Java tutorial
/** * Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.analytics.financial.model.volatility.smile.fitting.sabr; import static org.testng.AssertJUnit.assertEquals; import static org.testng.AssertJUnit.assertFalse; import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals; import org.apache.commons.lang.ArrayUtils; import org.testng.annotations.Test; import com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve; import com.opengamma.analytics.financial.model.option.definition.SmileDeltaParameters; import com.opengamma.analytics.math.curve.InterpolatedDoublesCurve; import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolator; import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory; import com.opengamma.analytics.math.interpolation.Interpolator1DFactory; /** * */ public class ForexSmileDeltaSurfaceDataBundleTest { private static final double[] FORWARDS = new double[] { 1.34, 1.35, 1.36, 1.38, 1.4, 1.43, 1.45, 1.48, 1.5, 1.52 }; private static final double[] EXPIRIES = new double[] { 7. / 365, 14 / 365., 21 / 365., 1 / 12., 3 / 12., 0.5, 0.75, 1, 5, 10 }; private static final double[] DELTAS = new double[] { 0.15, 0.25 }; private static final double[] ATM = new double[] { 0.17045, 0.1688, 0.167425, 0.1697, 0.1641, 0.1642, 0.1641, 0.1642, 0.138, 0.12515 }; private static final double[][] RR = new double[][] { { -0.0168, -0.02935, -0.039125, -0.047325, -0.058325, -0.06055, -0.0621, -0.063, -0.032775, -0.023925 }, { -0.012025, -0.02015, -0.026, -0.0314, -0.0377, -0.03905, -0.0396, -0.0402, -0.02085, -0.015175 } }; private static final double[][] STRANGLE = new double[][] { { 0.00665, 0.00725, 0.00835, 0.009075, 0.013175, 0.01505, 0.01565, 0.0163, 0.009275, 0.007075, }, { 0.002725, 0.00335, 0.0038, 0.004, 0.0056, 0.0061, 0.00615, 0.00635, 0.00385, 0.002575 } }; private static final boolean IS_CALL_DATA = true; private static final double[][] STRIKES; private static final double[][] VOLS; private static final CombinedInterpolatorExtrapolator INTERPOLATOR = CombinedInterpolatorExtrapolatorFactory .getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, Interpolator1DFactory.LINEAR_EXTRAPOLATOR); private static final ForwardCurve FORWARD_CURVE = new ForwardCurve( InterpolatedDoublesCurve.from(EXPIRIES, FORWARDS, INTERPOLATOR)); private static final ForexSmileDeltaSurfaceDataBundle DATA = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); private static final double EPS = 1e-15; static { STRIKES = DATA.getStrikes(); VOLS = DATA.getVolatilities(); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullForwards() { new ForexSmileDeltaSurfaceDataBundle(null, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullExpiries1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, null, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullDeltas1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, null, ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullATM1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, null, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRR1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, null, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStrangle1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, RR, null, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullInterpolator() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA, null); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullForwardCurve() { new ForexSmileDeltaSurfaceDataBundle(null, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullExpiries2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, null, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullDeltas2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, null, ATM, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullATM2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, null, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullRR2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, null, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStrangle2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, null, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testForwardLength() { new ForexSmileDeltaSurfaceDataBundle(new double[] { 2 }, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testATMLength1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, new double[] { 2 }, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testDeltaLength1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, new double[0], ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testRRLength1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, new double[][] { ATM }, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testStrangleLength1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, RR, new double[][] { ATM }, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testRR1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, new double[][] { ATM, ATM, new double[] { 1, 2 } }, STRANGLE, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testStrangle1() { new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, RR, new double[][] { ATM, ATM, new double[] { 1, 2 } }, IS_CALL_DATA, INTERPOLATOR); } @Test(expectedExceptions = IllegalArgumentException.class) public void testATMLength2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, new double[] { 2 }, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testDeltaLength2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, new double[0], ATM, RR, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testRRLength2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, new double[][] { ATM }, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testStrangleLength2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, new double[][] { ATM }, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testRR2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, new double[][] { ATM, ATM, new double[] { 1, 2 } }, STRANGLE, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testStrangle2() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, new double[][] { ATM, ATM, new double[] { 1, 2 } }, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullForwardCurve3() { new ForexSmileDeltaSurfaceDataBundle(null, EXPIRIES, STRIKES, VOLS, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullExpiries3() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, null, STRIKES, VOLS, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullStrikes() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, null, VOLS, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testNullVols() { new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, STRIKES, null, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testWrongLengthStrikes() { final double[][] strikes = new double[][] { STRIKES[0] }; new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, strikes, VOLS, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testWrongLengthVols1() { final double[][] vols = new double[][] { VOLS[0] }; new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, STRIKES, vols, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testWrongLengthVols2() { final double[][] vols = new double[VOLS.length][VOLS[0].length - 1]; for (int i = 0; i < vols.length; i++) { for (int j = 0; j < vols[i].length - 1; j++) { vols[i][j] = VOLS[i][j]; } } new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, STRIKES, vols, IS_CALL_DATA); } @Test(expectedExceptions = IllegalArgumentException.class) public void testLowExpiryIndexForBump() { DATA.withBumpedPoint(-1, 1, 0.01); } @Test(expectedExceptions = IllegalArgumentException.class) public void testHighExpiryIndexForBump() { DATA.withBumpedPoint(100, 1, 0.01); } @Test(expectedExceptions = IllegalArgumentException.class) public void testLowStrikeIndexForBump() { DATA.withBumpedPoint(1, -1, 0.01); } @Test(expectedExceptions = IllegalArgumentException.class) public void testHighStrikeIndexForBump() { DATA.withBumpedPoint(1, 100, 0.01); } @Test public void testObject() { assertArrayEquals(FORWARDS, DATA.getForwards(), EPS); assertArrayEquals(EXPIRIES, DATA.getExpiries(), 0); final int n = DELTAS.length; for (int i = 0; i < EXPIRIES.length; i++) { final double[] rr = new double[n]; final double[] s = new double[n]; for (int j = 0; j < n; j++) { rr[j] = RR[j][i]; s[j] = STRANGLE[j][i]; } final SmileDeltaParameters cal = new SmileDeltaParameters(EXPIRIES[i], ATM[i], DELTAS, rr, s); assertArrayEquals(cal.getStrike(FORWARD_CURVE.getForward(EXPIRIES[i])), DATA.getStrikes()[i], EPS); assertArrayEquals(cal.getVolatility(), DATA.getVolatilities()[i], EPS); } assertEquals(FORWARD_CURVE, DATA.getForwardCurve()); // assertEquals(IS_CALL_DATA, DATA.isCallData()); ForexSmileDeltaSurfaceDataBundle other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); assertEquals(DATA, other); assertEquals(DATA.hashCode(), other.hashCode()); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, STRIKES, VOLS, IS_CALL_DATA); assertEquals(DATA, other); assertEquals(DATA.hashCode(), other.hashCode()); other = new ForexSmileDeltaSurfaceDataBundle(FORWARDS, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA, INTERPOLATOR); assertArrayEquals(DATA.getExpiries(), other.getExpiries(), 0); for (int i = 0; i < EXPIRIES.length; i++) { assertArrayEquals(DATA.getStrikes()[i], other.getStrikes()[i], 0); assertArrayEquals(DATA.getVolatilities()[i], other.getVolatilities()[i], 0); } // assertEquals(DATA.isCallData(), other.isCallData()); assertArrayEquals(ArrayUtils.toPrimitive(DATA.getForwardCurve().getForwardCurve().getXData()), ArrayUtils.toPrimitive(other.getForwardCurve().getForwardCurve().getXData()), 0); assertArrayEquals(ArrayUtils.toPrimitive(DATA.getForwardCurve().getForwardCurve().getYData()), ArrayUtils.toPrimitive(other.getForwardCurve().getForwardCurve().getYData()), 0); assertEquals(((InterpolatedDoublesCurve) DATA.getForwardCurve().getForwardCurve()).getInterpolator(), ((InterpolatedDoublesCurve) other.getForwardCurve().getForwardCurve()).getInterpolator()); final ForwardCurve otherCurve = new ForwardCurve( InterpolatedDoublesCurve.from(EXPIRIES, EXPIRIES, INTERPOLATOR)); other = new ForexSmileDeltaSurfaceDataBundle(otherCurve, EXPIRIES, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); assertFalse(DATA.equals(other)); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, new double[] { 7. / 365, 14 / 365., 21 / 365., 1 / 12., 3 / 12., 0.5, 0.75, 1, 5, 9 }, DELTAS, ATM, RR, STRANGLE, IS_CALL_DATA); assertFalse(DATA.equals(other)); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, new double[] { 0.15, 0.35 }, ATM, RR, STRANGLE, IS_CALL_DATA); assertFalse(DATA.equals(other)); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, FORWARDS, RR, STRANGLE, IS_CALL_DATA); assertFalse(DATA.equals(other)); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, STRANGLE, STRANGLE, IS_CALL_DATA); assertFalse(DATA.equals(other)); other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, RR, IS_CALL_DATA); assertFalse(DATA.equals(other)); // other = new ForexSmileDeltaSurfaceDataBundle(FORWARD_CURVE, EXPIRIES, DELTAS, ATM, RR, STRANGLE, !IS_CALL_DATA); // assertFalse(DATA.equals(other)); } @Test public void testBumpedPoint() { final SmileSurfaceDataBundle bumped = DATA.withBumpedPoint(0, 1, 0.05); final double[][] vols = DATA.getVolatilities(); final double[][] bumpedVols = new double[vols.length][]; for (int i = 0; i < vols.length; i++) { bumpedVols[i] = new double[vols[i].length]; System.arraycopy(vols[i], 0, bumpedVols[i], 0, vols[i].length); } bumpedVols[0][1] += 0.05; for (int i = 0; i < vols.length; i++) { assertArrayEquals(bumpedVols[i], bumped.getVolatilities()[i], 0); } } }