/// <summary> /// Creates a test vol surface to test temporal and strike volatility interpolation /// </summary> /// <returns></returns> public IVolatilitySurface CreateTestVolSurface() { IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today); ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("01-Jan-2010"), 4200); ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("01-Jan-2011"), 4400); OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call); OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put); OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call); OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put); Strike strike1 = new Strike(4200, call1, put1); Strike strike2 = new Strike(4000, call2, put2); IVolatilityPoint point1 = new VolatilityPoint(); point1.SetVolatility(0.30M, VolatilityState.Default()); put1.SetVolatility(point1); call1.SetVolatility(point1); IVolatilityPoint point2 = new VolatilityPoint(); point2.SetVolatility(0.40M, VolatilityState.Default()); call2.SetVolatility(point2); put2.SetVolatility(point2); expiry1.AddStrike(strike1, true); expiry2.AddStrike(strike2, true); volSurface.AddExpiry(expiry1); volSurface.AddExpiry(expiry2); return(volSurface); }
/// <summary> /// Creates a null volatility surface to be used in extrapolation tests that utilise /// the historical volatility ratio /// </summary> /// <returns></returns> public IVolatilitySurface CreateNullVolSurface() { IVolatilitySurface volSurface = new VolatilitySurface("BHP", 4500M, DateTime.Today); ForwardExpiry expiry0 = new ForwardExpiry(DateTime.Parse("14-9-2009"), 4700); ForwardExpiry expiry1 = new ForwardExpiry(DateTime.Parse("16-9-2009"), 4700); ForwardExpiry expiry2 = new ForwardExpiry(DateTime.Parse("30-9-2009"), 4750); OptionPosition call0 = new OptionPosition("1145", 104, PositionType.Call); OptionPosition put0 = new OptionPosition("1146", 1200, PositionType.Put); OptionPosition call1 = new OptionPosition("1245", 104, PositionType.Call); OptionPosition put1 = new OptionPosition("1246", 1200, PositionType.Put); OptionPosition call2 = new OptionPosition("1645", 180, PositionType.Call); OptionPosition put2 = new OptionPosition("1646", 1300, PositionType.Put); Strike strike0 = new Strike(1.00, 4599, call0, put0); Strike strike1 = new Strike(0.867, 4700, call1, put1); Strike strike2 = new Strike(1.00, 4750, call2, put2); Strike strike3 = new Strike(1.2, 4750, call2, put2); Strike strike4 = new Strike(0.30, 4750, call2, put2); IVolatilityPoint point0 = new VolatilityPoint(); point0.SetVolatility(0.00M, VolatilityState.Default()); put0.SetVolatility(point0); call0.SetVolatility(point0); strike0.SetVolatility(point0); IVolatilityPoint point1 = new VolatilityPoint(); point1.SetVolatility(0.00M, VolatilityState.Default()); put1.SetVolatility(point1); call1.SetVolatility(point1); strike1.SetVolatility(point1); IVolatilityPoint point2 = new VolatilityPoint(); point2.SetVolatility(0.00M, VolatilityState.Default()); strike2.SetVolatility(point2); call2.SetVolatility(point2); put2.SetVolatility(point2); IVolatilityPoint point3 = new VolatilityPoint(); point3.SetVolatility(0.00M, VolatilityState.Default()); strike3.SetVolatility(point3); IVolatilityPoint point4 = new VolatilityPoint(); point4.SetVolatility(0.00M, VolatilityState.Default()); strike4.SetVolatility(point4); expiry0.AddStrike(strike0, true); expiry1.AddStrike(strike1, true); expiry2.AddStrike(strike2, true); expiry2.AddStrike(strike3, true); expiry2.AddStrike(strike4, true); volSurface.AddExpiry(expiry0); volSurface.AddExpiry(expiry1); volSurface.AddExpiry(expiry2); return(volSurface); }