/**
* 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 cern.jet.random.engine.MersenneTwister;
import cern.jet.random.engine.RandomEngine;
import com.opengamma.analytics.financial.model.volatility.smile.function.SVIFormulaData;
import com.opengamma.analytics.financial.model.volatility.smile.function.SVIVolatilityFunction;
import com.opengamma.analytics.financial.model.volatility.smile.function.VolatilityFunctionProvider;
/**
*
*/
public class SVIModelFitterTest extends SmileModelFitterTest<SVIFormulaData> {
private static Logger LOGGER = LoggerFactory.getLogger(SVIModelFitterTest.class);
private static final double A = 0.1;
private static final double B = 0.3;
private static double RHO = -0.5;
private static double NU = 0.3;
private static double M = 0.2;
private static RandomEngine RANDOM = new MersenneTwister();
public SVIModelFitterTest() {
_chiSqEps = 1e-4;
}
@Override
VolatilityFunctionProvider<SVIFormulaData> getModel() {
return new SVIVolatilityFunction();
}
@Override
SVIFormulaData getModelData() {
return new SVIFormulaData(A, B, RHO, NU, M);
}
@Override
SmileModelFitter<SVIFormulaData> getFitter(double forward, double[] strikes, double timeToExpiry, double[] impliedVols, double[] error, VolatilityFunctionProvider<SVIFormulaData> model) {
return new SVIModelFitter(forward, strikes, timeToExpiry, impliedVols, error, model);
}
@Override
double[][] getStartValues() {
return new double[][] { {0.1, 0.1, 0.01, 0.01, 0.0 }, {0.05, 0.05, 0, 0.3, 0.2 }, {0.2, 0.1, 0.6, 0.1, 0.3 } };
}
@Override
BitSet[] getFixedValues() {
final BitSet[] fixed = new BitSet[3];
fixed[0] = new BitSet();
fixed[1] = new BitSet();
fixed[1].set(4);
fixed[2] = new BitSet();
return fixed;
}
@Override
Logger getlogger() {
return LOGGER;
}
@Override
double[] getRandomStartValues() {
final double a = 0.5 * RANDOM.nextDouble();
final double b = 0.5 * RANDOM.nextDouble();
final double rho = 2 * RANDOM.nextDouble() - 1;
final double nu = 0.5 * RANDOM.nextDouble();
final double m = 0.5 * RANDOM.nextDouble() - 0.25;
return new double[] {a, b, rho, nu, m };
}
}