public void TestExtrapolate2()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("BHP");
IVolatilitySurface child = CreateNullVolSurface();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double factor = 0.314843 / 0.290393;
double parentVol1 = 0.394634;
double scal = extrapHelper.CalcExtrapFactor(stockASXParent, stockASXChild, new DateTime(2009, 9, 30));
Assert.AreEqual(scal, factor, 0.001);
double parentVol2 = 0.38754555;
double parentVol3 = 0.71063645;
if (stockASXParent.VolatilitySurface.Expiries[0].Strikes[0].InterpModel.GetType() == typeof(WingInterp))
{
extrapHelper.DoExtrap(stockASXParent,
stockASXChild,
stockSDParent,
child);
//moneyness = 0.3;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[0].Volatility.Value), factor * parentVol3, 0.001);
//moneyness = 1.0;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[1].Volatility.Value), factor * parentVol1, 0.001);
//moneyness = 1.2;
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[2].Strikes[2].Volatility.Value), factor * parentVol2, 0.001);
}
}
public void TestExtrapolate3()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("BHP");
IVolatilitySurface child = CreateOnePointChild();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double scal = extrapHelper.CalcExtrapFactor(stockASXParent, stockASXChild, new DateTime(2009, 9, 10));
Assert.AreEqual(scal, 1.05239899198348, 0.001); //OLD 0.314301/0.298668 //1.06102304848855
extrapHelper.DoExtrap(stockASXParent, stockASXChild, stockSDParent, child);
Assert.AreEqual(Convert.ToDouble(child.Expiries[0].Strikes[0].Volatility.Value), 0.997545918986369, 0.001); //0.930043543995147
}
public void TestExtrapolate1()
{
IStock stockASXParent = LoadStock("AGK");
IStock stockASXChild = LoadStock("ANZ");
IStock stockSDParent = LoadStock("AGK");
IVolatilitySurface child = CreateTestVolSurface();
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
if (stockASXParent.VolatilitySurface.Expiries[0].Strikes[0].InterpModel.GetType() == typeof(WingInterp))
{
extrapHelper.DoExtrap(stockASXParent,
stockASXChild,
stockSDParent,
child);
Assert.AreEqual(Convert.ToDouble(child.NodalExpiries[0].Strikes[0].Volatility.Value), 0.295126142, 0.0001);
}
}