public void SolveSmileSimple() { var valDate = new DateTime(2018, 07, 28); var expDate = valDate.AddDays(365); var fwd = 1000; double[] strikes = { 0.25, 0.5, 0.75 }; var atmConstraint = new ATMStraddleConstraint { ATMVolType = AtmVolType.ZeroDeltaStraddle, MarketVol = 0.32 }; var smile25d = new RRBFConstraint { Delta = 0.25, FlyVol = 0.01, RisykVol = 0.02, WingQuoteType = WingQuoteType.Arithmatic }; var s = new AssetSmileSolver(); if (IsCoverageOnly) { s.Tollerance = 1; } var smile = s.Solve(atmConstraint, new[] { smile25d }, valDate, expDate, fwd, strikes, Interpolator1DType.Linear); if (!IsCoverageOnly) { Assert.Equal(atmConstraint.MarketVol, smile[1], 8); Assert.Equal(smile25d.RisykVol, smile[2] - smile[0], 8); Assert.Equal(smile25d.FlyVol, (smile[2] + smile[0]) / 2 - atmConstraint.MarketVol, 8); } }
public void SolveSmileMarket() { var valDate = new DateTime(2018, 07, 28); var expDate = valDate.AddDays(365); var tExp = (expDate - valDate).TotalDays / 365.0; var fwd = 1000; double[] strikes = { 0.25, 0.5, 0.75 }; var atmConstraint = new ATMStraddleConstraint { ATMVolType = AtmVolType.ZeroDeltaStraddle, MarketVol = 0.32 }; var smile25d = new RRBFConstraint { Delta = 0.25, FlyVol = 0.01, RisykVol = 0.02, WingQuoteType = WingQuoteType.Market }; var s = new AssetSmileSolver(); if (IsCoverageOnly) { s.Tollerance = 1; } var smile = s.Solve(atmConstraint, new[] { smile25d }, valDate, expDate, fwd, strikes, Interpolator1DType.Linear); if (!IsCoverageOnly) { Assert.Equal(atmConstraint.MarketVol, smile[1], 8); } var surface = new GridVolSurface(valDate, strikes, new[] { expDate }, new[] { smile }, StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.Linear, DayCountBasis.Act365F); //reprice market RR structrure off smile, premium must match var marketVolC = atmConstraint.MarketVol + smile25d.FlyVol + 0.5 * smile25d.RisykVol; var marketVolP = atmConstraint.MarketVol + smile25d.FlyVol - 0.5 * smile25d.RisykVol; var marketKC25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0, tExp, marketVolC); var marketKP25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0, tExp, marketVolP); var marketC25FV = BlackFunctions.BlackPV(fwd, marketKC25, 0, tExp, marketVolC, OptionType.C); var marketP25FV = BlackFunctions.BlackPV(fwd, marketKP25, 0, tExp, marketVolP, OptionType.P); var marketRR = marketC25FV - marketP25FV; var volC25d = surface.GetVolForAbsoluteStrike(marketKC25, expDate, fwd); var volP25d = surface.GetVolForAbsoluteStrike(marketKP25, expDate, fwd); var call25FV = BlackFunctions.BlackPV(fwd, marketKC25, 0, tExp, volC25d, OptionType.C); var put25FV = BlackFunctions.BlackPV(fwd, marketKP25, 0, tExp, volP25d, OptionType.P); var smileRR = call25FV - put25FV; if (!IsCoverageOnly) { Assert.Equal(marketRR, smileRR, 8); } //reprice market BF structrure off smile, premium must match var marketVolBF = atmConstraint.MarketVol + smile25d.FlyVol; var marketKBFC25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0, tExp, marketVolBF); var marketKBFP25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0, tExp, marketVolBF); var marketBFC25FV = BlackFunctions.BlackPV(fwd, marketKBFC25, 0, tExp, marketVolBF, OptionType.C); var marketBFP25FV = BlackFunctions.BlackPV(fwd, marketKBFP25, 0, tExp, marketVolBF, OptionType.P); var marketBF = marketBFC25FV + marketBFP25FV; var volCBF25d = surface.GetVolForAbsoluteStrike(marketKBFC25, expDate, fwd); var volPBF25d = surface.GetVolForAbsoluteStrike(marketKBFP25, expDate, fwd); var callBF25FV = BlackFunctions.BlackPV(fwd, marketKBFC25, 0, tExp, volCBF25d, OptionType.C); var putBF25FV = BlackFunctions.BlackPV(fwd, marketKBFP25, 0, tExp, volPBF25d, OptionType.P); var smileBF = callBF25FV + putBF25FV; if (!IsCoverageOnly) { Assert.Equal(marketBF, smileBF, 8); } }