public void TryGetValue_StraddleTestCase_BenchmarkVolatility(ConstantVolatilityStandardEuropeanOptionConfiguration optionSpecification, double optionValue)
{
double tolerance;
var objectUnderTest = GetStraddleOptionImpliedVolatilityApproach(out tolerance);
Assume.That(objectUnderTest, Is.Not.Null);
double actual;
var actualState = objectUnderTest.TryGetValue(optionSpecification.Strike, optionSpecification.Forward, optionSpecification.TimeToExpiry, optionValue / optionSpecification.DiscountFactor, out actual);
Assert.That(actual, Is.EqualTo(optionSpecification.Volatility).Within(tolerance));
Assert.That(actualState, Is.EqualTo(ImpliedCalculationResultState.ProperResult));
}
public void TryGetValue_PutTestCase_BenchmarkVolatility(ConstantVolatilityStandardEuropeanOptionConfiguration optionSpecification, double optionValue)
{
double tolerance;
Func <ConstantVolatilityStandardEuropeanOptionConfiguration, double, ToleranceLevel> testLevel;
var objectUnderTest = GetPutOptionImpliedVolatilityApproach(out tolerance, out testLevel);
Assume.That(objectUnderTest, Is.Not.Null, "Object under test does not support the specific option type.");
double actual;
var actualState = objectUnderTest.TryGetValue(optionSpecification.Strike, optionSpecification.Forward, optionSpecification.TimeToExpiry, optionValue / optionSpecification.DiscountFactor, out actual);
if (testLevel != null)
{
var toleranceLevel = testLevel(optionSpecification, optionValue);
if (toleranceLevel == ToleranceLevel.IgnoreTestIfUnsuitableProblem)
{
Assume.That(actualState, Is.EqualTo(ImpliedCalculationResultState.ProperResult) | Is.EqualTo(ImpliedCalculationResultState.InputError), "Algorithm does not support the implied volatility calculation of the specific option! The algorithm is somehow restricted!");
}
}
Assert.That(actual, Is.EqualTo(optionSpecification.Volatility).Within(tolerance));
Assert.That(actualState, Is.EqualTo(ImpliedCalculationResultState.ProperResult));
}
/// <summary>Gets the price of the specific option.
/// </summary>
/// <param name="optionSpecification">The specification of the option.</param>
/// <returns>The value of the specific option.</returns>
private static double GetCalllValue(ConstantVolatilityStandardEuropeanOptionConfiguration optionSpecification)
{
return(new BlackEuropeanCall(optionSpecification.Strike, optionSpecification.Forward, optionSpecification.TimeToExpiry, optionSpecification.DiscountFactor).GetValue(optionSpecification.Volatility));
}
