/**
* Copyright (C) 2011 - 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 java.util.BitSet;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import org.testng.annotations.Test;
import cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.RandomEngine;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SABRHaganVolatilityFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
/**
*
*/
public class SABRModelFitterConstainedTest extends SmileModelFitterTest<SABRFormulaData> {
private static final double ALPHA = 0.05;
private static final double BETA = 0.5;
private static double RHO = -0.3;
private static double NU = 0.2;
private static Logger LOGGER = LoggerFactory.getLogger(SABRModelFitterConstainedTest.class);
private static RandomEngine RANDOM = new MersenneTwister();
public SABRModelFitterConstainedTest() {
_chiSqEps = 1e-4;
}
@Override
VolatilityFunctionProvider<SABRFormulaData> getModel() {
return new SABRHaganVolatilityFunction();
}
@Override
SABRFormulaData getModelData() {
return new SABRFormulaData(ALPHA, BETA, RHO, NU);
}
@Override
SmileModelFitter<SABRFormulaData> getFitter(double forward, double[] strikes, double timeToExpiry, double[] impliedVols, double[] error, VolatilityFunctionProvider<SABRFormulaData> model) {
return new SABRModelFitterConstrained(forward, strikes, timeToExpiry, impliedVols, error, model);
}
@Override
double[][] getStartValues() {
return new double[][] { {0.1, 0.7, 0.0, 0.3 }, {0.01, 1.2, 0.9, 0.4 }, {0.01, 0.5, -0.7, 0.6 } };
}
@Override
Logger getlogger() {
return LOGGER;
}
@Override
BitSet[] getFixedValues() {
final BitSet[] fixed = new BitSet[3];
fixed[0] = new BitSet();
fixed[1] = new BitSet();
fixed[2] = new BitSet();
fixed[2].set(1);
return fixed;
}
@Override
double[] getRandomStartValues() {
final double alpha = 0.1 + 0.4 * RANDOM.nextDouble();
final double beta = RANDOM.nextDouble();
final double rho = 2 * RANDOM.nextDouble() - 1;
final double nu = 1.5 * RANDOM.nextDouble();
return new double[] {alpha, beta, rho, nu };
}
@Test
public void doNothing() {
}
}