/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.model.option.definition;
import static org.testng.AssertJUnit.assertEquals;
import static org.testng.AssertJUnit.assertFalse;
import static org.testng.AssertJUnit.assertTrue;
import org.testng.annotations.Test;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor;
import com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIborMaster;
import com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters;
import com.opengamma.analytics.math.interpolation.CombinedInterpolatorExtrapolatorFactory;
import com.opengamma.analytics.math.interpolation.GridInterpolator2D;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.Interpolator1DFactory;
import com.opengamma.analytics.math.surface.InterpolatedDoublesSurface;
import com.opengamma.financial.convention.calendar.Calendar;
import com.opengamma.financial.convention.calendar.MondayToFridayCalendar;
public class BlackSwaptionParametersTest {
/**
* The linear interpolator/ flat extrapolator. Used for SABR parameters interpolation.
*/
private static final Interpolator1D LINEAR_FLAT = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
Interpolator1DFactory.FLAT_EXTRAPOLATOR);
private static final GridInterpolator2D INTERPOLATOR_2D = new GridInterpolator2D(LINEAR_FLAT, LINEAR_FLAT);
private static final Calendar CALENDAR = new MondayToFridayCalendar("TARGET");
private static final GeneratorSwapFixedIborMaster GENERATOR_SWAP_MASTER = GeneratorSwapFixedIborMaster.getInstance();
private static final GeneratorSwapFixedIbor EUR1YEURIBOR6M = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
private static final InterpolatedDoublesSurface BLACK_SURFACE = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0}, new double[] {2, 2, 2, 10, 10, 10}, new double[] {0.35,
0.34, 0.25, 0.30, 0.25, 0.20}, INTERPOLATOR_2D);
private static final BlackFlatSwaptionParameters BLACK_SWAPTION = new BlackFlatSwaptionParameters(BLACK_SURFACE, EUR1YEURIBOR6M);
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullBlack() {
new BlackFlatSwaptionParameters(null, EUR1YEURIBOR6M);
}
@Test(expectedExceptions = IllegalArgumentException.class)
public void testNullGenerator() {
new BlackFlatSwaptionParameters(BLACK_SURFACE, null);
}
@Test
/**
* Tests the object getters.
*/
public void getter() {
assertEquals("Black Swaption Surface: getter", BLACK_SURFACE, BLACK_SWAPTION.getVolatilitySurface());
assertEquals("Black Swaption Surface: getter", EUR1YEURIBOR6M, BLACK_SWAPTION.getGeneratorSwap());
}
@Test
/**
* Tests the object equal and hash code methods.
*/
public void equalHash() {
assertTrue("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(BLACK_SWAPTION));
final BlackFlatSwaptionParameters other = new BlackFlatSwaptionParameters(BLACK_SURFACE, EUR1YEURIBOR6M);
assertTrue("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(other));
assertEquals("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.hashCode(), other.hashCode());
BlackFlatSwaptionParameters modified = new BlackFlatSwaptionParameters(BLACK_SURFACE, GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", CALENDAR));
assertFalse("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(modified));
InterpolatedDoublesSurface surface2 = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0}, new double[] {2, 2, 2, 10, 10, 10}, new double[] {0.35, 0.34, 0.25, 0.31, 0.25,
0.20}, INTERPOLATOR_2D);
modified = new BlackFlatSwaptionParameters(surface2, EUR1YEURIBOR6M);
assertFalse("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(modified));
}
}