public void CheckZeroVolForward(AssetMarket assetMkt)
{
var zcCurve = assetMkt.RiskFreeDiscount;
var market = new Market(new[] { zcCurve }, new[] { assetMkt });
var zeroVol = new MapRawDatas <DateOrDuration, double>(new[] { new DateOrDuration(assetMkt.RefDate) }, new[] { 0.0 });
var blackScholesDesc = new BlackScholesModelDescription(assetMkt.Asset.Name, zeroVol, true);
var mcConfig = new MonteCarloConfig(1, RandomGenerators.GaussianSobol(SobolDirection.Kuo3));
var blackScholesModel = ModelFactory.Instance.Build(blackScholesDesc, market);
var fwdDates = new[] { Duration.Month, 6 * Duration.Month, Duration.Year, 2 * Duration.Year, 5 * Duration.Year }
.Map(d => assetMkt.RefDate + d);
IProduct fwdLeg = ForwardLeg(fwdDates);
PriceResult priceResult = (PriceResult)McPricer.WithDetails(mcConfig).Price(fwdLeg, blackScholesModel, market);
double[] fwds = priceResult.Details.Map(kv => kv.Item3.Value);
var assetFwdCurve = assetMkt.Forward();
double[] refFwds = fwdDates.Map(d => assetFwdCurve.Fwd(d) * zcCurve.Zc(d));
foreach (var i in Enumerable.Range(0, fwdDates.Length))
{
var err = Math.Abs(fwds[i] / refFwds[i] - 1.0);
Assert.LessOrEqual(err, 20.0 * DoubleUtils.MachineEpsilon);
}
}
public ICalibrationDescription Build(object[,] bag)
{
var assetName = bag.ProcessScalarString("Asset");
var withDivs = !bag.Has("WithDivs") || bag.ProcessScalarBoolean("WithDivs");
var calibDatas = bag.ProcessTimeMatrixDatas("CalibDate");
if (calibDatas.HasCol("Sigma"))
{
var sigmaValues = calibDatas.GetColFromLabel("Sigma");
var sigma = new MapRawDatas <DateOrDuration, double>(calibDatas.RowLabels, sigmaValues);
var bsDescription = new BlackScholesModelDescription(assetName, sigma, withDivs);
return(new ExplicitCalibration <BlackScholesModelDescription>(bsDescription));
}
var calibStrikes = calibDatas.GetColFromLabel("Strike");
return(new BlackScholesModelCalibDesc(assetName, withDivs, calibDatas.RowLabels, calibStrikes));
}
