public void TestCalibrateATMSABRModel()
{
// Override some variable set in the SetUp method.
_assetPrice = 1352;
_exerciseTime = 3.0m;
// Initialise information required specifically for an ATM
// calibration..
decimal atmVolatility = 0.2884m;
decimal nu = 1.23498996m;
decimal rho = -0.2724164m;
_calibrationEngine = new SABRCalibrationEngine(_engineHandle,
_calibrationSettings,
nu,
rho,
atmVolatility,
_assetPrice,
_exerciseTime);
_calibrationEngine.CalibrateATMSABRModel();
// Test: calibration status.
Assert.IsTrue(_calibrationEngine.IsSABRModelCalibrated);
// Test: SABR parameter alpha.
_expected = 0.65869806m;
_actual = _calibrationEngine.GetSABRParameters.Alpha;
Assert.AreEqual(decimal.ToDouble(_expected),
decimal.ToDouble(_actual),
decimal.ToDouble(_tolerance));
// Test: SABR parameter beta.
_expected = 0.85m;
_actual = _calibrationEngine.GetSABRParameters.Beta;
Assert.AreEqual(_expected, _actual);
// Test: SABR parameter nu.
_expected = 1.23498996m;
_actual = _calibrationEngine.GetSABRParameters.Nu;
Assert.AreEqual(_expected, _actual);
// Test: SABR parameter rho.
_expected = -0.2724164m;
_actual = _calibrationEngine.GetSABRParameters.Rho;
Assert.AreEqual(_expected, _actual);
}
/// <summary>
/// Create an ATM calibration engine. Such an engine is designed for a single value
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="nu">Nu value</param>
/// <param name="rho">Rho value</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="assetCode">The ATM identifiier (if used)</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, decimal nu, decimal rho, decimal atmVolatility, decimal assetPrice,
string optionExpiry, string assetCode)
{
// basic setup
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, nu, rho, atmVolatility, assetPrice,
exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateATMSABRModel();
// Add the new engine to our collection
SABRKey key = assetCode != null ? new SABRKey(optionExpiry, assetCode) : new SABRKey(optionExpiry);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}