private static string SabrCalibrationSettings(string swaption)
{
const string instrumentType = "Swaption";
const string currency = "AUD";
const double beta = 1;
return(SABRHelper.AddSabrCalibrationSettings(swaption, instrumentType, currency, beta));
}
public void SabrInterpolateVolatilityLegacyInputsTest()
{
const string calibrationHandle = "SABR Full Settings 20y1y";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument,
calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
object[,] vols
=
{
{ "Swap Tenor", "ATM - 193.810720549067", "ATM - 93.8107205490671", "ATM - 43.8107205490671", "ATM - 18.8107205490671", "ATM", "ATM + 6.18927945093288", "ATM + 31.1892794509329", "ATM + 56.1892794509329", "ATM + 106.189279450933", "ATM + 206.189279450933" },
{ "1y", 18.55, 16.32, 15.60, 15.35, 15.20, 15.16, 15.01, 14.91, 14.80, 14.83 }
};
object[,] assets
=
{
{ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null },
{ "Option Expiry", 1d, 2d, 3d, 4d, 5d, 6d, 7d, 8d, 9d, 10d, 12d, 15d, 20d, 30d },
{ "0m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "1m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "2m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "3m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "6m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "1y", 7.01, 7.01, 7.08, 7.11, 7.11, 7.09, 7.09, 7.08, 7.08, 7.06, 7.06, 6.97, 6.97, 6.97 },
{ "2y", 7.00, 7.10, 7.09, 7.12, 7.10, 7.10, 7.09, 7.08, 7.07, 7.05, 7.05, 6.92, 6.92, 6.92 },
{ "3y", 7.21, 7.13, 7.10, 7.12, 7.11, 7.10, 7.09, 7.07, 7.05, 7.02, 7.02, 6.87, 6.87, 6.87 },
{ "4y", 7.02, 7.03, 7.01, 7.06, 7.06, 7.05, 7.03, 7.01, 6.98, 6.96, 6.96, 6.79, 6.79, 6.79 },
{ "5y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92, 6.92, 6.71, 6.71, 6.71 },
{ "6y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92, 6.92, 6.71, 6.71, 6.71 },
{ "7y", 7.02, 7.01, 7.00, 7.01, 6.97, 6.94, 6.91, 6.87, 6.82, 6.78, 6.92, 6.50, 6.71, 6.71 },
{ "8y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.92, 6.71, 6.71, 6.71 },
{ "9y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.92, 6.71, 6.71, 6.71 },
{ "10y", 6.83, 6.79, 6.76, 6.77, 6.74, 6.68, 6.62, 6.56, 6.50, 6.45, 6.92, 6.08, 6.71, 6.71 },
{ "12y", 6.69, 6.65, 6.61, 6.58, 6.51, 6.45, 6.38, 6.31, 6.22, 6.14, 6.92, 5.78, 6.71, 6.71 },
{ "15y", 6.26, 6.23, 6.16, 6.12, 6.04, 5.94, 5.84, 5.75, 5.67, 5.59, 6.92, 5.25, 6.71, 6.71 },
{ "20y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "30y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
};
const string expiry = "20y";
const string tenor = "1y";
const string engineHandle = "Full Calibration 20y1y";
const double strike = 7;
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
const double expected = 0.149766076068191;// 0.14976614
Assert.AreEqual(expected, (double)actual, 0.00000001);
}
public void SabrInterpolateVolatilityStandardInputsTest2()
{
const string calibrationHandle = "SABR Full Settings 6m1y";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
object[,] vols
=
{
{ "Swap Tenor", "ATM - 199.054193939524", "ATM - 99.0541939395239", "ATM - 49.0541939395239", "ATM - 24.0541939395239", "ATM", "ATM + 0.945806060476073", "ATM + 25.9458060604761", "ATM + 50.9458060604761", "ATM + 100.945806060476", "ATM + 200.945806060476" },
{ "1y", 39.10, 33.00, 31.10, 30.43, 29.93, 29.91, 29.50, 29.21, 28.96, 29.28 }
};
object[,] assets
=
{
{ "Option Expiry", 1d, 2d, 3d, 4d, 5d, 6d, 7d, 8d, 9d, 10d },
{ "0m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "1m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "2m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "3m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "6m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "1y", 7.01, 7.01, 7.08, 7.11, 7.11, 7.09, 7.09, 7.08, 7.08, 7.06 },
{ "2y", 7.00, 7.10, 7.09, 7.12, 7.10, 7.10, 7.09, 7.08, 7.07, 7.05 },
{ "3y", 7.21, 7.13, 7.10, 7.12, 7.11, 7.10, 7.09, 7.07, 7.05, 7.02 },
{ "4y", 7.02, 7.03, 7.01, 7.06, 7.06, 7.05, 7.03, 7.01, 6.98, 6.96 },
