public void testSwaptionVolMatrixObservability()
{
//"Testing swaption volatility matrix observability...");
CommonVars vars = new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, true);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, false);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, true);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix(Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, false);
// fixed reference date and fixed market data, option dates
//SwaptionVolatilityMatrix(const Date& referenceDate,
// const std::vector<Date>& exerciseDates,
// const std::vector<Period>& swapTenors,
// const Matrix& volatilities,
// const DayCounter& dayCounter);
}
public void testSwaptionVolMatrixObservability()
{
//"Testing swaption volatility matrix observability...");
CommonVars vars=new CommonVars();
SwaptionVolatilityMatrix vol;
string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = new SwaptionVolatilityMatrix( vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, true);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = new SwaptionVolatilityMatrix( Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, true, false);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = new SwaptionVolatilityMatrix( vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, true);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = new SwaptionVolatilityMatrix( Settings.evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter);
vars.makeObservabilityTest(description, vol, false, false);
// fixed reference date and fixed market data, option dates
//SwaptionVolatilityMatrix(const Date& referenceDate,
// const std::vector<Date>& exerciseDates,
// const std::vector<Period>& swapTenors,
// const Matrix& volatilities,
// const DayCounter& dayCounter);
}