public void GetPPDTest()
{
string[] rows = new string[] { "1 MONTH", "2 MONTH", "3 MONTH", "6 MONTH", "1 YEAR", "2 YEAR", "3 YEAR", "5 YEAR", "7 YEAR", "10 YEAR" };
string[] cols = new string[] { "1YEAR", "2 YEAR", "3 YEAR", "4 YEAR", "5 YEAR", "6 YEAR", "7 YEAR", "8 YEAR", "9 YEAR", "10 YEAR" };
object[][] data = new object[][]
{
new object[] { 6.4M, 6.4M, 6.6M, 7M, 7M, 7M, 6.9M, 6.9M, 6.9M, 6.8M },
new object[] { 6.4M, 6.4M, 6.6M, 7M, 7M, 7M, 6.9M, 6.9M, 6.9M, 6.8M },
new object[] { 6.5M, 6.6M, 6.7M, 6.8M, 6.8M, 6.8M, 6.7M, 6.7M, 6.7M, 6.6M },
new object[] { 6.5M, 6.6M, 6.7M, 6.8M, 6.8M, 6.8M, 6.7M, 6.7M, 6.7M, 6.5M },
new object[] { 6.5M, 6.5M, 6.4M, 6.35M, 6.4M, 6.4M, 6.3M, 6.3M, 6.3M, 6.2M },
new object[] { 6.4M, 6.4M, 6.2M, 6.15M, 6.1M, 6.1M, 6M, 6M, 6M, 5.9M },
new object[] { 6.1M, 6.25M, 5.8M, 5.55M, 5.3M, 5.3M, 5.2M, 5.2M, 5.2M, 5.1M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M },
new object[] { 5.7M, 5.4M, 5.2M, 5M, 4.9M, 4.9M, 4.85M, 4.85M, 4.85M, 4.75M }
};
SwaptionPPDGrid target = new SwaptionPPDGrid(rows, cols, data);
string expiry = "3M";
string tenor = "3Y";
decimal expected = 6.7m;
decimal actual = target.GetPPD(expiry, tenor);
Assert.AreEqual(expected, actual);
expiry = "2Y";
tenor = "5Y";
expected = 6.1m;
actual = target.GetPPD(expiry, tenor);
Assert.AreEqual(expected, actual);
}
/// <summary>
/// Calculate an ATM volatility given a Price Per Day (PPD) value and a swap curve
/// The curve provides forward rates for the calculation
/// </summary>
private static decimal CalculateAtmVolatility(SwapRate rate, DateTime baseDate, SwaptionPPDGrid grid, double expiryYearFraction, double tenorYearFraction)
{
// Extract the forward rate
var swapRate = rate.ComputeSwapRate(baseDate, tenorYearFraction);
swapRate = swapRate * 100;
// Extract the correct ppd from the grid (compensate for the swap rate being * 100)
var ppd = grid.GetPPD(expiryYearFraction, tenorYearFraction) * 0.01m;
// Calculate the volatility from the parameters
var atmVolatility = (ppd * (decimal)System.Math.Sqrt(250.0)) / swapRate;
return(atmVolatility);
}