public void Initialisation()
{
_handle = "SABR Calibration Settings Unit Test";
_instrument = InstrumentType.Instrument.Swaption;
_currency = "AUD";
_beta = 0.85m;
}
/// <summary>
/// Constructor for the class <see cref="SABRCalibrationSettings"/>.
/// </summary>
/// <param name="handle">Name that identifies the SABR calibration
/// settings object.</param>
/// <param name="instrument">The instrument type, for example
/// Swaption.</param>
/// <param name="currency">Currency as a three letter code.</param>
/// <param name="beta">The value of the SABR parameter beta.
/// Beta must be in the range [0.0, 1.0].</param>
public SABRCalibrationSettings(string handle,
InstrumentType.Instrument instrument,
string currency,
decimal beta)
{
// Initialise all fields, other than the SABR parameter beta.
Handle = handle;
Instrument = instrument;
Currency = currency;
// Initialise the SABR parameter beta.
InitialiseBeta(beta);
}
/// <summary>
/// Constructor for the class <see cref="TwoDimensionalKey"/>.
/// </summary>
/// <param name="firstKeyPart">The first part of the key.</param>
/// <param name="secondKeyPart">The second part of the key.</param>
public TwoDimensionalKey(InstrumentType.Instrument firstKeyPart,
string secondKeyPart)
{
FirstKeyPart = firstKeyPart;
SecondKeyPart = secondKeyPart;
}
//
// Use TestInitialize to run code before running each test
// [TestInitialize()]
// public void MyTestInitialize() { }
//
// Use TestCleanup to run code after each test has run
// [TestCleanup()]
// public void MyTestCleanup() { }
//
#endregion
#region Setup
public void Initialisation()
{
// Initialise the SABR calibration settings object.
_settingsHandle = "SABR Calibration Engine Unit Test.";
_currency = "AUD";
_instrument = InstrumentType.Instrument.CallPut;
_beta = 0.85m;
//_calibrationError = 0.0m;
_calibrationSettings = new SABRCalibrationSettings(_settingsHandle,
_instrument,
_currency,
_beta);
// Initialise the SABR calibration engine object.
_assetPrice = 1350.00m;
_engineHandle = _settingsHandle;
_exerciseTime = 5.0m;
decimal[] tempStrikes = { 1242.00m,
1269.00m,
1283.00m,
1296.00m,
1323.00m,
1350.00m,
1377.00m,
1404.00m,
1418.00m,
1431.00m,
1458.00m,
1485.00m,
1519.00m };
_strikes = new List <decimal>();
foreach (decimal strike in tempStrikes)
{
_strikes.Add(strike);
}
decimal[] tempVolatilities =
{ 0.3108m,
0.3012m,
0.2966m,
0.2925m,
0.2847m,
0.2784m,
0.2738m,
0.2709m,
0.2700m,
0.2696m,
0.2697m,
0.2710m,
0.2744m };
_volatilities = new List <decimal>();
foreach (decimal volatility in tempVolatilities)
{
_volatilities.Add(volatility);
}
_calibrationEngine = new SABRCalibrationEngine(_engineHandle,
_calibrationSettings,
_strikes,
_volatilities,
_assetPrice,
_exerciseTime);
// Initialise the collection of SABR calibration engine objects.
//_engineHandles = null;
}
public void Initialization()
{
_first = InstrumentType.Instrument.Swaption;
_second = "USD";
}
