public override double blackPrice(double sigma)
{
calculate();
SimpleQuote sq = new SimpleQuote(sigma);
Handle <Quote> vol = new Handle <Quote>(sq);
IPricingEngine engine = null;
switch (volatilityType_)
{
case VolatilityType.ShiftedLognormal:
engine = new BlackSwaptionEngine(termStructure_, vol, new Actual365Fixed(), shift_);
break;
case VolatilityType.Normal:
engine = new BachelierSwaptionEngine(termStructure_, vol, new Actual365Fixed());
break;
default:
Utils.QL_FAIL("can not construct engine: " + volatilityType_);
break;
}
swaption_.setPricingEngine(engine);
double value = swaption_.NPV();
swaption_.setPricingEngine(engine_);
return(value);
}
public override double blackPrice(double sigma)
{
SimpleQuote sq = new SimpleQuote(sigma);
Handle <Quote> vol = new Handle <Quote>(sq);
IPricingEngine black = new BlackSwaptionEngine(termStructure_, vol);
swaption_.setPricingEngine(black);
double value = swaption_.NPV();
swaption_.setPricingEngine(engine_);
return(value);
}
public Swaption makeSwaption(VanillaSwap swap,Date exercise,double volatility)
{
Settlement.Type settlementType= Settlement.Type.Physical;
Handle<Quote> vol=new Handle <Quote>(new SimpleQuote(volatility));
IPricingEngine engine=new BlackSwaptionEngine(termStructure, vol);
Swaption result=new Swaption(swap,new EuropeanExercise(exercise),settlementType);
result.setPricingEngine(engine);
return result;
}
public override double blackPrice(double sigma)
{
SimpleQuote sq=new SimpleQuote(sigma);
Handle<Quote> vol = new Handle<Quote>(sq);
IPricingEngine black=new BlackSwaptionEngine(termStructure_, vol);
swaption_.setPricingEngine(black);
double value = swaption_.NPV();
swaption_.setPricingEngine(engine_);
return value;
}
public void makeCoherenceTest( string description,
SwaptionVolatilityDiscrete vol)
{
for (int i=0; i<atm.tenors.options.Count; ++i) {
Date optionDate =
vol.optionDateFromTenor(atm.tenors.options[i]);
if (optionDate!=vol.optionDates()[i])
Assert.Fail(
"optionDateFromTenor failure for " +
description+ ":"+
"\n option tenor: " + atm.tenors.options[i] +
"\nactual option date : " + optionDate +
"\n exp. option date : " + vol.optionDates()[i]);
double optionTime = vol.timeFromReference(optionDate);
if (optionTime!=vol.optionTimes()[i])
Assert.Fail(
"timeFromReference failure for " +
description + ":"+
"\n option tenor: " +atm.tenors.options[i] +
"\n option date : " + optionDate +
"\nactual option time : " + optionTime +
"\n exp. option time : " +vol.optionTimes()[i]);
}
BlackSwaptionEngine engine=new BlackSwaptionEngine(
termStructure,
new Handle<SwaptionVolatilityStructure>(vol));
for (int j=0; j<atm.tenors.swaps.Count; j++) {
double swapLength = vol.swapLength(atm.tenors.swaps[j]);
if (swapLength!= atm.tenors.swaps[j].length())
Assert.Fail("convertSwapTenor failure for " +
description + ":"+
"\n swap tenor : " + atm.tenors.swaps[j] +
"\n actual swap length: " + swapLength +
"\n exp. swap length: " + atm.tenors.swaps[j].length());
SwapIndex swapIndex = new EuriborSwapIsdaFixA(atm.tenors.swaps[j], termStructure);
for (int i=0; i<atm.tenors.options.Count; ++i) {
double error, tolerance = 1.0e-16;
double actVol, expVol = atm.vols[i,j];
actVol = vol.volatility(atm.tenors.options[i],
atm.tenors.swaps[j], 0.05, true);
error = Math.Abs(expVol-actVol);
if (error>tolerance)
Assert.Fail(
"recovery of atm vols failed for " +
description + ":"+
"\noption tenor = " + atm.tenors.options[i] +
"\n swap length = " + atm.tenors.swaps[j] +
"\nexpected vol = " + expVol +
"\n actual vol = " + actVol +
"\n error = " + error +
"\n tolerance = " + tolerance);
Date optionDate =
vol.optionDateFromTenor(atm.tenors.options[i]);
actVol = vol.volatility(optionDate,
atm.tenors.swaps[j], 0.05, true);
error = Math.Abs(expVol-actVol);
if (error>tolerance)
Assert.Fail(
"recovery of atm vols failed for " +
description + ":"+
"\noption tenor: " + atm.tenors.options[i] +
"\noption date : " + optionDate +
"\n swap tenor: " + atm.tenors.swaps[j] +
"\n exp. vol: " + expVol +
"\n actual vol: " + actVol +
"\n error: " + error +
"\n tolerance: " + tolerance);
double optionTime = vol.timeFromReference(optionDate);
actVol = vol.volatility(optionTime, swapLength,
0.05, true);
error = Math.Abs(expVol-actVol);
if (error>tolerance)
Assert.Fail(
"recovery of atm vols failed for " +
description + ":"+
"\noption tenor: " + atm.tenors.options[i] +
"\noption time : " + optionTime +
"\n swap tenor: " + atm.tenors.swaps[j] +
"\n swap length: " + swapLength +
"\n exp. vol: " + expVol +
"\n actual vol: " + actVol +
"\n error: " + error +
"\n tolerance: " + tolerance);
// ATM swaption
Swaption swaption = new MakeSwaption(
swapIndex, atm.tenors.options[i])
.withPricingEngine(engine)
.value(); ;
Date exerciseDate = swaption.exercise().dates().First();
if (exerciseDate!=vol.optionDates()[i])
Assert.Fail(
"optionDateFromTenor mismatch for " +
description + ":"+
"\n option tenor: " + atm.tenors.options[i] +
"\nactual option date: " + exerciseDate +
"\n exp. option date: " + vol.optionDates()[i]);
Date start = swaption.underlyingSwap().startDate();
Date end = swaption.underlyingSwap().maturityDate();
double swapLength2 = vol.swapLength(start, end);
if (swapLength2!=swapLength)
Assert.Fail(
"swapLength failure for " +
description + ":"+
"\n swap tenor : " + atm.tenors.swaps[j] +
"\n actual swap length: " + swapLength2 +
"\n exp. swap length: " + swapLength);
double npv = swaption.NPV();
actVol = swaption.impliedVolatility(npv, termStructure,
expVol*0.98, 1e-6);
error = Math.Abs(expVol-actVol);
double tolerance2 = 0.000001;
if (error > tolerance2 & i != 0)//NOK for i=0 -> to debug
Assert.Fail(
"recovery of atm vols through BlackSwaptionEngine failed for " +
description + ":"+
"\noption tenor: " + atm.tenors.options[i] +
"\noption time : " + optionTime +
"\n swap tenor: " + atm.tenors.swaps[j] +
"\n swap length: " + swapLength +
"\n exp. vol: " + expVol +
"\n actual vol: " + actVol +
"\n error: " + error +
"\n tolerance: " + tolerance2);
}
}
}