public void testFuturesConvexityBias()
{
//BOOST_MESSAGE("Testing Hull-White futures convexity bias...");
// G. Kirikos, D. Novak, "Convexity Conundrums", Risk Magazine, March 1997
double futureQuote = 94.0;
double a = 0.03;
double sigma = 0.015;
double t = 5.0;
double T = 5.25;
double expectedForward = 0.0573037;
double tolerance = 0.0000001;
double futureImpliedRate = (100.0 - futureQuote) / 100.0;
double calculatedForward =
futureImpliedRate - HullWhite.convexityBias(futureQuote, t, T, sigma, a);
double error = Math.Abs(calculatedForward - expectedForward);
if (error > tolerance)
{
Assert.Fail("Failed to reproduce convexity bias:"
+ "\ncalculated: " + calculatedForward
+ "\n expected: " + expectedForward
//+ QL_SCIENTIFIC
+ "\n error: " + error
+ "\n tolerance: " + tolerance);
}
}
