@RequestParam(value = "toDate") @DateTimeFormat(iso = DateTimeFormat.ISO.DATE)
LocalDate toDate) {
return auditEventService.findByDates(fromDate.atTime(0, 0), toDate.atTime(23, 59));
}
static LocalDateTime parse(String endDateTimeString) {
String endDateString = null;
String endTimeString = null;
Pattern pattern = Pattern.compile(DATE_TIME_PATTERN);
Matcher matcher = pattern.matcher(endDateTimeString);
matcher.find();
endDateString = matcher.group(1);
endTimeString = matcher.group(2);
if (endDateString == null) {
endDateString = "today";
}
if (endTimeString == null) {
endTimeString = END_TIME_DEFAULT;
}
LocalDate endDate = DateParser.parse(endDateString);
LocalTime endTime = TimeParser.parse(endTimeString);
LocalDateTime endDateTime = endDate.atTime(endTime);
if (endDateTime.isBefore(LocalDateTime.now())) {
endDateTime = endDateTime.plusDays(1);
}
return endDateTime;
}
private static void useLocalDate() {
LocalDate date = LocalDate.of(2014, 3, 18);
int year = date.getYear(); // 2014
Month month = date.getMonth(); // MARCH
int day = date.getDayOfMonth(); // 18
DayOfWeek dow = date.getDayOfWeek(); // TUESDAY
int len = date.lengthOfMonth(); // 31 (days in March)
boolean leap = date.isLeapYear(); // false (not a leap year)
System.out.println(date);
int y = date.get(ChronoField.YEAR);
int m = date.get(ChronoField.MONTH_OF_YEAR);
int d = date.get(ChronoField.DAY_OF_MONTH);
LocalTime time = LocalTime.of(13, 45, 20); // 13:45:20
int hour = time.getHour(); // 13
int minute = time.getMinute(); // 45
int second = time.getSecond(); // 20
System.out.println(time);
LocalDateTime dt1 = LocalDateTime.of(2014, Month.MARCH, 18, 13, 45, 20); // 2014-03-18T13:45
LocalDateTime dt2 = LocalDateTime.of(date, time);
LocalDateTime dt3 = date.atTime(13, 45, 20);
LocalDateTime dt4 = date.atTime(time);
LocalDateTime dt5 = time.atDate(date);
System.out.println(dt1);
LocalDate date1 = dt1.toLocalDate();
System.out.println(date1);
LocalTime time1 = dt1.toLocalTime();
System.out.println(time1);
Instant instant = Instant.ofEpochSecond(44 * 365 * 86400);
Instant now = Instant.now();
Duration d1 = Duration.between(LocalTime.of(13, 45, 10), time);
Duration d2 = Duration.between(instant, now);
System.out.println(d1.getSeconds());
System.out.println(d2.getSeconds());
Duration threeMinutes = Duration.of(3, ChronoUnit.MINUTES);
System.out.println(threeMinutes);
JapaneseDate japaneseDate = JapaneseDate.from(date);
System.out.println(japaneseDate);
}
/**
* Obtains an instance from the implied volatility surface and the date, time and zone for which
* it is valid.
