public void TestVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike1 = new Strike(4200, call1, put1);
Strike strike2 = new Strike(4000, call2, put2);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.30M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.40M, VolatilityState.Default());
call2.SetVolatility(point2);
put2.SetVolatility(point2);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, false);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
List <ForwardExpiry> forwardExpiries = volSurface.NodalExpiries.ToList();
int n1 = forwardExpiries[0].Strikes.Count(item => item.NodalPoint);
// int n2 = forwardExpiries[1].Strikes.Count(delegate(Strike item) { return item.NodalPoint == true; });
int n2 = 0;
Assert.AreEqual(1, n1 + n2);
}
/// <summary>
/// Creates a test vol surface to test temporal and strike volatility interpolation
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateTestVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike1 = new Strike(4200, call1, put1);
Strike strike2 = new Strike(4000, call2, put2);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.30M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.40M, VolatilityState.Default());
call2.SetVolatility(point2);
put2.SetVolatility(point2);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
/// <summary>
/// Creates a null volatility surface to be used in extrapolation tests that utilise
/// the historical volatility ratio
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateNullVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry0 = new ForwardExpiry(DateTime.Parse("14-9-2009"), 4700);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("16-9-2009"), 4700);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("30-9-2009"), 4750);
OptionPosition call0 = new OptionPosition("1145", 104, PositionType.Call);
OptionPosition put0 = new OptionPosition("1146", 1200, PositionType.Put);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike0 = new Strike(1.00, 4599, call0, put0);
Strike strike1 = new Strike(0.867, 4700, call1, put1);
Strike strike2 = new Strike(1.00, 4750, call2, put2);
Strike strike3 = new Strike(1.2, 4750, call2, put2);
Strike strike4 = new Strike(0.30, 4750, call2, put2);
IVolatilityPoint point0 = new VolatilityPoint();
point0.SetVolatility(0.00M, VolatilityState.Default());
put0.SetVolatility(point0);
call0.SetVolatility(point0);
strike0.SetVolatility(point0);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.00M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
strike1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.00M, VolatilityState.Default());
strike2.SetVolatility(point2);
call2.SetVolatility(point2);
put2.SetVolatility(point2);
IVolatilityPoint point3 = new VolatilityPoint();
point3.SetVolatility(0.00M, VolatilityState.Default());
strike3.SetVolatility(point3);
IVolatilityPoint point4 = new VolatilityPoint();
point4.SetVolatility(0.00M, VolatilityState.Default());
strike4.SetVolatility(point4);
expiry0.AddStrike(strike0, true);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
expiry2.AddStrike(strike3, true);
expiry2.AddStrike(strike4, true);
volSurface.AddExpiry(expiry0);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
public static Stock CreateStock(EquityVolCalcTestData.Stock stock)
{
DateTime today = XmlGetDate(stock.Date);
decimal spot = Convert.ToDecimal(stock.Spot);
DateTime baseDate = XmlGetDate(stock.RateCurve.BaseDate);
DateTime[] rateDates = XmlGetDateArray(stock.RateCurve.DateArray);
//Load rate curve
String tp = stock.RateCurve.RateType;
var rc = new RateCurve(stock.RateCurve.Ccy, tp, baseDate, rateDates, stock.RateCurve.RateArray);
// Load dividends
var divs = (from div in stock.Dividends let exDate = XmlGetDate(div.ExDate) select new Dividend(exDate, Convert.ToDecimal(div.Amount))).ToList();
//Load stock object
var stock0 = new Stock(today, spot, stock.AssetId, stock.Name, rc, divs);
var vol0 = new VolatilitySurface(stock.AssetId, spot, today);
//Load vols
stock0.VolatilitySurface = vol0;
foreach (StockVolatilitySurfaceForwardExpiry exp in stock.VolatilitySurface.Expiries)
{
DateTime expDate = XmlGetDate(exp.ExpiryDate);
Decimal fwd = Convert.ToDecimal(exp.FwdPrice);
var exp0 = new ForwardExpiry(expDate, fwd);
// exp0.NodalPoint = System.Convert.ToBoolean(exp.NodalPoint);
vol0.AddExpiry(exp0);
foreach (StockVolatilitySurfaceForwardExpiryStrike str in exp.Strikes)
{
var call = new OptionPosition();
var put = new OptionPosition();
double strikeprice0 = Convert.ToDouble(str.StrikePrice);
var str0 = new Strike(strikeprice0, call, put, Units.Cents)
{
Moneyness = Convert.ToDouble(str.Moneyness)
};
exp0.AddStrike(str0, true);
var vp = new VolatilityPoint();
decimal vol = Convert.ToDecimal(str.Volatility.Value);
vp.SetVolatility(vol, VolatilityState.Default());
str0.SetVolatility(vp);
}
}
return(stock0);
}
private static VolatilitySurface CreateSurface(Stock stock)
