public void SolveSmileSimple()
{
var valDate = new DateTime(2018, 07, 28);
var expDate = valDate.AddDays(365);
var fwd = 1000;
double[] strikes = { 0.25, 0.5, 0.75 };
var atmConstraint = new ATMStraddleConstraint
{
ATMVolType = AtmVolType.ZeroDeltaStraddle,
MarketVol = 0.32
};
var smile25d = new RRBFConstraint
{
Delta = 0.25,
FlyVol = 0.01,
RisykVol = 0.02,
WingQuoteType = WingQuoteType.Arithmatic
};
var s = new AssetSmileSolver();
if (IsCoverageOnly)
{
s.Tollerance = 1;
}
var smile = s.Solve(atmConstraint, new[] { smile25d }, valDate, expDate, fwd, strikes, Interpolator1DType.Linear);
if (!IsCoverageOnly)
{
Assert.Equal(atmConstraint.MarketVol, smile[1], 8);
Assert.Equal(smile25d.RisykVol, smile[2] - smile[0], 8);
Assert.Equal(smile25d.FlyVol, (smile[2] + smile[0]) / 2 - atmConstraint.MarketVol, 8);
}
}
public void SolveSmileMarket()
{
var valDate = new DateTime(2018, 07, 28);
var expDate = valDate.AddDays(365);
var tExp = (expDate - valDate).TotalDays / 365.0;
var fwd = 1000;
double[] strikes = { 0.25, 0.5, 0.75 };
var atmConstraint = new ATMStraddleConstraint
{
ATMVolType = AtmVolType.ZeroDeltaStraddle,
MarketVol = 0.32
};
var smile25d = new RRBFConstraint
{
Delta = 0.25,
FlyVol = 0.01,
RisykVol = 0.02,
WingQuoteType = WingQuoteType.Market
};
var s = new AssetSmileSolver();
if (IsCoverageOnly)
{
s.Tollerance = 1;
}
var smile = s.Solve(atmConstraint, new[] { smile25d }, valDate, expDate, fwd, strikes, Interpolator1DType.Linear);
if (!IsCoverageOnly)
{
Assert.Equal(atmConstraint.MarketVol, smile[1], 8);
}
var surface = new GridVolSurface(valDate, strikes, new[] { expDate }, new[] { smile }, StrikeType.ForwardDelta, Interpolator1DType.Linear, Interpolator1DType.Linear, DayCountBasis.Act365F);
//reprice market RR structrure off smile, premium must match
var marketVolC = atmConstraint.MarketVol + smile25d.FlyVol + 0.5 * smile25d.RisykVol;
var marketVolP = atmConstraint.MarketVol + smile25d.FlyVol - 0.5 * smile25d.RisykVol;
var marketKC25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0, tExp, marketVolC);
var marketKP25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0, tExp, marketVolP);
var marketC25FV = BlackFunctions.BlackPV(fwd, marketKC25, 0, tExp, marketVolC, OptionType.C);
var marketP25FV = BlackFunctions.BlackPV(fwd, marketKP25, 0, tExp, marketVolP, OptionType.P);
var marketRR = marketC25FV - marketP25FV;
var volC25d = surface.GetVolForAbsoluteStrike(marketKC25, expDate, fwd);
var volP25d = surface.GetVolForAbsoluteStrike(marketKP25, expDate, fwd);
var call25FV = BlackFunctions.BlackPV(fwd, marketKC25, 0, tExp, volC25d, OptionType.C);
var put25FV = BlackFunctions.BlackPV(fwd, marketKP25, 0, tExp, volP25d, OptionType.P);
var smileRR = call25FV - put25FV;
if (!IsCoverageOnly)
{
Assert.Equal(marketRR, smileRR, 8);
}
//reprice market BF structrure off smile, premium must match
var marketVolBF = atmConstraint.MarketVol + smile25d.FlyVol;
var marketKBFC25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0, tExp, marketVolBF);
var marketKBFP25 = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0, tExp, marketVolBF);
var marketBFC25FV = BlackFunctions.BlackPV(fwd, marketKBFC25, 0, tExp, marketVolBF, OptionType.C);
var marketBFP25FV = BlackFunctions.BlackPV(fwd, marketKBFP25, 0, tExp, marketVolBF, OptionType.P);
var marketBF = marketBFC25FV + marketBFP25FV;
var volCBF25d = surface.GetVolForAbsoluteStrike(marketKBFC25, expDate, fwd);
var volPBF25d = surface.GetVolForAbsoluteStrike(marketKBFP25, expDate, fwd);
var callBF25FV = BlackFunctions.BlackPV(fwd, marketKBFC25, 0, tExp, volCBF25d, OptionType.C);
var putBF25FV = BlackFunctions.BlackPV(fwd, marketKBFP25, 0, tExp, volPBF25d, OptionType.P);
var smileBF = callBF25FV + putBF25FV;
if (!IsCoverageOnly)
{
Assert.Equal(marketBF, smileBF, 8);
}
}
