blackvariancesurfacestddevs.cpp File Reference

#include "toplevelfixture.hpp"
#include <boost/test/unit_test.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/yield/flatforward.hpp>
#include <ql/time/calendars/nullcalendar.hpp>
#include <ql/time/daycounters/actualactual.hpp>
#include <ql/currencies/europe.hpp>
#include <qle/indexes/fxindex.hpp>
#include <qle/termstructures/blackvariancesurfacestddevs.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testFlatSurface)

Function Documentation

BOOST_AUTO_TEST_CASE()

BOOST_AUTO_TEST_CASE

(

testFlatSurface

)

Definition at line 37 of file blackvariancesurfacestddevs.cpp.

                                      {
 
    BOOST_TEST_MESSAGE("Testing QuantExt::BlackVarianceSurfaceStdDevs");
 
    SavedSettings backup;
    Settings::instance().evaluationDate() = Date(1, Dec, 2015);
    Date today = Settings::instance().evaluationDate();
 
    // we setup a flat surface, all at 12%
    // Then we ask it for vol at different tenors and strikes
    Calendar cal = NullCalendar();
    Handle<Quote> spot = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(100));
    vector<Time> times = { 1.0, 2.0, 3.0, 4.0 };
    vector<Real> stdDevs = { -1.0, -0.5, 0, 0.5, 1.0 };
    Volatility flatVol = 0.12;
    Handle<Quote> flatVolQ = Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(flatVol));
    vector<vector<Handle<Quote> > > blackVolMatrix(stdDevs.size(), vector<Handle<Quote> >(times.size(), flatVolQ));
    DayCounter dc = ActualActual(ActualActual::ISDA);
    Handle<YieldTermStructure> forTS(
        QuantLib::ext::make_shared<FlatForward>(today, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.02)), ActualActual(ActualActual::ISDA)));
    Handle<YieldTermStructure> domTS(
        QuantLib::ext::make_shared<FlatForward>(today, Handle<Quote>(QuantLib::ext::make_shared<SimpleQuote>(0.01)), ActualActual(ActualActual::ISDA)));
 
    QuantLib::ext::shared_ptr<QuantExt::FxIndex> fxIndex = 
        QuantLib::ext::make_shared<QuantExt::FxIndex>("dummy", 2, EURCurrency(),
        GBPCurrency(), cal, spot, forTS, domTS);
    QuantExt::BlackVarianceSurfaceStdDevs surface(cal, spot, times, stdDevs, blackVolMatrix, dc, fxIndex);
 
    // Now get a vol for different times and strikes
    for (Time t = 0.05; t < 5.0; t += 0.1) {
        // spot is 100 so strikes should range from (say) 70 to 150
        for (Real k = 70; k < 150; k += 0.5) {
            Volatility vol = surface.blackVol(t, k);
            // BOOST_TEST_MESSAGE("BlackVarianceSurfaceStdDevs vol for t=" << t << " and k=" << k << " is " << vol);
            BOOST_CHECK_CLOSE(vol, flatVol, 1e-12);
        }
    }
}