public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure) {
forwardValue_ = forwardValue;
expiryDate_ = expiryDate;
swapTenor_ = swapTenor;
volatilityStructure_ = volatilityStructure;
smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);
}
public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
{
_forwardValue = forwardValue;
_expiryDate = expiryDate;
_swapTenor = swapTenor;
_volatilityStructure = volatilityStructure;
_smile = _volatilityStructure.smileSection(_expiryDate, _swapTenor);
}
public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
{
forwardValue_ = forwardValue;
expiryDate_ = expiryDate;
swapTenor_ = swapTenor;
volatilityStructure_ = volatilityStructure;
smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);
}
public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
{
_forwardValue = forwardValue;
_expiryDate = expiryDate;
_swapTenor = swapTenor;
_volatilityStructure = volatilityStructure;
_smile = _volatilityStructure.smileSection(_expiryDate, _swapTenor);
}
public BlackVanillaOptionPricer(double forwardValue, Date expiryDate, Period swapTenor, SwaptionVolatilityStructure volatilityStructure)
{
forwardValue_ = forwardValue;
expiryDate_ = expiryDate;
swapTenor_ = swapTenor;
volatilityStructure_ = volatilityStructure;
smile_ = volatilityStructure_.smileSection(expiryDate_, swapTenor_);
Utils.QL_REQUIRE(volatilityStructure.volatilityType() == VolatilityType.ShiftedLognormal &&
Utils.close_enough(volatilityStructure.shift(expiryDate, swapTenor), 0.0), () =>
"BlackVanillaOptionPricer: zero-shift lognormal volatility required");
}
// utilities
public void makeObservabilityTest( string description,
SwaptionVolatilityStructure vol,
bool mktDataFloating,
bool referenceDateFloating)
{
double dummyStrike = .02;
Date referenceDate = Settings.evaluationDate();
double initialVol = vol.volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
// testing evaluation date change ...
Settings.setEvaluationDate(referenceDate - new Period(1, TimeUnit.Years));
double newVol = vol.volatility(
referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
Settings.setEvaluationDate(referenceDate);
if (referenceDateFloating && (initialVol == newVol))
Assert.Fail(description +
" the volatility should change when the reference date is changed !");
if (!referenceDateFloating && (initialVol != newVol))
Assert.Fail(description +
" the volatility should not change when the reference date is changed !");
// test market data change...
if (mktDataFloating)
{
double initialVolatility = atm.volsHandle[0][0].link.value();
SimpleQuote sq=(SimpleQuote)(atm.volsHandle[0][0].currentLink());
sq.setValue(10);
newVol = vol.volatility(referenceDate + atm.tenors.options[0],
atm.tenors.swaps[0], dummyStrike, false);
sq.setValue(initialVolatility);
if (initialVol == newVol)
Assert.Fail(description + " the volatility should change when"+
" the market data is changed !");
}
}