*
* @param surface the implied volatility surface
* @param index the Ibor index for which the data is valid
* @param valuationDate the valuation date
* @param valuationTime the valuation time
* @param valuationZone the valuation time zone
* @param dayCount the day count applicable to the model
* @return the volatilities
*/
public static NormalIborCapletFloorletExpiryStrikeVolatilities of(
NodalSurface surface,
IborIndex index,
LocalDate valuationDate,
LocalTime valuationTime,
ZoneId valuationZone,
DayCount dayCount) {
return of(surface, index, valuationDate.atTime(valuationTime).atZone(valuationZone), dayCount);
}
@Test
public void shouldPlayWithDates() {
LocalDate d1 = LocalDate.now();
LocalDate d2 = LocalDate.of(2014, 2, 15).plusDays(10);
print(d1);
print(d2);
LocalDateTime d3 = d2.atTime(13, 23, 34, 45);
assertThat(d3.toString(), is("2014-02-25T13:23:34.000000045"));
LocalDateTime d4 = d3.plus(Period.of(1, 2, 3));
assertThat(d4.toString(), is("2015-04-28T13:23:34.000000045"));
}
/** Test {@link BlackFxVanillaOptionTradePricer}. */
@Test
public class BlackFxVanillaOptionTradePricerTest {
private static final LocalDate VAL_DATE = RatesProviderDataSets.VAL_DATE_2014_01_22;
private static final LocalTime VAL_TIME = LocalTime.of(13, 45);
private static final ZoneId ZONE = ZoneId.of("Z");
private static final ZonedDateTime VAL_DATE_TIME = VAL_DATE.atTime(VAL_TIME).atZone(ZONE);
private static final ZonedDateTime EXPIRY = ZonedDateTime.of(2014, 5, 9, 13, 10, 0, 0, ZONE);
private static final FxMatrix FX_MATRIX = RatesProviderFxDataSets.fxMatrix();
private static final RatesProvider RATES_PROVIDER =
RatesProviderFxDataSets.createProviderEURUSD(VAL_DATE);
private static final DoubleArray TIME_TO_EXPIRY =
DoubleArray.of(0.01, 0.252, 0.501, 1.0, 2.0, 5.0);
private static final DoubleArray ATM = DoubleArray.of(0.175, 0.185, 0.18, 0.17, 0.16, 0.16);
private static final DoubleArray DELTA = DoubleArray.of(0.10, 0.25);
private static final DoubleMatrix RISK_REVERSAL =
DoubleMatrix.ofUnsafe(
new double[][] {
{-0.010, -0.0050}, {-0.011, -0.0060}, {-0.012, -0.0070},
{-0.013, -0.0080}, {-0.014, -0.0090}, {-0.014, -0.0090}
});
private static final DoubleMatrix STRANGLE =
DoubleMatrix.ofUnsafe(
new double[][] {
{0.0300, 0.0100},
{0.0310, 0.0110},
{0.0320, 0.0120},
{0.0330, 0.0130},
{0.0340, 0.0140},
{0.0340, 0.0140}
});
private static final InterpolatedStrikeSmileDeltaTermStructure SMILE_TERM =
InterpolatedStrikeSmileDeltaTermStructure.of(
TIME_TO_EXPIRY, DELTA, ATM, RISK_REVERSAL, STRANGLE, ACT_365F);
private static final CurrencyPair CURRENCY_PAIR = CurrencyPair.of(EUR, USD);
private static final BlackFxOptionSmileVolatilities VOLS =
BlackFxOptionSmileVolatilities.of(
FxOptionVolatilitiesName.of("Test"), CURRENCY_PAIR, VAL_DATE_TIME, SMILE_TERM);
private static final LocalDate PAYMENT_DATE = LocalDate.of(2014, 5, 13);
private static final double NOTIONAL = 1.0e6;
private static final CurrencyAmount EUR_AMOUNT = CurrencyAmount.of(EUR, NOTIONAL);
private static final CurrencyAmount USD_AMOUNT =
CurrencyAmount.of(USD, -NOTIONAL * FX_MATRIX.fxRate(EUR, USD));
private static final ResolvedFxSingle FX_PRODUCT =
ResolvedFxSingle.of(EUR_AMOUNT, USD_AMOUNT, PAYMENT_DATE);
private static final ResolvedFxVanillaOption OPTION_PRODUCT =
ResolvedFxVanillaOption.builder()
.longShort(SHORT)
.expiry(EXPIRY)
.underlying(FX_PRODUCT)
.build();
private static final TradeInfo TRADE_INFO = TradeInfo.builder().tradeDate(VAL_DATE).build();
private static final LocalDate CASH_SETTLE_DATE = LocalDate.of(2014, 1, 25);
private static final Payment PREMIUM = Payment.of(EUR, NOTIONAL * 0.027, CASH_SETTLE_DATE);
private static final ResolvedFxVanillaOptionTrade OPTION_TRADE =
ResolvedFxVanillaOptionTrade.builder()
.premium(PREMIUM)
.product(OPTION_PRODUCT)
.info(TRADE_INFO)
.build();