{ "5y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92 },
{ "6y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92 },
{ "7y", 7.02, 7.01, 7.00, 7.01, 6.97, 6.94, 6.91, 6.87, 6.82, 6.78 },
{ "8y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "9y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "10y", 6.83, 6.79, 6.76, 6.77, 6.74, 6.68, 6.62, 6.56, 6.50, 6.45 },
};
const string expiry = "6m";
const string tenor = "1y";
const string engineHandle = "Full Calibration 6m1y";
const double strike = 2.5;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument, calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
Assert.AreEqual(engineHandle, handle2);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
Assert.AreEqual(0.6210, (double)actual, 0.0001);
}
public void SabrInterpolateVolatilityTest2()
{
const string expiry = "6m";
const double strike = 0.03;
const double assetCode = 5.0587;
const double nu = 0.9211;
const double rho = -0.2823;
const double atmVol = 23.18;
const string tenor = "1y";
const string handle = "6m1y ATM VOLGRID Calibration";
string swaption = SABRHelper.AddSabrCalibrationSettings("VOLGRID 6m1y", "Swaption", "AUD", 1);
string handle2 =
SABRHelper.CalibrateSabrAtmModelWithTenor(handle, swaption, nu, rho, atmVol,
assetCode, expiry, tenor);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
const double expected = 1.3829;
Assert.AreEqual(expected, (double)actual, 0.0001);
}
public void SabrInterpolateVolatilityMultipleTenorsTest()
{
const string calibrationHandle = "SABR Full 6m Settings";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument,
calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
object[,] assets
=
{
{ "Option Expiry", "Swap Tenor", 1d, 2d, 3d, 4d, 5d, 7d, 10d },
{ "1m", null, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "2m", null, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "3m", "Years to E", 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "6m", 0.5, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "1yr", 1, 6.8000, 6.8000, 6.9000, 6.9000, 6.8000, 6.7000, 6.6000 },
{ "2yr", 2, 6.8500, 6.8000, 6.8000, 6.7750, 6.7000, 6.6000, 6.5500 },
{ "3yr", 3, 6.9000, 6.8000, 6.7000, 6.6500, 6.6000, 6.5000, 6.5000 },
{ "4yr", 4, 6.7000, 6.6000, 6.5500, 6.5250, 6.5000, 6.4500, 6.4000 },
{ "5yr", 5, 6.4000, 6.4000, 6.4000, 6.4000, 6.4000, 6.4000, 6.3000 },
{ "7yr", 7, 6.4000, 6.4000, 6.3000, 6.4000, 6.3500, 6.4000, 6.2000 },
{ "10yr", 10, 6.4000, 6.4000, 6.3000, 6.4000, 6.3000, 6.4000, 6.1000 },
};
object[,] vols
=
{
{ "Swap Tenor", "ATM - 100", "ATM - 75", "ATM - 50", "ATM - 25", "ATM", "ATM + 25", "ATM + 50", "ATM + 75", "ATM + 100" },
{ "1yr", 10.50, 10.30, 10.04, 9.87, 9.77, 9.65, 9.61, 9.61, 9.69 },
{ "2yr", 10.68, 10.40, 10.16, 10.03, 9.94, 9.83, 9.79, 9.78, 9.83 },
{ "3yr", 10.86, 10.60, 10.40, 10.25, 10.14, 10.05, 10.01, 10.01, 10.06 },
{ "4yr", 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00 },
{ "5yr", 10.82, 10.60, 10.39, 10.26, 10.16, 10.02, 9.99, 10.00, 10.07 },
{ "7yr", 10.94, 10.81, 10.56, 10.41, 10.31, 10.15, 10.12, 10.13, 10.20 },
{ "10yr", 11.15, 10.92, 10.74, 10.62, 10.52, 10.31, 10.27, 10.29, 10.38 },
};
const string expiry = "6M";
const string tenor = "1y";
const string engineHandle = "Full Calibration 20y1y";
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 5.8);
Assert.AreEqual(.1052, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.05);
Assert.AreEqual(.1027, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.3);
Assert.AreEqual(.1006, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.55);
Assert.AreEqual(.0989, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.8);
Assert.AreEqual(.0977, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.05);
Assert.AreEqual(.0969, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.30);
Assert.AreEqual(.0964, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.55);
Assert.AreEqual(.0963, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.80);
Assert.AreEqual(.0966, (double)actual, 0.0001);
}