public void WorksWIthBackwardsStrikes()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new Qwack.Options.VolSurfaces.RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
var wingDeltas2 = new[] { 0.25, 0.1 };
var riskies2 = new[] { new[] { 0.015, 0.025 }, new[] { 0.015, 0.025 }, new[] { 0.015, 0.025 } };
var flies2 = new[] { new[] { 0.0015, 0.0025 }, new[] { 0.0015, 0.0025 }, new[] { 0.0015, 0.0025 } };
var surface2 = new Qwack.Options.VolSurfaces.RiskyFlySurface(
origin, atms, maturities, wingDeltas2, riskies2, flies2, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]), surface2.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
Assert.Equal(surface.GetVolForDeltaStrike(0.2, maturities[0], fwds[0]), surface2.GetVolForDeltaStrike(0.2, maturities[0], fwds[0]));
Assert.Equal(surface.GetVolForDeltaStrike(0.1, maturities[2], fwds[2]), surface2.GetVolForDeltaStrike(0.1, maturities[2], fwds[2]));
}