{
VolatilitySurface surface = new VolatilitySurface(stock.AssetId, stock.Spot, stock.Date);
List <DateTime> dates = new List <DateTime>
{
new DateTime(2014, 9, 9),
new DateTime(2016, 9, 9)
};
IList <double> strikes = new List <double> {
2261,
2638,
2827,
3015,
3204,
3298,
3392,
3467,
3543,
3581,
3618,
3694,
3769,
3844,
3920,
3957,
3995,
4071,
4146,
4240,
4334,
4523,
4711,
4900,
5277,
5465,
5654,
5842,
6030,
6219,
6407,
6596,
6784,
6973,
7161,
7350,
7538
};
IList <double> vols1 = new List <double> {
0.4162,
0.4094,
0.4062,
0.4031,
0.4,
0.3985,
0.3972,
0.3961,
0.3949,
0.3944,
0.3938,
0.3925,
0.3912,
0.3899,
0.3886,
0.388,
0.3874,
0.3862,
0.385,
0.3835,
0.382,
0.3792,
0.3764,
0.3738,
0.3688,
0.3665,
0.3643,
0.3622,
0.3602,
0.3584,
0.3566,
0.3549,
0.3533,
0.3518,
0.3503,
0.3489,
0.3476
};
IList <double> vols2 = new List <double> {
0.4085,
0.4021,
0.399,
0.3961,
0.3932,
0.3918,
0.3906,
0.3897,
0.3888,
0.3883,
0.3878,
0.3866,
0.3853,
0.384,
0.3828,
0.3822,
0.3816,
0.3803,
0.3792,
0.3777,
0.3763,
0.3734,
0.3707,
0.3681,
0.3631,
0.3608,
0.3585,
0.3564,
0.3544,
0.3525,
0.3506,
0.3489,
0.3472,
0.3456,
0.344,
0.3425,
0.3411
};
var expiry1 = new ForwardExpiry
{
FwdPrice = (decimal)stock.GetForward(stock.Date, dates[0]),
ExpiryDate = dates[0]
};
var expiry2 = new ForwardExpiry
{
FwdPrice = (decimal)stock.GetForward(stock.Date, dates[1]),
ExpiryDate = dates[1]
};
for (int idx = 0; idx < strikes.Count; idx++)
{
Strike str = new Strike(strikes[idx], null, null, Units.Cents);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(vols1[idx]), VolatilityState.Default());
str.SetVolatility(vp);
expiry1.AddStrike(str, true);
}
surface.AddExpiry(expiry1);
for (int idx = 0; idx < strikes.Count; idx++)
{
Strike str = new Strike(strikes[idx], null, null, Units.Cents);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(vols2[idx]), VolatilityState.Default());
str.SetVolatility(vp);
expiry2.AddStrike(str, true);
}
surface.AddExpiry(expiry2);
return(surface);
}
private static VolatilitySurface CreateSurface(Stock stock)
{
VolatilitySurface surface = new VolatilitySurface(stock.AssetId, stock.Spot, stock.Date);
List <DateTime> dates = new List <DateTime>
{
new DateTime(2009, 9, 16),
new DateTime(2009, 10, 05),
new DateTime(2009, 10, 10),
new DateTime(2009, 11, 9),
new DateTime(2009, 11, 26),
new DateTime(2009, 12, 9),
new DateTime(2010, 3, 10),
new DateTime(2010, 6, 9),
new DateTime(2010, 9, 8),
new DateTime(2011, 3, 12),
new DateTime(2011, 9, 7),
new DateTime(2012, 9, 9),
new DateTime(2013, 9, 9),
new DateTime(2014, 9, 9),
};
IList <double> moneynesses = new List <double> {
0.5, 0.9, 1, 1.1, 1.5
};
foreach (DateTime date in dates)
{
var expiry = new ForwardExpiry
{
FwdPrice = (decimal)stock.GetForward(stock.Date, date),
ExpiryDate = date
};
foreach (double moneyness in moneynesses)
{
Strike str = new Strike(Math.Round(Convert.ToDouble(expiry.FwdPrice) * moneyness, 2), null, null, Units.Cents);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(Math.Exp(moneyness) / 3 * 0.32), VolatilityState.Default());
str.SetVolatility(vp);
expiry.AddStrike(str, true);
}
surface.AddExpiry(expiry);
}
return(surface);
}
/// <summary>
/// Does the extrap.
/// </summary>
/// <param name="asxParent">The ASX parent.</param>
/// <param name="asxChild">The ASX child.</param>
/// <param name="sdParent">The SD parent.</param>
/// <param name="child">The child.</param>
public void DoExtrap(IStock asxParent, IStock asxChild, IStock sdParent, IVolatilitySurface child)
{
//foreach expiry in child, interpolate ratio at ASX parent, child and interpolate SD Parent and apply to SD Parent.
foreach (ForwardExpiry exp in child.NodalExpiries)
{
foreach (Strike str in exp.Strikes)
{
if (!str.VolatilityHasBeenSet)
{
double moneyness = str.StrikePrice / Convert.ToDouble(exp.FwdPrice);
double parentVol = GetVolAt(sdParent, exp.ExpiryDate, moneyness);
double scalingFactor = CalcExtrapFactor(asxParent, asxChild, exp.ExpiryDate);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(parentVol * scalingFactor), VolatilityState.Default());
str.SetVolatility(vp);
}
}
}
}
/// <summary>
/// Populates the historical vols.
/// </summary>
/// <param name="leadStock">The lead stock.</param>
/// <param name="childStock">The child stock.</param>
/// <param name="child">The child.</param>
public void PopulateHistoricalVols(IStock leadStock, IStock childStock, IVolatilitySurface child)
{
decimal scalingFactor = GetHistoricalScalFactor(leadStock, childStock);
foreach (ForwardExpiry exp in child.NodalExpiries)
{
foreach (Strike str in exp.Strikes)
{
if (!str.VolatilityHasBeenSet)
{
double moneyness = str.StrikePrice / Convert.ToDouble(exp.FwdPrice);
double parentVol = GetVolAt(leadStock, exp.ExpiryDate, moneyness);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(parentVol) * scalingFactor, VolatilityState.Default());
str.SetVolatility(vp);
}
}
}
}