private static final BlackFxVanillaOptionProductPricer PRICER_PRODUCT =
BlackFxVanillaOptionProductPricer.DEFAULT;
private static final BlackFxVanillaOptionTradePricer PRICER_TRADE =
BlackFxVanillaOptionTradePricer.DEFAULT;
private static final DiscountingPaymentPricer PRICER_PAYMENT = DiscountingPaymentPricer.DEFAULT;
private static final double TOL = 1.0e-13;
public void test_presentValue() {
MultiCurrencyAmount pvSensiTrade =
PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiProduct =
PRICER_PRODUCT.presentValue(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
CurrencyAmount pvSensiPremium = PRICER_PAYMENT.presentValue(PREMIUM, RATES_PROVIDER);
assertEquals(pvSensiTrade, MultiCurrencyAmount.of(pvSensiProduct, pvSensiPremium));
}
public void test_presentValueSensitivity() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT.presentValueSensitivityRates(OPTION_PRODUCT, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiPremium =
PRICER_PAYMENT.presentValueSensitivity(PREMIUM, RATES_PROVIDER).build();
assertEquals(pvSensiTrade, pvSensiProduct.combinedWith(pvSensiPremium));
}
public void test_presentValueSensitivityBlackVolatility() {
PointSensitivities pvSensiTrade =
PRICER_TRADE.presentValueSensitivityModelParamsVolatility(
OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities pvSensiProduct =
PRICER_PRODUCT
.presentValueSensitivityModelParamsVolatility(OPTION_PRODUCT, RATES_PROVIDER, VOLS)
.build();
assertEquals(pvSensiTrade, pvSensiProduct);
}
public void test_currencyExposure() {
MultiCurrencyAmount ceComputed =
PRICER_TRADE.currencyExposure(OPTION_TRADE, RATES_PROVIDER, VOLS);
PointSensitivities point =
PRICER_TRADE.presentValueSensitivityRates(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount pv = PRICER_TRADE.presentValue(OPTION_TRADE, RATES_PROVIDER, VOLS);
MultiCurrencyAmount ceExpected = RATES_PROVIDER.currencyExposure(point).plus(pv);
assertEquals(ceComputed.size(), 2);
assertEquals(
ceComputed.getAmount(EUR).getAmount(),
ceExpected.getAmount(EUR).getAmount(),
TOL * NOTIONAL);
assertEquals(
ceComputed.getAmount(USD).getAmount(),
ceExpected.getAmount(USD).getAmount(),
TOL * NOTIONAL);
}
public void test_currentCash_zero() {
assertEquals(
PRICER_TRADE.currentCash(OPTION_TRADE, VAL_DATE),
CurrencyAmount.zero(PREMIUM.getCurrency()));
}
public void test_currentCash_onSettle() {
assertEquals(PRICER_TRADE.currentCash(OPTION_TRADE, CASH_SETTLE_DATE), PREMIUM.getValue());
}
}
/** 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);
}
}
/** 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);
}
}
@FilterWith(XSRFFilter.class)
public Result dryRun(
Context context, @Param("startDate") String start, @Param("endDate") String end) {
long _start = System.currentTimeMillis();
FlashScope flash = context.getFlashScope();
LocalDate startDate = null;
LocalDate endDate = null;
try {
startDate = LocalDate.parse(start);
endDate = LocalDate.parse(end);
} catch (Exception ex) {
}
if (startDate == null || endDate == null || startDate.isAfter(endDate)) {
flash.error("error.invalidDate");
return Results.redirect(router.getReverseRoute(DebugController.class, "debug"));
}
Run lastRun = baseDB.run.findLast(Module.GOOGLE, null, null);
if (lastRun != null && lastRun.getDay().isAfter(startDate)) {
flash.error("error.invalidDate");
return Results.redirect(router.getReverseRoute(DebugController.class, "debug"));
}
LocalDate date = LocalDate.from(startDate);
GoogleSettings ggOptions = googleDB.options.get();
int minPauseBetweenPageSec = ggOptions.getMinPauseBetweenPageSec();
int maxPauseBetweenPageSec = ggOptions.getMaxPauseBetweenPageSec();
ggOptions.setMinPauseBetweenPageSec(0);
ggOptions.setMaxPauseBetweenPageSec(0);
googleDB.options.update(ggOptions);
try {
while (date.isBefore(endDate)) {
LOG.debug("dry run {}", date);
if (!taskManager.startGoogleTask(
