public void TestGetVolWithTimeInterp() { IStock stockASXParent = LoadStock("AGK"); ExtrapolationHelper extrapHelper = new ExtrapolationHelper(); double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 0.05); double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 1.00); double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 2.00); //Extrap below Assert.AreEqual(0.592322, vol0, 0.001); Assert.AreEqual(0.290393, vol1, 0.001); Assert.AreEqual(0.360499, vol2, 0.001); }
public void TestGetVol() { IStock stockASXParent = LoadStock("AGK"); ExtrapolationHelper extrapHelper = new ExtrapolationHelper(); double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.05); double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.60); double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.80); double vol3 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 1.00); double vol4 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 2.00); double vol5 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 3.00); //Extrap below Assert.AreEqual(0.6413, vol0, 0.001); Assert.AreEqual(0.5950, vol1, 0.001); Assert.AreEqual(0.3545, vol2, 0.001); Assert.AreEqual(0.2962, vol3, 0.001); Assert.AreEqual(0.3765, vol4, 0.001); //Extrap above Assert.AreEqual(0.3765, vol5, 0.001); }