public void GetVolatilityTest1()
{
var target = new SwaptionDataMatrix(_volTenors, _volStrikes, _volExpiry, _volData, _id);
decimal actual;
const decimal expected = 9.83m / 100.0m;
Period tenor = PeriodHelper.Parse("2yr");
decimal strike = 50.0m / 10000.0m;
try
{
actual = target.GetVolatility(tenor, strike);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
tenor = PeriodHelper.Parse("32yr");
strike = 50.0m / 10000.0m;
try
{
actual = target.GetVolatility(tenor, strike);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
}
public void GetVolatilityTest()
{
var target = new SwaptionDataMatrix(_volTenors, _volStrikes, _volExpiry, _volData, _id);
decimal actual;
const decimal expected = 10.26m / 100.0m;
string tenor = "2yr";
decimal strike = -0.50m;
try
{
actual = target.GetVolatility(tenor, strike);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
tenor = "22yr";
strike = -7.50m;
try
{
actual = target.GetVolatility(tenor, strike);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
}
public void GetVolatilityTest4()
{
var target = new SwaptionDataMatrix(_volTenors, _volStrikes, _volExpiry, _volData, _id);
const decimal expected = 10.26m / 100.0m;
decimal[] actual;
Period tenor = PeriodHelper.Parse("2yr");
try
{
actual = target.GetVolatility(tenor);
CollectionAssert.Contains(actual, expected);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
tenor = PeriodHelper.Parse("21yr");
try
{
actual = target.GetVolatility(tenor);
CollectionAssert.Contains(actual, expected);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
}
public void GetVolatilityTest5()
{
var target = new SwaptionDataMatrix(_volTenors, _volStrikes, _volExpiry, _volData, _id);
const decimal expected = 10.26m / 100.0m;
var actual = new decimal[0];
Period tenor = PeriodHelper.Parse("2yr");
try
{
actual = target.GetVolatility(tenor);
CollectionAssert.Contains(actual, expected);
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
var expected1 = new decimal[actual.Length];
Array.Copy(actual, expected1, actual.Length);
const string tenor1 = "2yr";
try
{
int i = 0;
actual = target.GetVolatility(tenor1);
foreach (decimal d in actual)
{
Assert.AreEqual(expected1[i++], d);
}
}
catch (ArgumentException ex)
{
Assert.AreEqual("The matrix is malformed. No volatilities are available.", ex.Message);
}
}
/// <summary>
/// Create a full calibration model.This version uses the volatility grid to generate an engine
/// for each swap tenor (row values)
/// </summary>
/// <param name="volatilityGrid">The vols grid</param>
/// <param name="assetGrid">The asset grid</param>
/// <param name="settings">The SABR settings</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="optionExpiry">The ATM pointer</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SwaptionDataMatrix volatilityGrid,
ForwardRatesMatrix assetGrid, SABRCalibrationSettings settings, string calibrationEngineId, string optionExpiry)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
// Generate a new entry in the engineCollection for each row in the volatility grid
foreach (string tenor in volatilityGrid.GetTenors())
{
var assetPrice = assetGrid.GetAssetPrice(optionExpiry, tenor);
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Generate the Vols and Strikes lists for the engine
List <decimal> vols = volatilityGrid.GetVolatility(tenor).ToList();
List <decimal> strikes = volatilityGrid.GetStrikes().Select(strike => assetPrice + strike).ToList();
// Only add a new Calibration Engine (and Calibrate it) if the vols are greater than 0
if (!SABRHelper.ValidateData(vols))
{
continue;
}
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, strikes, vols, assetPrice, exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
}
return(engineCollection);
}