/// <summary>
/// Creates a test vol surface to test temporal and strike volatility interpolation
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateTestVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike1 = new Strike(4200, call1, put1);
Strike strike2 = new Strike(4000, call2, put2);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.30M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.40M, VolatilityState.Default());
call2.SetVolatility(point2);
put2.SetVolatility(point2);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
/// <summary>
/// Creates a null volatility surface to be used in extrapolation tests that utilise
/// the historical volatility ratio
/// </summary>
/// <returns></returns>
public IVolatilitySurface CreateNullVolSurface()
{
IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today);
ForwardExpiry expiry0 = new ForwardExpiry(DateTime.Parse("14-9-2009"), 4700);
ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("16-9-2009"), 4700);
ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("30-9-2009"), 4750);
OptionPosition call0 = new OptionPosition("1145", 104, PositionType.Call);
OptionPosition put0 = new OptionPosition("1146", 1200, PositionType.Put);
OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call);
OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put);
OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call);
OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put);
Strike strike0 = new Strike(1.00, 4599, call0, put0);
Strike strike1 = new Strike(0.867, 4700, call1, put1);
Strike strike2 = new Strike(1.00, 4750, call2, put2);
Strike strike3 = new Strike(1.2, 4750, call2, put2);
Strike strike4 = new Strike(0.30, 4750, call2, put2);
IVolatilityPoint point0 = new VolatilityPoint();
point0.SetVolatility(0.00M, VolatilityState.Default());
put0.SetVolatility(point0);
call0.SetVolatility(point0);
strike0.SetVolatility(point0);
IVolatilityPoint point1 = new VolatilityPoint();
point1.SetVolatility(0.00M, VolatilityState.Default());
put1.SetVolatility(point1);
call1.SetVolatility(point1);
strike1.SetVolatility(point1);
IVolatilityPoint point2 = new VolatilityPoint();
point2.SetVolatility(0.00M, VolatilityState.Default());
strike2.SetVolatility(point2);
call2.SetVolatility(point2);
put2.SetVolatility(point2);
IVolatilityPoint point3 = new VolatilityPoint();
point3.SetVolatility(0.00M, VolatilityState.Default());
strike3.SetVolatility(point3);
IVolatilityPoint point4 = new VolatilityPoint();
point4.SetVolatility(0.00M, VolatilityState.Default());
strike4.SetVolatility(point4);
expiry0.AddStrike(strike0, true);
expiry1.AddStrike(strike1, true);
expiry2.AddStrike(strike2, true);
expiry2.AddStrike(strike3, true);
expiry2.AddStrike(strike4, true);
volSurface.AddExpiry(expiry0);
volSurface.AddExpiry(expiry1);
volSurface.AddExpiry(expiry2);
return(volSurface);
}
