/** * Tests applying an index shift to a surface where there are fewer shifts specified than expiries * in the surface. */ @Test public void indexSurfaceFewerShiftsThanExpiries() { NodalDoublesSurface surface = new NodalDoublesSurface( new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3}, new double[] {0.1, 0.1, 0.2, 0.1, 0.2, 0.3}, new double[] {1, 2, 3, 4, 5, 6}); List<Double> shiftList = Lists.newArrayList(0d, 0.1); VolatilitySurfaceIndexShifts shifts = new VolatilitySurfaceIndexShifts(ScenarioShiftType.ABSOLUTE, shiftList); ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get(); ValueSpecification spec = new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties); VolatilitySurface shiftedSurface = shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext()); assertEquals(1.0, shiftedSurface.getVolatility(1.1, 0.1), DELTA); assertEquals(2.1, shiftedSurface.getVolatility(1.2, 0.1), DELTA); assertEquals(3.1, shiftedSurface.getVolatility(1.2, 0.2), DELTA); assertEquals(4.0, shiftedSurface.getVolatility(1.3, 0.1), DELTA); assertEquals(5.0, shiftedSurface.getVolatility(1.3, 0.2), DELTA); assertEquals(6.0, shiftedSurface.getVolatility(1.3, 0.3), DELTA); }
/** Tests applying a relative index shift to a surface. */ @Test public void indexSurfaceRelative() { NodalDoublesSurface surface = new NodalDoublesSurface( new double[] {1.1, 1.2, 1.2, 1.3, 1.3, 1.3}, new double[] {10, 10, 20, 10, 20, 30}, new double[] {1, 2, 3, 4, 5, 6}); List<Double> shiftList = Lists.newArrayList(0d, 0.1, 0.2); VolatilitySurfaceIndexShifts shifts = new VolatilitySurfaceIndexShifts(ScenarioShiftType.RELATIVE, shiftList); ValueProperties properties = ValueProperties.with(ValuePropertyNames.FUNCTION, "bar").get(); ValueSpecification spec = new ValueSpecification("foo", ComputationTargetSpecification.NULL, properties); VolatilitySurface shiftedSurface = shifts.execute(new VolatilitySurface(surface), spec, new FunctionExecutionContext()); assertEquals(1.0, shiftedSurface.getVolatility(1.1, 10), DELTA); assertEquals(2.2, shiftedSurface.getVolatility(1.2, 10), DELTA); assertEquals(3.3, shiftedSurface.getVolatility(1.2, 20), DELTA); assertEquals(4.8, shiftedSurface.getVolatility(1.3, 10), DELTA); assertEquals(6.0, shiftedSurface.getVolatility(1.3, 20), DELTA); assertEquals(7.2, shiftedSurface.getVolatility(1.3, 30), DELTA); }