public static double tradeVolLinearInterp(Date valuationDate, double tradeOpenVol, double tradeCloseVol, Date startDate, Date maturityDate,
int numOfSmoothingDays, DayCountMode dayCountMode, ICalendar calendar)
{
Date smoothingEndDate;
double T, t;
switch (dayCountMode)
{
case DayCountMode.CalendarDay:
smoothingEndDate = startDate.AddDays(numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
T = smoothingEndDate - startDate;
t = valuationDate - startDate;
break;
default:
smoothingEndDate = calendar.AddBizDays(startDate, numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
Date valuationTradingDate = calendar.IsBizDay(valuationDate) ? valuationDate : calendar.PrevBizDay(valuationDate);
T = calendar.BizDaysBetweenDatesExcluStartDay(startDate, smoothingEndDate).Count;
t = calendar.BizDaysBetweenDatesExcluStartDay(startDate, valuationTradingDate).Count;
break;
}
if (valuationDate >= smoothingEndDate)
{
return(tradeCloseVol);
}
if (valuationDate < smoothingEndDate & valuationDate >= startDate)
{
double slope = (tradeCloseVol - tradeOpenVol) / T;
return(tradeOpenVol + slope * t);
}
else
{
throw new PricingBaseException("AnalyticalOptionTradeVolInterp error: valuationDate < startDate");
}
}
private void TradeVolLinearInterpSlopeCalc(double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode = DayCountMode.TradingDay)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var valuationDate = new Date[] { new Date(2018, 3, 22), new Date(2018, 3, 23), new Date(2018, 3, 26) };
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol1 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[0], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol2 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[1], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
double vol3 = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate[2], tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(vol2 - vol1, vol3 - vol2, 1e-10);
}
private void TradeVolLinearInterpCalc(double expectedValue, Date valuationDate, double tradeOpenVol, double tradeCloseVol, DayCountMode dayCountMode)
{
var startDate = new Date(2018, 3, 21);
var maturityDate = new Date(2018, 5, 21);
var numOfSmoothingDays = 30;
var calendar = CalendarImpl.Get("chn");
double vol = AnalyticalOptionTradeVolInterp.tradeVolLinearInterp(valuationDate, tradeOpenVol, tradeCloseVol, startDate, maturityDate,
numOfSmoothingDays, dayCountMode, calendar);
Assert.AreEqual(expectedValue, vol, 1e-10);
}
