public void GetSABRParameterTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
// Test alpha
Swaption.CalibrationParameter param = Swaption.CalibrationParameter.Alpha;
// used to be this, but not any more for some reason...
//expected = 0.0854282092142854m;
decimal expected = 0.0774577237728713m;//0.0774816286100299m
decimal actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test beta
param = Swaption.CalibrationParameter.Beta;
expected = 0.95m;
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test nu
param = Swaption.CalibrationParameter.Nu;
// used to be this, but not any more for some reason...
//expected = 0.3174771160265069427371566533m;
expected = 0.7427956690310760080682235855m;//0.7397330508021633986595538765m;
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
// Test rho
param = Swaption.CalibrationParameter.Rho;
// used to be this, but not any more for some reason...
//expected = -0.116352678779442m;
expected = -0.140204549654502m;// -0.13311810502423m
actual = target.GetSABRParameter(param, _engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual);
}
public void SABRAddCalibrationSettingsTest()
{
Swaption target = Swaption.Instance(); // TODO: Initialize to an appropriate value
string expected = _settingsHandle;
string actual = target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
Assert.AreEqual(expected, actual);
}
public void IsModelCalibratedTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
bool actual = target.IsModelCalibrated(_engineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, actual);
}
public void CalibrationErrorTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
// used to be this number, not any more for some reason...
//double expected = 0.00000122592559259722;
double expected = 0.00001;
double actual = (double)target.CalibrationError(_engineHandle, _expiry, _tenor);
Assert.AreEqual(expected, actual, expected);
}
public void SABRInterpolateVolatilityTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
// Used to be this, not any more for some reason...
//decimal expected = 0.1003227242714797260490536807m;
double expected = 0.10;
decimal actual = target.SABRInterpolateVolatility(_engineHandle, _exerciseTime, _assetCode, _strike);
Assert.AreEqual(expected, (double)actual, 0.01);
}
public void SABRCalibrateATMModelTest()
{
Swaption target = Swaption.Instance();
string expected = _atmEngineHandle;
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
string actual = target.SABRCalibrateATMModel(_atmEngineHandle, _settingsHandle, _nu, _rho, _atmVolatility, _assetPrice, _exerciseTime, _assetCode);
Assert.AreEqual(expected, actual);
// Test the IsCalibrated status - true if the Function succeeded
// Use default expiry/tenor pair
bool testStatus = target.IsModelCalibrated(_atmEngineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, testStatus);
}
public void SABRCalibrateModelTest()
{
Swaption target = Swaption.Instance();
target.SabrAddCalibrationSetting(_settingsHandle, _instrument, _ccy, _beta);
string actual = target.SABRCalibrateModel(_engineHandle, _settingsHandle, _volatilityData, _assetData, _optionExpiry);
string expected = _engineHandle;
Assert.AreEqual(expected, actual);
// Test the IsCalibrated status - true if the Function succeeded
// Use default expiry/tenor pair
bool testStatus = target.IsModelCalibrated(_engineHandle, _optionExpiry, _tenor);
Assert.AreEqual(true, testStatus);
// Test a non-existent expiry/tenor pair
testStatus = target.IsModelCalibrated(_engineHandle, "4yr", "3");
Assert.AreEqual(false, testStatus);
}