public void TestExtrapolate2()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("BHP");
IVolatilitySurface child = CreateNullVolSurface();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double factor = 0.314843 / 0.290393;
double parentVol1 = 0.394634;
double scal = extrapHelper.CalcExtrapFactor(stockASXParent, stockASXChild, new DateTime(2009, 9, 30));
Assert.AreEqual(scal, factor, 0.001);
double parentVol2 = 0.38754555;
double parentVol3 = 0.71063645;
if (stockASXParent.VolatilitySurface.Expiries[0].Strikes[0].InterpModel.GetType() == typeof(WingInterp))
{
extrapHelper.DoExtrap(stockASXParent,
stockASXChild,
stockSDParent,
child);
//moneyness = 0.3;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[0].Volatility.Value), factor * parentVol3, 0.001);
//moneyness = 1.0;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[1].Volatility.Value), factor * parentVol1, 0.001);
//moneyness = 1.2;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[2].Volatility.Value), factor * parentVol2, 0.001);
}
}
public void TestGetVolWithTimeInterp()
{
IStock stockASXParent = LoadStock("AGK");
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 0.05);
double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 1.00);
double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 2.00);
//Extrap below
Assert.AreEqual(0.592322, vol0, 0.001);
Assert.AreEqual(0.290393, vol1, 0.001);
Assert.AreEqual(0.360499, vol2, 0.001);
}
public void TestExtrapolate3()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("BHP");
IVolatilitySurface child = CreateOnePointChild();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double scal = extrapHelper.CalcExtrapFactor(stockASXParent, stockASXChild, new DateTime(2009, 9, 10));
Assert.AreEqual(scal, 1.05239899198348, 0.001); //OLD 0.314301/0.298668 //1.06102304848855
extrapHelper.DoExtrap(stockASXParent, stockASXChild, stockSDParent, child);
Assert.AreEqual(Convert.ToDouble(child.Expiries[0].Strikes[0].Volatility.Value), 0.997545918986369, 0.001); //0.930043543995147
}
public void TestExtrapolate1()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("AGK");
IVolatilitySurface child = CreateTestVolSurface();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
if (stockASXParent.VolatilitySurface.Expiries[0].Strikes[0].InterpModel.GetType() == typeof(WingInterp))
{
extrapHelper.DoExtrap(stockASXParent,
stockASXChild,
stockSDParent,
child);
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[0].Strikes[0].Volatility.Value), 0.295126142, 0.0001);
}
}
public void TestHistoricalExtrapolate()
{
IStock stockASXParent = LoadStock("AGK");
IVolatilitySurface stockASXChild = CreateNullVolSurface();
IVolatilitySurface targetChild = CreateNullVolSurface();
IStock stockSDParent = LoadStock("AGK");
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 28), 1208));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 29), 1221));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 30), 1218));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 8, 31), 1207));
stockASXParent.Valuations.Add(new Valuation(new DateTime(2008, 9, 1), 1250));
RateCurve rateCurve = CreateRateCurve();
List <Dividend> divCurve = CreateDividends();
IStock nullASXChild = new Stock(new DateTime(2009, 9, 9), 200.0M, "ZZZ", "ZZZ", rateCurve, divCurve);
nullASXChild.VolatilitySurface = stockASXChild;
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 12), 208));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 13), 221));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 14), 218));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 15), 207));
nullASXChild.Valuations.Add(new Valuation(new DateTime(2008, 12, 16), 201));
ExtrapolationHelper extrap = new ExtrapolationHelper();
decimal histvol1 = extrap.DoHistVolCalc(stockASXParent);
decimal histvol2 = extrap.DoHistVolCalc(nullASXChild);
Assert.AreEqual(0.375846, Convert.ToDouble(histvol1), 0.0001);
Assert.AreEqual(0.770018, Convert.ToDouble(histvol2), 0.0001);
extrap.PopulateHistoricalVols(stockASXParent, nullASXChild, targetChild);
double scalFactor = Convert.ToDouble(extrap.GetHistoricalScalFactor(stockASXParent, nullASXChild));
Assert.AreEqual(scalFactor, 2.0487573, 0.0001);
//Spreadsheet fit SD parent to (5d, 1.000 * F) point, flatline endpoints.
decimal SDParentVol0 = 0.296175M;
// Spreadsheet fit SD parent to (7d,0.867 * F) point
decimal SDParentVol1 = 0.320240M;
// Spreadsheet fit SD parent to (21d,1.00 * F) point
decimal SDParentVol2 = 0.287656M;
double childExtrapVol0 = scalFactor * Convert.ToDouble(SDParentVol0);
double childExtrapVol1 = scalFactor * Convert.ToDouble(SDParentVol1);
double childExtrapVol2 = scalFactor * Convert.ToDouble(SDParentVol2);
Assert.AreEqual(Convert.ToDouble(SDParentVol0 * histvol2 / histvol1), childExtrapVol0, 0.001);
Assert.AreEqual(Convert.ToDouble(SDParentVol1 * histvol2 / histvol1), childExtrapVol1, 0.001);
Assert.AreEqual(Convert.ToDouble(SDParentVol2 * histvol2 / histvol1), childExtrapVol2, 0.001);
}
public void TestGetVol()
{
IStock stockASXParent = LoadStock("AGK");
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.05);
double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.60);
double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.80);
double vol3 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 1.00);
double vol4 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 2.00);
double vol5 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 3.00);
//Extrap below
Assert.AreEqual(0.6413, vol0, 0.001);
Assert.AreEqual(0.5950, vol1, 0.001);
Assert.AreEqual(0.3545, vol2, 0.001);
Assert.AreEqual(0.2962, vol3, 0.001);
Assert.AreEqual(0.3765, vol4, 0.001);
//Extrap above
Assert.AreEqual(0.3765, vol5, 0.001);
}
