/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.smile.fitting;
import static org.testng.Assert.assertEquals;
import java.util.Random;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption;
import com.opengamma.analytics.financial.model.volatility.smile.function.MixedBivariateLogNormalModelVolatility;
/**
*
*/
public class MixedBivariateLogNormalCorrelationFinderTest {
private static final double INF = 1. / 0.;
/**
* EPS_1 =EPS_2 = 1.E-14 should be chosen for this test
*/
@Test
public void recoveryTest() {
final int nNormals = 2;
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double[] rhosTrue = new double[] {0.66, 0.71 };
double[] rhosGuess = new double[] {0.6, 0.6 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double forwardZ = forwardX / forwardY;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final int nData = dataStrikes.length;
final double[] dataVols = new double[nData];
final MixedBivariateLogNormalModelVolatility objTrueZ = new MixedBivariateLogNormalModelVolatility(weights, sigmasX, sigmasY, relativePartialForwardsX, relativePartialForwardsY, rhosTrue);
for (int i = 0; i < nData; ++i) {
final EuropeanVanillaOption option = new EuropeanVanillaOption(dataStrikes[i], timeToExpiry, true);
dataVols[i] = objTrueZ.getImpliedVolatilityZ(option, forwardZ);
}
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
rhosGuess = fitter.getParams();
final MixedBivariateLogNormalModelVolatility objFitZ = new MixedBivariateLogNormalModelVolatility(weights, sigmasX,
sigmasY, relativePartialForwardsX, relativePartialForwardsY, rhosGuess);
final double[] fitVolsZ = new double[100];
final double[] trueVolsZ = new double[100];
for (int i = 0; i < 100; i++) {
final double k = forwardZ * (0.97 + .6 * i / 1000.);
final EuropeanVanillaOption option = new EuropeanVanillaOption(k, timeToExpiry, true);
fitVolsZ[i] = objFitZ.getImpliedVolatilityZ(option, forwardZ);
trueVolsZ[i] = objTrueZ.getImpliedVolatilityZ(option, forwardZ);
assertEquals(fitVolsZ[i], trueVolsZ[i], Math.abs((trueVolsZ[0] + trueVolsZ[99]) / 2.) * 1e-10);
}
for (int i = 0; i < nNormals; ++i) {
assertEquals(rhosGuess[i], rhosTrue[i], Math.abs((rhosTrue[0] + rhosTrue[nNormals - 1]) / 2.) * 1e-11);
}
}
// /**
// *
// */
// @Test
// public void NullTest() {
//
// final double[] weights = {0.37640291143644194, 0.623597088563558 };
// final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
// final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
// final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
// final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
//
// final double forwardX = 1.3364015890354652;
// final double forwardY = 1.5992978529959616;
// final double timeToExpiry = 0.019178082191780823;
//
// final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
// final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
//
// double[] rhosGuess = new double[] {0.65, 0.65 };
//
// MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
//
// fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
// relativePartialForwardsY, forwardX, forwardY);
// }
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullweightsTest() {
final double[] weights = null;
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullsigmasXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = null;
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullsigmasYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = null;
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullrelativePartialForwardsXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = null;
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullrelativePartialForwardsYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = null;
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nulldataStrikesTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = null;
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nulldataVolsTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = null;
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongLengthsigmasXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385, 0.2 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongLengthsigmasYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784, 0.1 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongLengthrelativePartialForwardsXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986, 0.1 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongLengthweightsrelativePartialForwardsYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235, 0.1 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void wrongDataLengthTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686, 0.05 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void negativeForwardXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = -1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void negativeForwardYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = -1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void negativeTimeToExpiryTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = -0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFweightsTest() {
final double[] weights = {INF, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFsigmasXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {INF, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFsigmasYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {INF, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFrelativePartialForwardsXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {INF, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFrelativePartialForwardsYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {INF, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFforwardXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = INF;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFforwardYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = INF;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFtimeToExpiryTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = INF;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFdataStrikesTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {INF, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFdataVolsTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, INF, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void iNFrhosGuessTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {INF, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNweightsTest() {