new Run(Run.Mode.MANUAL, Module.GOOGLE, date.atTime(13, 37, 00)))) {
LOG.error("can't startGoogleTask");
flash.error("can't startGoogleTask");
return Results.redirect(router.getReverseRoute(DebugController.class, "debug"));
}
taskManager.joinGoogleTask();
date = date.plusDays(1);
}
} catch (Exception ex) {
LOG.error("an error occured", ex);
flash.error("an error occured");
return Results.redirect(router.getReverseRoute(DebugController.class, "debug"));
} finally {
ggOptions.setMinPauseBetweenPageSec(minPauseBetweenPageSec);
ggOptions.setMaxPauseBetweenPageSec(maxPauseBetweenPageSec);
googleDB.options.update(ggOptions);
}
LOG.debug(
"dry run timing : {}",
DurationFormatUtils.formatDurationHMS(System.currentTimeMillis() - _start));
flash.success("ok");
return Results.redirect(router.getReverseRoute(DebugController.class, "debug"));
}
// Calculate How many time
public List<TestingCenterTimeSlots> generateTimeSlots(Exam exam) {
TestingCenterInfo tci = tcr.findByTerm(tcr.getCurrentTerm().getTermId());
int gap = tci.getGap();
int examDuration = exam.getDuration();
int openMinutes = (int) ChronoUnit.MINUTES.between(tci.getOpen(), tci.getClose());
// Ensure time chunk devides 30
int timeChuck =
(examDuration + gap) % 30 == 0 ? examDuration : 30 * ((examDuration + gap) / 30 + 1);
LocalTime endTime = exam.getEndDateTime().toLocalTime();
LocalTime beginTime = exam.getStartDateTime().toLocalTime();
LocalTime openTime = tci.getOpen();
LocalTime closeTime = tci.getClose();
LocalDate beginDate = exam.getStartDateTime().toLocalDate();
LocalDate endDate = exam.getEndDateTime().toLocalDate();
beginTime = adjustTime(beginTime); // Exam Begin Time
endTime = adjustTime(endTime); // Exam End Time
// Calculate Duration According to different day.
int startDayDuration = (int) ChronoUnit.MINUTES.between(beginTime, closeTime);
int dayLast = (int) ChronoUnit.DAYS.between(beginDate, endDate) - 1;
int endDayDuration = (int) ChronoUnit.MINUTES.between(openTime, endTime);
int startDayChucks = startDayDuration / timeChuck;
int endDayChucks = endDayDuration / timeChuck;
int regularDayChuncks = dayLast >= 0 ? (dayLast * openMinutes) / timeChuck : 0;
int dailyChuncks = openMinutes / timeChuck;
LocalDate dateCursor = beginDate;
LocalTime timeCursor = beginTime;
List<TestingCenterTimeSlots> timeSlotses = new ArrayList<>();
if (startDayChucks > 0) {
for (int i = 0; i < startDayChucks; i++) {
LocalDateTime slotsBegin = dateCursor.atTime(timeCursor);
LocalDateTime slotsEnd = dateCursor.atTime(timeCursor.plusMinutes(examDuration));
TestingCenterTimeSlots t =
new TestingCenterTimeSlots(
exam.getExamId(),
slotsBegin,
slotsEnd,
tci.getNumSeats(),
tci.getNumSetAsideSeats());
timeSlotses.add(t);
timeCursor = timeCursor.plusMinutes(timeChuck);
}
}
if (regularDayChuncks > 0) {
for (int i = 0; i < dayLast; i++) {
dateCursor = dateCursor.plusDays(1);
timeCursor = adjustTime(openTime);
for (int j = 0; j < dailyChuncks; j++) {
LocalDateTime slotsBegin = dateCursor.atTime(timeCursor);
LocalDateTime slotsEnd = dateCursor.atTime(timeCursor.plusMinutes(examDuration));
TestingCenterTimeSlots t =
new TestingCenterTimeSlots(
exam.getExamId(),
slotsBegin,
slotsEnd,
tci.getNumSeats(),
tci.getNumSetAsideSeats());
timeSlotses.add(t);
timeCursor = timeCursor.plusMinutes(timeChuck);
}
}
}
if (endDayChucks > 0) {
dateCursor = dateCursor.plusDays(1);
timeCursor = adjustTime(openTime);
for (int i = 0; i < endDayChucks; i++) {
LocalDateTime slotsBegin = dateCursor.atTime(timeCursor);
LocalDateTime slotsEnd = dateCursor.atTime(timeCursor.plusMinutes(examDuration));
TestingCenterTimeSlots t =
new TestingCenterTimeSlots(
exam.getExamId(),
slotsBegin,
slotsEnd,
tci.getNumSeats(),
tci.getNumSetAsideSeats());
timeSlotses.add(t);
timeCursor = timeCursor.plusMinutes(timeChuck);
}
}
return timeSlotses;
}