public void testFlatTermVolatilityStripping1()
{
// Testing forward/forward vol stripping from flat term vol
// surface using OptionletStripper1 class...
CommonVars vars = new CommonVars();
Settings.setEvaluationDate(new Date(28, Month.October, 2013));
vars.setFlatTermVolSurface();
IborIndex iborIndex = new Euribor6M(vars.yieldTermStructure);
OptionletStripper optionletStripper1 = new OptionletStripper1(vars.flatTermVolSurface,
iborIndex, null, vars.accuracy);
StrippedOptionletAdapter strippedOptionletAdapter = new StrippedOptionletAdapter(optionletStripper1);
Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter);
vol.link.enableExtrapolation();
BlackCapFloorEngine strippedVolEngine = new BlackCapFloorEngine(vars.yieldTermStructure, vol);
CapFloor cap;
for (int tenorIndex = 0; tenorIndex < vars.optionTenors.Count; ++tenorIndex)
{
for (int strikeIndex = 0; strikeIndex < vars.strikes.Count; ++strikeIndex)
{
cap = new MakeCapFloor(CapFloorType.Cap, vars.optionTenors[tenorIndex], iborIndex,
vars.strikes[strikeIndex], new Period(0, TimeUnit.Days))
.withPricingEngine(strippedVolEngine);
double priceFromStrippedVolatility = cap.NPV();
IPricingEngine blackCapFloorEngineConstantVolatility = new BlackCapFloorEngine(vars.yieldTermStructure,
vars.termV[tenorIndex, strikeIndex]);
cap.setPricingEngine(blackCapFloorEngineConstantVolatility);
double priceFromConstantVolatility = cap.NPV();
double error = Math.Abs(priceFromStrippedVolatility - priceFromConstantVolatility);
if (error > vars.tolerance)
{
QAssert.Fail("\noption tenor: " + vars.optionTenors[tenorIndex] +
"\nstrike: " + vars.strikes[strikeIndex] +
"\nstripped vol price: " + priceFromStrippedVolatility +
"\nconstant vol price: " + priceFromConstantVolatility +
"\nerror: " + error +
"\ntolerance: " + vars.tolerance);
}
}
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackCapFloorEngine obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackCapFloorEngine obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}