public void testFlatTermVolatilityStripping2() { // Testing forward/forward vol stripping from flat term vol // surface using OptionletStripper2 class..."); CommonVars vars = new CommonVars(); Settings.setEvaluationDate(Date.Today); vars.setFlatTermVolCurve(); vars.setFlatTermVolSurface(); IborIndex iborIndex = new Euribor6M(vars.yieldTermStructure); // optionletstripper1 OptionletStripper1 optionletStripper1 = new OptionletStripper1(vars.flatTermVolSurface, iborIndex, null, vars.accuracy); StrippedOptionletAdapter strippedOptionletAdapter1 = new StrippedOptionletAdapter(optionletStripper1); Handle <OptionletVolatilityStructure> vol1 = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter1); vol1.link.enableExtrapolation(); // optionletstripper2 OptionletStripper optionletStripper2 = new OptionletStripper2(optionletStripper1, vars.flatTermVolCurve); StrippedOptionletAdapter strippedOptionletAdapter2 = new StrippedOptionletAdapter(optionletStripper2); Handle <OptionletVolatilityStructure> vol2 = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter2); vol2.link.enableExtrapolation(); // consistency check: diff(stripped vol1-stripped vol2) for (int strikeIndex = 0; strikeIndex < vars.strikes.Count; ++strikeIndex) { for (int tenorIndex = 0; tenorIndex < vars.optionTenors.Count; ++tenorIndex) { double strippedVol1 = vol1.link.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true); double strippedVol2 = vol2.link.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true); // vol from flat vol surface (for comparison only) double flatVol = vars.flatTermVolSurface.volatility(vars.optionTenors[tenorIndex], vars.strikes[strikeIndex], true); double error = Math.Abs(strippedVol1 - strippedVol2); if (error > vars.tolerance) { QAssert.Fail("\noption tenor: " + vars.optionTenors[tenorIndex] + "\nstrike: " + vars.strikes[strikeIndex] + "\nstripped vol1: " + strippedVol1 + "\nstripped vol2: " + strippedVol2 + "\nflat vol: " + flatVol + "\nerror: " + error + "\ntolerance: " + vars.tolerance); } } } }
public void testFlatTermVolatilityStripping1() { // Testing forward/forward vol stripping from flat term vol // surface using OptionletStripper1 class... CommonVars vars = new CommonVars(); Settings.setEvaluationDate(new Date(28, Month.October, 2013)); vars.setFlatTermVolSurface(); IborIndex iborIndex = new Euribor6M(vars.yieldTermStructure); OptionletStripper optionletStripper1 = new OptionletStripper1(vars.flatTermVolSurface, iborIndex, null, vars.accuracy); StrippedOptionletAdapter strippedOptionletAdapter = new StrippedOptionletAdapter(optionletStripper1); Handle <OptionletVolatilityStructure> vol = new Handle <OptionletVolatilityStructure>(strippedOptionletAdapter); vol.link.enableExtrapolation(); BlackCapFloorEngine strippedVolEngine = new BlackCapFloorEngine(vars.yieldTermStructure, vol); CapFloor cap; for (int tenorIndex = 0; tenorIndex < vars.optionTenors.Count; ++tenorIndex) { for (int strikeIndex = 0; strikeIndex < vars.strikes.Count; ++strikeIndex) { cap = new MakeCapFloor(CapFloorType.Cap, vars.optionTenors[tenorIndex], iborIndex, vars.strikes[strikeIndex], new Period(0, TimeUnit.Days)) .withPricingEngine(strippedVolEngine); double priceFromStrippedVolatility = cap.NPV(); IPricingEngine blackCapFloorEngineConstantVolatility = new BlackCapFloorEngine(vars.yieldTermStructure, vars.termV[tenorIndex, strikeIndex]); cap.setPricingEngine(blackCapFloorEngineConstantVolatility); double priceFromConstantVolatility = cap.NPV(); double error = Math.Abs(priceFromStrippedVolatility - priceFromConstantVolatility); if (error > vars.tolerance) { QAssert.Fail("\noption tenor: " + vars.optionTenors[tenorIndex] + "\nstrike: " + vars.strikes[strikeIndex] + "\nstripped vol price: " + priceFromStrippedVolatility + "\nconstant vol price: " + priceFromConstantVolatility + "\nerror: " + error + "\ntolerance: " + vars.tolerance); } } } }
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(OptionletStripper1 obj) { return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr); }