public void GridVolSurfaceDelta()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var strikes = new double[] { 0.25, 0.75 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07) };
var vols = new double[][]
{
new double[] { 0.32, 0.32 },
new double[] { 0.32, 0.32 }
};
var surface = new Qwack.Options.VolSurfaces.GridVolSurface(
origin, strikes, maturities, vols,
Core.Basic.StrikeType.ForwardDelta,
Math.Interpolation.Interpolator1DType.Linear,
Math.Interpolation.Interpolator1DType.Linear,
Dates.DayCountBasis.Act_365F);
var fwd = 1.5;
Func <double, double> fwdCurve = (t => { return(fwd); });
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(3, origin.AddDays(33), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(-0.3, origin.AddDays(303), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(0.5, 0.777, fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(0.9, 0.123, fwd), 12);
}
public void GridVolSurfaceAbsolute()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var strikes = new double[] { 1, 2 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07) };
var vols = new double[][]
{
new double[] { 0.32, 0.32 },
new double[] { 0.32, 0.32 }
};
var surface = new Qwack.Options.VolSurfaces.GridVolSurface(
origin, strikes, maturities, vols,
Core.Basic.StrikeType.Absolute,
Math.Interpolation.Interpolator1DType.Linear,
Math.Interpolation.Interpolator1DType.Linear,
Dates.DayCountBasis.Act_365F);
var fwd = 1.5;
Func <double, double> fwdCurve = (t => { return(fwd); });
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(999, origin.AddDays(33), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(-0.3, origin.AddDays(303), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(4, 0.777, fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(0.9, 0.123, fwd), 12);
//with some shape
vols = new double[][]
{
new double[] { 0.16, 0.32 },
new double[] { 0.32, 0.64 }
};
surface = new Qwack.Options.VolSurfaces.GridVolSurface(
origin, strikes, maturities, vols,
Core.Basic.StrikeType.Absolute,
Math.Interpolation.Interpolator1DType.Linear,
Math.Interpolation.Interpolator1DType.Linear,
Dates.DayCountBasis.Act_365F);
Assert.Equal(vols[0].Average(), surface.GetVolForAbsoluteStrike(1.5, maturities[0], fwd), 12);
var midPoint = maturities[0].AddDays(((maturities[1] - maturities[0]).TotalDays / 2.0));
Assert.Equal(vols.Select(x => x.Average()).Average(), surface.GetVolForAbsoluteStrike(1.5, midPoint, fwd), 12);
//test delta-space function
var vol = surface.GetVolForAbsoluteStrike(1.75, maturities[0].AddDays(15), fwd);
var deltaK = BlackFunctions.BlackDelta(1.5, 1.75, 0, surface.ExpiriesDouble[0] + 15.0 / 365.0, vol, OptionType.C);
var volForDeltaK = surface.GetVolForDeltaStrike(deltaK, maturities[0].AddDays(15), fwd);
Assert.Equal(vol, volForDeltaK, 8);
}
public void GridVolSurfaceDelta()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var strikes = new double[] { 0.25, 0.75 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07) };
var vols = new double[][]
{
new double[] { 0.32, 0.32 },
new double[] { 0.32, 0.32 }
};
var surface = new Qwack.Options.VolSurfaces.GridVolSurface(
origin, strikes, maturities, vols,
StrikeType.ForwardDelta,
Interpolator1DType.Linear,
Interpolator1DType.Linear,
DayCountBasis.Act_365F);
var fwd = 1.5;
Func <double, double> fwdCurve = (t => { return(fwd); });
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(3, origin.AddDays(33), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(-0.3, origin.AddDays(303), fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(0.5, 0.777, fwd), 12);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(0.9, 0.123, fwd), 12);
Assert.Throws <Exception>(() => surface.GetForwardATMVol(DateTime.Today.AddDays(1), DateTime.Today));
Assert.Equal(vols[0][0], surface.GetForwardATMVol(DateTime.Today, DateTime.Today.AddDays(10)), 12);
Assert.Equal(0.0, surface.RiskReversal(0.25, 1, 1));
Assert.Throws <ArgumentOutOfRangeException>(() => surface.GetVolForDeltaStrike(-2, origin, 1));
var s = surface.GetATMVegaScenarios(0.0, null);
Assert.Equal(2, s.Count);
s = surface.GetATMVegaScenarios(0.0, origin);
Assert.Equal(2, s.Count);
}
