public void testSwaptionVolMatrixCoherence()
{
// Set evaluation date
Settings.Instance.setEvaluationDate(Date.Today);
// Testing swaption volatility matrix
CommonVars vars = new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix(Settings.Instance.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(Settings.Instance.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
}
public void testSwaptionVolMatrixCoherence()
{
//"Testing swaption volatility matrix...");
CommonVars vars = new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeCoherenceTest(description, vol);
}