public void ConstantVolSurface()
{
var origin = new DateTime(2017, 02, 07);
var vol = 0.32;
var surface = new Qwack.Options.VolSurfaces.ConstantVolSurface(origin, vol);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(999, origin.AddDays(33), 1), 12);
Assert.Equal(vol, surface.GetVolForDeltaStrike(999, origin.AddDays(303), 100), 12);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(999, 0.777, 0), 12);
Assert.Equal(vol, surface.GetVolForDeltaStrike(999, 0.123, 55), 12);
}
public void ConstantVolSurface()
{
var origin = new DateTime(2017, 02, 07);
var vol = 0.32;
var surface = new Qwack.Options.VolSurfaces.ConstantVolSurface(origin, vol);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(999, origin.AddDays(33), 1), 12);
Assert.Equal(vol, surface.GetVolForDeltaStrike(999, origin.AddDays(303), 100), 12);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(999, 0.777, 0), 12);
Assert.Equal(vol, surface.GetVolForDeltaStrike(999, 0.123, 55), 12);
Assert.Equal(vol, surface.GetForwardATMVol(origin, origin));
Assert.Equal(vol, surface.GetForwardATMVol(9, 10));
Assert.Single(surface.Expiries);
Assert.Single(surface.GetATMVegaScenarios(0, null));
Assert.Equal(origin, surface.PillarDatesForLabel(""));
}
