/// <summary>
/// Removes the expiry.
/// </summary>
/// <param name="expiry">The expiry.</param>
public void RemoveExpiry(ForwardExpiry expiry)
{
ForwardExpiry matchedExpiry = ForwardExpiryHelper.FindExpiry(expiry.ExpiryDate, expiry.FwdPrice, expiry.InterestRate, _expiries);
if (matchedExpiry == null)
{
_expiries.Remove(matchedExpiry);
}
if (_rawExpiryDates.Contains(expiry.ExpiryDate))
{
_rawExpiryDates.Remove(expiry.ExpiryDate);
_expiries.Remove(expiry);
}
}
public void TestFitter()
{
var stock = TestDataHelper.GetStock("AGK");
Assert.AreEqual("AGK", stock.Name);
Stock stockObject = TestHelper.CreateStock(stock);
stockObject.VolatilitySurface.Calibrate();
decimal spot = stockObject.Spot;
var fwdexp = ForwardExpiryHelper.FindExpiry(new DateTime(2016, 9, 9), stockObject.VolatilitySurface.NodalExpiries.ToList());
int i = -1;
var str = StrikeHelper.FindStrikeWithPrice(1404, new List <Strike>(fwdexp.Strikes), out i);
Assert.AreNotEqual(i, -1);
double fwd = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.AtmForward, 7);
double cc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.CallCurve, 7);
double vc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.CurrentVol, 7);
double dc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.DnCutoff, 7);
double dsr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Dsr, 7);
double pc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.PutCurve, 7);
double reffwd = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.RefFwd, 7);
double refvol = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.RefVol, 7);
double scr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Scr, 7);
double sr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.SlopeRef, 7);
double ssr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Ssr, 7);
double uc = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.UpCutoff, 7);
double usr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Usr, 7);
double vcr = Math.Round(fwdexp.Strikes[i].InterpModel.WingParams.Vcr, 7);
Assert.AreNotEqual(spot, 0);
Assert.AreEqual(fwd, 1682);
Assert.AreEqual(cc, 0.0705147);
Assert.AreEqual(vc, 0.2933592);
Assert.AreEqual(dc, Math.Round(-0.5 - Math.Log(Convert.ToDouble(fwdexp.FwdPrice / spot))), 7);
Assert.AreEqual(uc, Math.Round(0.5 - Math.Log(Convert.ToDouble(fwdexp.FwdPrice / spot))), 7);
Assert.AreEqual(dsr, 0.20);
Assert.AreEqual(pc, 0.0025281);
Assert.AreEqual(reffwd, 1682);
Assert.AreEqual(refvol, vc);
Assert.AreEqual(scr, 0);
Assert.AreEqual(sr, -0.0565697);
Assert.AreEqual(ssr, 100);
Assert.AreEqual(usr, 0.20);
Assert.AreEqual(vcr, 0.0);
}
/// <summary>
/// Adds the expiry.
/// </summary>
/// <param name="expiry">The expiry.</param>
public void AddExpiry(ForwardExpiry expiry)
{
ForwardExpiryHelper.AddExpiry(expiry, _expiries);
_rawExpiryDates.Add(expiry.ExpiryDate);
}
