public void positivityClampedMultiTest() {
final double[] xValues = new double[] {1., 2., 3., 4., 5.};
final double[][] yValues =
new double[][] {{0., 0.1, 1., 1., 20., 5., 0.}, {-10., 0.1, 1., 1., 20., 5., 0.}};
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos =
new NonnegativityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
final int nPts = 101;
for (int i = 0; i < 101; ++i) {
final double key = 1. + 4. / (nPts - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) >= 0.);
}
int dim = yValues.length;
int nData = xValues.length;
for (int j = 0; j < dim; ++j) {
for (int i = 1; i < nData - 2; ++i) {
DoubleMatrix coefMatrix = resultPos.getCoefMatrix();
double tau = Math.signum(coefMatrix.get(dim * i + j, 3));
assertTrue(
coefMatrix.get(dim * i + j, 2) * tau
>= -3. * yValues[j][i + 1] * tau / (xValues[i + 1] - xValues[i]));
assertTrue(
coefMatrix.get(dim * i + j, 2) * tau
<= 3. * yValues[j][i + 1] * tau / (xValues[i] - xValues[i - 1]));
}
}
}
/** 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());
}
}
/**
* Transposes the matrix.
*
* <p>This converts a matrix of {@code m x n} into a matrix of {@code n x m}. Each element is
* moved to the opposite position.
*
* @return the transposed matrix
*/
public DoubleMatrix transpose() {
return DoubleMatrix.of(columns, rows, (i, j) -> array[j][i]);
}