public void SimpleOrcWingModel()
{
const double vc = 0.2417;
const double sr = -0.1243;
const double pc = 0.2283;
const double cc = -1.1478;
const double dc = -0.2871;
const double uc = 0.1327;
const double refFwd = 3065.0;
const double refVol = 0.2417;
const double vcr = 0.0;
const double scr = 0.0;
const double ssr = 100.0;
const double dsm = 0.5;
const double usm = 0.5;
const double time = 0.2931507;
OrcWingVol volSurface = new OrcWingVol();
volSurface.currentVol = vc;
volSurface.dnCutoff = dc;
volSurface.dsr = dsm;
volSurface.putCurve = pc;
volSurface.callCurve = cc;
volSurface.refFwd = refFwd;
volSurface.refVol = refVol;
volSurface.scr = scr;
volSurface.slopeRef = sr;
volSurface.ssr = ssr;
volSurface.timeToMaturity = time;
volSurface.upCutoff = uc;
volSurface.usr = usm;
volSurface.vcr = vcr;
double res1 = volSurface.orcvol(3065.0, 1508.64);
double res2 = volSurface.orcvol(3065.0, 2222.65);
double res3 = volSurface.orcvol(3065.0, 2591.17);
double res4 = volSurface.orcvol(3065.0, 3224.57);
double res5 = volSurface.orcvol(3065.0, 3454.89);
double res6 = volSurface.orcvol(3065.0, 4502.88);
Assert.IsTrue(res1 < 0.3147);
Assert.IsTrue(res1 > 0.3143);
Assert.IsTrue(res2 < 0.3040);
Assert.IsTrue(res2 > 0.3035);
Assert.IsTrue(res3 < 0.2692);
Assert.IsTrue(res3 > 0.2688);
Assert.IsTrue(res4 < 0.2325);
Assert.IsTrue(res4 > 0.2321);
Assert.IsTrue(res5 < 0.2105);
Assert.IsTrue(res5 > 0.2101);
//Test floor;
Assert.IsTrue(res6 < 0.1909);
Assert.IsTrue(res6 > 0.1905);
}
public static double FindPrice(ZeroCurve myZero, DivList myDiv, OrcWingVol myVol, double t,
double strike, double spot, string style, string paystyle, double gridsteps)
{
//get the atfwd
double atFwd = GetATMfwd(myZero, myDiv, spot, t);
//set up the tree
var myTree = new Tree();
int nGridsteps = (gridsteps < 20.0) ? 20 : Convert.ToInt32(gridsteps);
myTree.Gridsteps = nGridsteps;
myTree.Tau = t;
myTree.Sig = myVol.orcvol(atFwd, strike);
myTree.Spot = spot;
myTree.MakeGrid(myZero, myDiv);
//create pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle, Smoothing = "y", Style = style
};
myPrice.MakeGrid(myTree);
double pr = myPrice.Price();
return(pr);
}
