public void makeVolSpreadsTest(SwaptionVolatilityCube volCube, double tolerance)
{
for (int i = 0; i < cube.tenors.options.Count; i++)
{
for (int j = 0; j < cube.tenors.swaps.Count; j++)
{
for (int k = 0; k < cube.strikeSpreads.Count; k++)
{
double atmStrike = volCube.atmStrike(cube.tenors.options[i], cube.tenors.swaps[j]);
double atmVol = atmVolMatrix.link.volatility(cube.tenors.options[i], cube.tenors.swaps[j],
atmStrike, true);
double vol = volCube.volatility(cube.tenors.options[i], cube.tenors.swaps[j],
atmStrike + cube.strikeSpreads[k], true);
double spread = vol - atmVol;
double expVolSpread = cube.volSpreads[i * cube.tenors.swaps.Count + j, k];
double error = Math.Abs(expVolSpread - spread);
if (error > tolerance)
{
QAssert.Fail("\nrecovery of smile vol spreads failed:" +
"\n option tenor = " + cube.tenors.options[i] +
"\n swap tenor = " + cube.tenors.swaps[j] +
"\n atm strike = " + atmStrike +
"\n strike spread = " + cube.strikeSpreads[k] +
"\n atm vol = " + atmVol +
"\n smiled vol = " + vol +
"\n vol spread = " + spread +
"\n exp. vol spread = " + expVolSpread +
"\n error = " + error +
"\n tolerance = " + tolerance);
}
}
}
}
}
// cleanup
//public SavedSettings backup = new SavedSettings();
// utilities
public void makeAtmVolTest(SwaptionVolatilityCube volCube, double tolerance)
{
for (int i = 0; i < atm.tenors.options.Count; i++)
{
for (int j = 0; j < atm.tenors.swaps.Count; j++)
{
double strike = volCube.atmStrike(atm.tenors.options[i], atm.tenors.swaps[j]);
double expVol = atmVolMatrix.link.volatility(atm.tenors.options[i], atm.tenors.swaps[j], strike, true);
double actVol = volCube.volatility(atm.tenors.options[i], atm.tenors.swaps[j], strike, true);
double error = Math.Abs(expVol - actVol);
if (error > tolerance)
{
QAssert.Fail("recovery of atm vols failed:" +
"\nexpiry time = " + atm.tenors.options[i] +
"\nswap length = " + atm.tenors.swaps[j] +
"\n atm strike = " + strike +
"\n exp. vol = " + expVol +
"\n actual vol = " + actVol +
"\n error = " + error +
"\n tolerance = " + tolerance);
}
}
}
}
