normalfreeboundarysabr.cpp File Reference

#include "toplevelfixture.hpp"
#include <qle/models/normalsabr.hpp>
#include <boost/make_shared.hpp>
#include <boost/test/unit_test.hpp>

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Functions
	BOOST_AUTO_TEST_CASE (testNormalFreeBoundarySabr)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testNormalFreeBoundarySabr

)

Definition at line 34 of file normalfreeboundarysabr.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing normal free boundary SABR...");
 
    Real forward = 0.0, expiryTime = 5.0, alpha = 0.0050, nu = 0.52, rho = -0.23;
 
    BOOST_TEST_MESSAGE("vol=" << normalFreeBoundarySabrVolatility(0.0, forward, expiryTime, alpha, nu, rho));
 
    // WIP...
 
    // for (Real strike = -0.10; strike < 0.10 + 1E-5; strike += 0.0001) {
    //     BOOST_TEST_MESSAGE(strike << " " << normalSabrVolatility(strike, forward, expiryTime, alpha, nu, rho) << " "
    //                               << normalFreeBoundarySabrVolatility(strike, forward, expiryTime, alpha, nu, rho));
    // }
}

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