public void test_volatility() { for (int i = 0; i < NB_TEST; i++) { double expiryTime = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]); double volExpected = SURFACE.zValue(expiryTime, Math.log(TEST_STRIKE_PRICE[i] / TEST_FUTURE_PRICE[i])); double volComputed = VOLS.volatility( TEST_OPTION_EXPIRY[i], TEST_FUTURE_EXPIRY[i], TEST_STRIKE_PRICE[i], TEST_FUTURE_PRICE[i]); assertEquals(volComputed, volExpected, TOLERANCE_VOL); } }
int nData = TIME.size(); for (int i = 0; i < NB_TEST; i++) { double expiry = VOLS.relativeTime(TEST_OPTION_EXPIRY[i]); BondFutureOptionSensitivity point = BondFutureOptionSensitivity.of( VOLS.getName(),