final double[] weights = {Double.NaN, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNsigmasXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {Double.NaN, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNsigmasYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {Double.NaN, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNrelativePartialForwardsXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {Double.NaN, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNrelativePartialForwardsYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, Double.NaN };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNforwardXTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = Double.NaN;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNforwardYTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = Double.NaN;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNtimeToExpiryTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = Double.NaN;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNdataStrikesTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, Double.NaN, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNdataVolsTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, Double.NaN, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, 0.65 };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void naNrhosGuessTest() {
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double timeToExpiry = 0.019178082191780823;
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
final double[] rhosGuess = new double[] {0.65, Double.NaN };
final MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
}
/**
* Test below is for debugging
*/
@Test
(enabled = false)
public void printTest() {
final int nNormals = 2;
final double[] weights = {0.37640291143644194, 0.623597088563558 };
final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
double[] rhosGuess = new double[nNormals];
final double forwardX = 1.3364015890354652;
final double forwardY = 1.5992978529959616;
final double fwdZ = forwardX / forwardY;
final double timeToExpiry = 0.019178082191780823;
final Random randObj = new Random();
for (int i = 0; i < nNormals; ++i) {
rhosGuess[i] = randObj.nextDouble();
}
final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder();
boolean fitDone = false;
while (fitDone == false) {
fitter.doFit(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
relativePartialForwardsY, forwardX, forwardY);
rhosGuess = fitter.getParams();
System.out.println("\n");
System.out.println("inintial sq: " + fitter.getInitialSq());
if (fitter.getFinalSq() <= fitter.getInitialSq() * 1e-4) {
fitDone = true;
System.out.println("final sq: " + fitter.getFinalSq());
} else {
for (int i = 0; i < nNormals; ++i) {
rhosGuess[i] = randObj.nextDouble();
}
fitter = new MixedBivariateLogNormalCorrelationFinder();
}
}
System.out.println("\n");
rhosGuess = fitter.getParams();
final MixedBivariateLogNormalModelVolatility objZ = new MixedBivariateLogNormalModelVolatility(weights, sigmasX,
sigmasY, relativePartialForwardsX, relativePartialForwardsY, rhosGuess);
final double[] ansVolsZ = new double[100];
for (int i = 0; i < 100; i++) {
final double k = fwdZ * (0.97 + .6 * i / 1000.);
final EuropeanVanillaOption option = new EuropeanVanillaOption(k, timeToExpiry, true);
ansVolsZ[i] = objZ.getImpliedVolatilityZ(option, fwdZ);
System.out.println(k + "\t" + ansVolsZ[i]);
}
System.out.println("\n");
System.out.println(fwdZ);
System.out.println("\n");
for (int i = 0; i < nNormals; ++i) {
System.out.println(rhosGuess[i]);
}
}
// @Test
// // (enabled = false)
// public void derivativeTest() {
//
// final int nNormals = 2;
// final double[] weights = {0.37640291143644194, 0.623597088563558 };
// final double[] sigmasX = {0.06354423944935964, 0.10361640830108385 };
// final double[] sigmasY = {0.03794692512570427, 0.07364831519062784 };
// final double[] relativePartialForwardsX = {0.9997760696332433, 1.0001351642647986 };
// final double[] relativePartialForwardsY = {1.0002606663941294, 0.999842661886235 };
//
// double[] rhosGuess = new double[nNormals];
//
// final double forwardX = 1.3364015890354652;
// final double forwardY = 1.5992978529959616;
// final double fwdZ = forwardX / forwardY;
// final double timeToExpiry = 0.019178082191780823;
//
// final Random randObj = new Random();
//
// for (int i = 0; i < nNormals; ++i) {
// rhosGuess[i] = randObj.nextDouble();
// }
//
// final double[] dataStrikes = {0.8276533748061506, 0.830544004818981, 0.8356246758244018, 0.8408571903798175, 0.8438972913060586 };
// final double[] dataVols = {0.0668, 0.0653, 0.06465, 0.0668, 0.0686 };
// final int nDataPts = dataStrikes.length;
//
// MixedBivariateLogNormalCorrelationFinder fitter = new MixedBivariateLogNormalCorrelationFinder(rhosGuess, dataStrikes, dataVols, timeToExpiry, weights, sigmasX, sigmasY, relativePartialForwardsX,
// relativePartialForwardsY, forwardX, forwardY);
//
// final double[][] derExact = fitter.exactFunctionDerivative(rhosGuess);
//
// final double[][] derFin = fitter.exactFunctionDerivativeFin(rhosGuess);
//
// System.out.println("\n");
// for (int j = 0; j < nDataPts; ++j)
// for (int i = 0; i < nNormals; ++i) {
// System.out.println(derExact[j][i] + "\t" + derFin[j][i] + "\t" + (derExact[j][i] - derFin[j][i]));
// }
//
// }
}