public void testSabrVols()
{
// Testing swaption volatility cube (sabr interpolation)
CommonVars vars = new CommonVars();
List <List <Handle <Quote> > > parametersGuess = new InitializedList <List <Handle <Quote> > >(
vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count);
for (int i = 0; i < vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count; i++)
{
parametersGuess[i] = new InitializedList <Handle <Quote> >(4);
parametersGuess[i][0] = new Handle <Quote>(new SimpleQuote(0.2));
parametersGuess[i][1] = new Handle <Quote>(new SimpleQuote(0.5));
parametersGuess[i][2] = new Handle <Quote>(new SimpleQuote(0.4));
parametersGuess[i][3] = new Handle <Quote>(new SimpleQuote(0.0));
}
List <bool> isParameterFixed = new InitializedList <bool>(4, false);
SwaptionVolCube1x volCube = new SwaptionVolCube1x
(vars.atmVolMatrix, vars.cube.tenors.options, vars.cube.tenors.swaps, vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle, vars.swapIndexBase, vars.shortSwapIndexBase, vars.vegaWeighedSmileFit,
parametersGuess, isParameterFixed, true);
double tolerance = 3.0e-4;
vars.makeAtmVolTest(volCube, tolerance);
tolerance = 12.0e-4;
vars.makeVolSpreadsTest(volCube, tolerance);
}
public void testAtmVols()
{
// Testing swaption volatility cube (atm vols)
CommonVars vars = new CommonVars();
SwaptionVolCube2 volCube = new SwaptionVolCube2(vars.atmVolMatrix,
vars.cube.tenors.options,
vars.cube.tenors.swaps,
vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle,
vars.swapIndexBase,
vars.shortSwapIndexBase,
vars.vegaWeighedSmileFit);
double tolerance = 1.0e-16;
vars.makeAtmVolTest(volCube, tolerance);
}