/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.volatility.surface;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.internal.junit.ArrayAsserts.assertArrayEquals;
import org.testng.annotations.Test;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.LinearInterpolator1D;
import com.opengamma.analytics.math.surface.ConstantDoublesSurface;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.analytics.math.surface.SurfaceShiftFunctionFactory;
/**
*
*/
public class VolatilitySurfaceTest {
private static final LinearInterpolator1D LINEAR = new LinearInterpolator1D();
private static final GridInterpolator2D INTERPOLATOR = new GridInterpolator2D(LINEAR, LINEAR);
private static final InterpolatedDoublesSurface SURFACE = InterpolatedDoublesSurface.from(new double[] {0, 1, 2, 0, 1, 2, 0, 1, 2}, new double[] {0, 0, 0, 1, 1, 1, 2, 2, 2}, new double[] {4, 5, 6,
4, 5, 6, 4, 5, 6}, INTERPOLATOR, "S");
private static final VolatilitySurface VOL = new VolatilitySurface(SURFACE);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNull() {
new VolatilitySurface(null);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullPair() {
VOL.getVolatility(null);
}
@Test
public void testGetters() {
assertEquals(VOL.getSurface(), SURFACE);
}
@Test
public void testHashCodeAndEquals() {
VolatilitySurface other = new VolatilitySurface(SURFACE);
assertEquals(other, VOL);
assertEquals(other.hashCode(), VOL.hashCode());
other = new VolatilitySurface(ConstantDoublesSurface.from(0.3));
assertFalse(other.equals(VOL));
}
@Test
public void testBuilders() {
VolatilitySurface other = VOL.withParallelShift(0);
assertFalse(other.equals(VOL));
other = VOL.withParallelShift(2);
InterpolatedDoublesSurface underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, 2, true);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
other = VOL.withSingleAdditiveShift(0, 1, 0);
assertFalse(other.equals(VOL));
other = VOL.withSingleAdditiveShift(0, 1, 2);
underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, 0, 1, 2, true);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
other = VOL.withMultipleAdditiveShifts(new double[] {0, 1}, new double[] {0, 1}, new double[] {0, 0});
assertFalse(other.equals(VOL));
other = VOL.withMultipleAdditiveShifts(new double[] {0, 1}, new double[] {0, 1}, new double[] {0.9, 0.8});
underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, new double[] {0, 1}, new double[] {0, 1}, new double[] {0.9, 0.8}, true);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
other = VOL.withConstantMultiplicativeShift(0);
assertFalse(other.equals(VOL));
other = VOL.withConstantMultiplicativeShift(2);
underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, 2, false);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
other = VOL.withSingleMultiplicativeShift(0, 1, 0);
assertFalse(other.equals(VOL));
other = VOL.withSingleMultiplicativeShift(0, 1, 2);
underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, 0, 1, 2, false);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
other = VOL.withMultipleMultiplicativeShifts(new double[] {0, 1}, new double[] {0, 1}, new double[] {0, 0});
assertFalse(other.equals(VOL));
other = VOL.withMultipleMultiplicativeShifts(new double[] {0, 1}, new double[] {0, 1}, new double[] {0.9, 0.8});
underlying = (InterpolatedDoublesSurface) SurfaceShiftFunctionFactory.getShiftedSurface(SURFACE, new double[] {0, 1}, new double[] {0, 1}, new double[] {0.9, 0.8}, false);
assertEquals(underlying.getClass(), other.getSurface().getClass());
assertEquals(((InterpolatedDoublesSurface) other.getSurface()).getInterpolator(), underlying.getInterpolator());
assertArrayEquals(other.getSurface().getXData(), underlying.getXData());
assertArrayEquals(other.getSurface().getYData(), underlying.getYData());
assertArrayEquals(other.getSurface().getZData(), underlying.getZData());
}
}