public void TestGetVolWithTimeInterp()
{
IStock stockASXParent = LoadStock("AGK");
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 0.05);
double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 1.00);
double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 30), 2.00);
//Extrap below
Assert.AreEqual(0.592322, vol0, 0.001);
Assert.AreEqual(0.290393, vol1, 0.001);
Assert.AreEqual(0.360499, vol2, 0.001);
}
public void TestGetVol()
{
IStock stockASXParent = LoadStock("AGK");
ExtrapolationHelper extrapHelper = new ExtrapolationHelper();
double vol0 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.05);
double vol1 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.60);
double vol2 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 0.80);
double vol3 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 1.00);
double vol4 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 2.00);
double vol5 = extrapHelper.GetVolAt(stockASXParent, new DateTime(2009, 9, 16), 3.00);
//Extrap below
Assert.AreEqual(0.6413, vol0, 0.001);
Assert.AreEqual(0.5950, vol1, 0.001);
Assert.AreEqual(0.3545, vol2, 0.001);
Assert.AreEqual(0.2962, vol3, 0.001);
Assert.AreEqual(0.3765, vol4, 0.001);
//Extrap above
Assert.AreEqual(0.3765, vol5, 0.001);
}