/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.financial.analytics.fudgemsg;
import static org.testng.AssertJUnit.assertEquals;
import java.util.HashMap;
import java.util.Map;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters;
import com.opengamma.analytics.math.matrix.DoubleMatrix2D;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.analytics.TestsDataSets;
import com.opengamma.financial.analytics.model.volatility.cube.fitted.FittedSmileDataPoints;
import com.opengamma.financial.analytics.volatility.fittedresults.HestonFittedSurfaces;
import com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces;
import com.opengamma.id.ExternalId;
import com.opengamma.util.money.Currency;
import com.opengamma.util.test.TestGroup;
import com.opengamma.util.time.Tenor;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.Pair;
/**
*
*/
@Test(groups = TestGroup.UNIT)
public class SmileFittedSurfaceBuilderTest extends AnalyticsTestBase {
@Test
public void testSABR() {
final SABRInterestRateParameters sabrResults = TestsDataSets.createSABR1();
final InterpolatedDoublesSurface alphaSurface = sabrResults.getAlphaSurface();
final InterpolatedDoublesSurface betaSurface = sabrResults.getBetaSurface();
final InterpolatedDoublesSurface nuSurface = sabrResults.getNuSurface();
final InterpolatedDoublesSurface rhoSurface = sabrResults.getRhoSurface();
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
final SABRFittedSurfaces fits = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
assertEquals(fits, cycleObject(SABRFittedSurfaces.class, fits));
}
@Test
public void testHeston() {
final SABRInterestRateParameters sabrResults = TestsDataSets.createSABR1();
final InterpolatedDoublesSurface kappaSurface = sabrResults.getAlphaSurface();
final InterpolatedDoublesSurface thetaSurface = sabrResults.getBetaSurface();
final InterpolatedDoublesSurface vol0Surface = sabrResults.getNuSurface();
final InterpolatedDoublesSurface omegaSurface = sabrResults.getRhoSurface();
final InterpolatedDoublesSurface rhoSurface = TestsDataSets.createSABR1AlphaBumped().getRhoSurface();
final Currency currency = Currency.AUD;
final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
final HestonFittedSurfaces fits = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
assertEquals(fits, cycleObject(HestonFittedSurfaces.class, fits));
}
@Test
public void testSABRFittedDataPoints() {
final Map<Pair<Tenor, Tenor>, ExternalId[]> externalIds = new HashMap<Pair<Tenor, Tenor>, ExternalId[]>();
final Map<Pair<Tenor, Tenor>, Double[]> relativeStrikes = new HashMap<Pair<Tenor, Tenor>, Double[]>();
externalIds.put(Pair.of(Tenor.ONE_YEAR, Tenor.ONE_YEAR),
new ExternalId[] {ExternalId.of("TEST", "USSV0101A"), ExternalId.of("TEST", "USSV0101B"), ExternalId.of("TEST", "USSV0101C"), ExternalId.of("TEST", "USSV0101D") });
relativeStrikes.put(Pair.of(Tenor.ONE_YEAR, Tenor.ONE_YEAR), new Double[] {-100., -50., 0., 50. });
externalIds.put(Pair.of(Tenor.ONE_YEAR, Tenor.ofYears(5)),
new ExternalId[] {ExternalId.of("TEST", "USSV0105A"), ExternalId.of("TEST", "USSV0105B"), ExternalId.of("TEST", "USSV0105C"), ExternalId.of("TEST", "USSV0105D") });
relativeStrikes.put(Pair.of(Tenor.ONE_YEAR, Tenor.ofYears(5)), new Double[] {-50., 0., 50., 100. });
externalIds.put(Pair.of(Tenor.ofYears(5), Tenor.ONE_YEAR),
new ExternalId[] {ExternalId.of("TEST", "USSV0501A"), ExternalId.of("TEST", "USSV0501B"), ExternalId.of("TEST", "USSV0501C"), ExternalId.of("TEST", "USSV0501D") });
relativeStrikes.put(Pair.of(Tenor.ofYears(5), Tenor.ONE_YEAR), new Double[] {-50., 0., 50., 100. });
externalIds.put(Pair.of(Tenor.ofYears(7), Tenor.ofYears(3)), new ExternalId[] {ExternalId.of("TEST", "USSV0703A"), ExternalId.of("TEST", "USSV0703B"), ExternalId.of("TEST", "USSV0703C"),
ExternalId.of("TEST", "USSV0703D") });
relativeStrikes.put(Pair.of(Tenor.ofYears(7), Tenor.ofYears(3)), new Double[] {-100., 0., 50., 100. });
final FittedSmileDataPoints object = new FittedSmileDataPoints(externalIds, relativeStrikes);
assertEquals(object, cycleObject(FittedSmileDataPoints.class, object));
}
}