public void RiskyFlySimple()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var cube = surface.ToCube();
Assert.Equal(fwds[0], cube.GetAllRows().First().Value);
var recon = RiskyFlySurface.FromCube(cube, origin, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]), recon.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var quotes = surface.DisplayQuotes();
Assert.Equal(maturities[0], (DateTime)quotes[1, 0]);
}
public void SABRSurfaceRRBF()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddYears(1);
var t = (expiry - origin).TotalDays / 365.0;
var fwd = 1.5;
var vol = 0.32;
var rr = new[] { new[] { 0.02, 0.03 } };
var bf = new[] { new[] { 0.005, 0.007 } };
Func <double, double> fwdCurve = (tt => { return(fwd); });
var surface = new SabrVolSurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Math.Interpolation.Interpolator1DType.Linear);
var gSurface = new RiskyFlySurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Math.Interpolation.Interpolator1DType.Linear, Math.Interpolation.Interpolator1DType.Linear);
var atmK = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.5, 0.0, t, vol);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(atmK, expiry, fwd), 2);
var v25c = gSurface.GetVolForDeltaStrike(0.75, expiry, fwd);
var v25p = gSurface.GetVolForDeltaStrike(0.25, expiry, fwd);
var k25c = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0.0, t, v25c);
var k25p = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0.0, t, v25p);
var t25c = surface.GetVolForAbsoluteStrike(k25c, expiry, fwd);
var t25p = surface.GetVolForAbsoluteStrike(k25p, expiry, fwd);
Assert.Equal(rr[0][0], t25c - t25p, 2);
}
public void RiskyFlySerialization()
{
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var binSer = new BinarySerializer();
binSer.PrepareObjectGraph(surface);
var span = binSer.SerializeObjectGraph();
var binDeser = new BinaryDeserializer();
var surface2 = (ObjectWithLists)binDeser.DeserializeObjectGraph(span);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
}