private void TradeVolLinearInterpCalc(double expectedValue, Date valuationDate, double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate, tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(expectedValue, vol, 1e-10);
}
private void TradeVolLinearInterpSlopeCalc(double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode = DayCountMode.TradingDay)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var valuationDate = new Date[] { new Date(2018, 3, 22), new Date(2018, 3, 23), new Date(2018, 3, 26) };
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol1 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[0], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol2 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[1], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol3 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[2], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(vol2 - vol1, vol3 - vol2, 1e-10);
}
