public void makeCoherenceTest(string description,
SwaptionVolatilityDiscrete vol)
{
for (int i = 0; i < atm.tenors.options.Count; ++i)
{
Date optionDate =
vol.optionDateFromTenor(atm.tenors.options[i]);
if (optionDate != vol.optionDates()[i])
{
Assert.Fail(
"optionDateFromTenor failure for " +
description + ":" +
"\n option tenor: " + atm.tenors.options[i] +
"\nactual option date : " + optionDate +
"\n exp. option date : " + vol.optionDates()[i]);
}
double optionTime = vol.timeFromReference(optionDate);
if (optionTime != vol.optionTimes()[i])
{
Assert.Fail(
"timeFromReference failure for " +
description + ":" +
"\n option tenor: " + atm.tenors.options[i] +
"\n option date : " + optionDate +
"\nactual option time : " + optionTime +
"\n exp. option time : " + vol.optionTimes()[i]);
}
}
BlackSwaptionEngine engine = new BlackSwaptionEngine(
termStructure,
new Handle <SwaptionVolatilityStructure>(vol));
for (int j = 0; j < atm.tenors.swaps.Count; j++)
{
double swapLength = vol.swapLength(atm.tenors.swaps[j]);
if (swapLength != atm.tenors.swaps[j].length())
{
Assert.Fail("convertSwapTenor failure for " +
description + ":" +
"\n swap tenor : " + atm.tenors.swaps[j] +
"\n actual swap length: " + swapLength +
"\n exp. swap length: " + atm.tenors.swaps[j].length());
}
SwapIndex swapIndex = new EuriborSwapIsdaFixA(atm.tenors.swaps[j], termStructure);
for (int i = 0; i < atm.tenors.options.Count; ++i)
{
double error, tolerance = 1.0e-16;
double actVol, expVol = atm.vols[i, j];
actVol = vol.volatility(atm.tenors.options[i],
atm.tenors.swaps[j], 0.05, true);
error = Math.Abs(expVol - actVol);
if (error > tolerance)
{
Assert.Fail(
"recovery of atm vols failed for " +
description + ":" +
"\noption tenor = " + atm.tenors.options[i] +
"\n swap length = " + atm.tenors.swaps[j] +
"\nexpected vol = " + expVol +
"\n actual vol = " + actVol +
"\n error = " + error +
"\n tolerance = " + tolerance);
}
Date optionDate =
vol.optionDateFromTenor(atm.tenors.options[i]);
actVol = vol.volatility(optionDate,
atm.tenors.swaps[j], 0.05, true);
error = Math.Abs(expVol - actVol);
if (error > tolerance)
{
Assert.Fail(
"recovery of atm vols failed for " +
description + ":" +
"\noption tenor: " + atm.tenors.options[i] +
"\noption date : " + optionDate +
"\n swap tenor: " + atm.tenors.swaps[j] +
"\n exp. vol: " + expVol +
"\n actual vol: " + actVol +
"\n error: " + error +
"\n tolerance: " + tolerance);
}
double optionTime = vol.timeFromReference(optionDate);
actVol = vol.volatility(optionTime, swapLength,
0.05, true);
error = Math.Abs(expVol - actVol);
if (error > tolerance)
{
Assert.Fail(
"recovery of atm vols failed for " +
description + ":" +
"\noption tenor: " + atm.tenors.options[i] +
"\noption time : " + optionTime +
"\n swap tenor: " + atm.tenors.swaps[j] +
"\n swap length: " + swapLength +
"\n exp. vol: " + expVol +
"\n actual vol: " + actVol +
"\n error: " + error +
"\n tolerance: " + tolerance);
}
// ATM swaption
Swaption swaption = new MakeSwaption(
swapIndex, atm.tenors.options[i])
.withPricingEngine(engine)
.value();
Date exerciseDate = swaption.exercise().dates().First();
if (exerciseDate != vol.optionDates()[i])
{
Assert.Fail(
"optionDateFromTenor mismatch for " +
description + ":" +
"\n option tenor: " + atm.tenors.options[i] +
"\nactual option date: " + exerciseDate +
"\n exp. option date: " + vol.optionDates()[i]);
}
Date start = swaption.underlyingSwap().startDate();
Date end = swaption.underlyingSwap().maturityDate();
double swapLength2 = vol.swapLength(start, end);
if (swapLength2 != swapLength)
{
Assert.Fail(
"swapLength failure for " +
description + ":" +
"\n swap tenor : " + atm.tenors.swaps[j] +
"\n actual swap length: " + swapLength2 +
"\n exp. swap length: " + swapLength);
}
double npv = swaption.NPV();
actVol = swaption.impliedVolatility(npv, termStructure,
expVol * 0.98, 1e-6);
error = Math.Abs(expVol - actVol);
// TO BE FIXED
// double tolerance2 = 0.000001;
// if (error > tolerance2 & i != 0)//NOK for i=0 -> to debug
// Assert.Fail(
// "recovery of atm vols through BlackSwaptionEngine failed for " +
// description + ":"+
// "\noption tenor: " + atm.tenors.options[i] +
// "\noption time : " + optionTime +
// "\n swap tenor: " + atm.tenors.swaps[j] +
// "\n swap length: " + swapLength +
// "\n exp. vol: " + expVol +
// "\n actual vol: " + actVol +
// "\n error: " + error +
// "\n tolerance: " + tolerance2);
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SwaptionVolatilityDiscrete obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
