public virtual void comparisonDupireVolTest()
{
double tol = 1.0e-2;
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(28, 1.45d, INTERP_LINEAR);
System.Func <double, double> interestRate = (double?x) =>
{
return(0.03d);
};
System.Func <double, double> dividendRate = (double?x) =>
{
return(0.01d);
};
InterpolatedNodalSurface resTri = calc.localVolatilityFromImpliedVolatility(VOL_SURFACE, SPOT, interestRate, dividendRate);
DeformedSurface resDup = (new DupireLocalVolatilityCalculator()).localVolatilityFromImpliedVolatility(VOL_SURFACE, SPOT, interestRate, dividendRate);
double[][] sampleStrikes = new double[][]
{
new double[] { 0.7 * SPOT, SPOT, 1.1 * SPOT, 1.4 * SPOT },
new double[] { 0.5 * SPOT, 0.9 * SPOT, SPOT, 1.3 * SPOT, 1.9 * SPOT }
};
double[] sampleTimes = new double[] { 0.8, 1.1 };
for (int i = 0; i < sampleTimes.Length; ++i)
{
double time = sampleTimes[i];
foreach (double strike in sampleStrikes[i])
{
double volTri = resTri.zValue(time, strike);
double volDup = resDup.zValue(time, strike);
assertEquals(volTri, volDup, tol);
}
}
}
public virtual void comparisonDupirePriceTest()
{
double tol = 7.0e-2;
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(22, 1.1d, INTERP_LINEAR);
System.Func <double, double> interestRate = (double?x) =>
{
return(0.003d);
};
System.Func <double, double> dividendRate = (double?x) =>
{
return(0.01d);
};
InterpolatedNodalSurface resTri = calc.localVolatilityFromPrice(PRICE_SURFACE, SPOT, interestRate, dividendRate);
DeformedSurface resDup = (new DupireLocalVolatilityCalculator()).localVolatilityFromPrice(PRICE_SURFACE, SPOT, interestRate, dividendRate);
// limited range due to interpolation/extrapolation of price surface -> negative call/put price reached
double[][] sampleStrikes = new double[][]
{
new double[] { 0.95 * SPOT, 1.05 * SPOT },
new double[] { 0.9 * SPOT, SPOT, 1.1 * SPOT }
};
double[] sampleTimes = new double[] { 0.7, 1.05 };
for (int i = 0; i < sampleTimes.Length; ++i)
{
double time = sampleTimes[i];
foreach (double strike in sampleStrikes[i])
{
double volTri = resTri.zValue(time, strike);
double volDup = resDup.zValue(time, strike);
assertEquals(volTri, volDup, tol);
}
}
}
public virtual void flatVolPriceTest()
{
double tol = 2.0e-2;
double constantVol = 0.15;
double spot = 100d;
double maxTime = 1d;
int nSteps = 9;
ConstantSurface impliedVolSurface = ConstantSurface.of("impliedVol", constantVol);
System.Func <double, double> zeroRate = (double?x) =>
{
return(0d);
};
System.Func <DoublesPair, ValueDerivatives> func = (DoublesPair x) =>
{
double price = BlackFormulaRepository.price(spot, x.Second, x.First, constantVol, true);
return(ValueDerivatives.of(price, DoubleArray.EMPTY));
};
DeformedSurface priceSurface = DeformedSurface.of(DefaultSurfaceMetadata.of("price"), impliedVolSurface, func);
ImpliedTrinomialTreeLocalVolatilityCalculator calc = new ImpliedTrinomialTreeLocalVolatilityCalculator(nSteps, maxTime, INTERP_TIMESQ_LINEAR);
InterpolatedNodalSurface localVolSurface = calc.localVolatilityFromPrice(priceSurface, spot, zeroRate, zeroRate);
assertEquals(localVolSurface.ZValues.Where(d => !DoubleMath.fuzzyEquals(d, constantVol, tol)).Count(), 0);
}
