public virtual void flatVolTest()
{
double constantVol = 0.15;
ConstantSurface impliedVolSurface = ConstantSurface.of("impliedVol", constantVol);
System.Func <double, double> zeroRate = (double?x) =>
{
return(0.05d);
};
System.Func <double, double> zeroRate1 = (double?x) =>
{
return(0.02d);
};
double[] strikes = new double[] { 90d, 100d, 115d };
foreach (double strike in strikes)
{
foreach (double time in TEST_TIMES)
{
DeformedSurface localVolSurface = CALC.localVolatilityFromImpliedVolatility(impliedVolSurface, 100d, zeroRate, zeroRate1);
assertEquals(localVolSurface.zValue(time, strike), constantVol);
}
}
}
