dynamicswaptionvolmatrix.cpp File Reference

#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <boost/test/unit_test.hpp>
#include <qle/termstructures/dynamicswaptionvolmatrix.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp>
#include <ql/time/calendars/target.hpp>
#include <ql/time/daycounters/actual365fixed.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testConstantVariance)
	BOOST_AUTO_TEST_CASE (testForwardForwardVariance)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testConstantVariance

)

Definition at line 71 of file dynamicswaptionvolmatrix.cpp.

                                           {
 
    BOOST_TEST_MESSAGE("Testing constant variance dynamics of "
                       "DynamicSwaptionVolatilityMatrix...");
 
    TestData d;
 
    QuantLib::ext::shared_ptr<SwaptionVolatilityStructure> dyn =
        QuantLib::ext::make_shared<DynamicSwaptionVolatilityMatrix>(d.atmSurface, 0, TARGET(), ConstantVariance);
 
    dyn->enableExtrapolation();
 
    Real tol = 1.0E-8;
 
    Real strike = 0.05; // dummy strike
 
    // initially we should get the same volatilities
 
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Months, 1 * Years, strike),
                      d.atmSurface->volatility(1 * Months, 1 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Months, 2 * Years, strike),
                      d.atmSurface->volatility(1 * Months, 2 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Years, 1 * Years, strike),
                      d.atmSurface->volatility(1 * Years, 1 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Years, 2 * Years, strike),
                      d.atmSurface->volatility(1 * Years, 2 * Years, strike), tol);
 
    // move forward in time, we expect a constant surface
 
    Settings::instance().evaluationDate() = TARGET().advance(d.origRefDate, 5 * Months);
 
    BOOST_CHECK_CLOSE(dyn->volatility(0.1, 1.0, strike), d.atmSurface->volatility(0.1, 1.0, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(0.1, 2.0, strike), d.atmSurface->volatility(0.1, 2.0, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1.0, 1.0, strike), d.atmSurface->volatility(1.0, 1.0, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1.0, 2.0, strike), d.atmSurface->volatility(1.0, 2.0, strike), tol);
 
} // testConstantVariance

BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testForwardForwardVariance

)

Definition at line 109 of file dynamicswaptionvolmatrix.cpp.

                                                 {
 
    BOOST_TEST_MESSAGE("Testing forward forward variance dynamics of "
                       "DynamicSwaptionVolatilityMatrix");
    TestData d;
 
    QuantLib::ext::shared_ptr<SwaptionVolatilityStructure> dyn =
        QuantLib::ext::make_shared<DynamicSwaptionVolatilityMatrix>(d.atmSurface, 0, TARGET(), ForwardForwardVariance);
 
    dyn->enableExtrapolation();
 
    Real tol = 1.0E-8;
 
    Real strike = 0.05; // dummy strike
 
    // initially we should get the same volatilities again
 
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Months, 1 * Years, strike),
                      d.atmSurface->volatility(1 * Months, 1 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Months, 2 * Years, strike),
                      d.atmSurface->volatility(1 * Months, 2 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Years, 1 * Years, strike),
                      d.atmSurface->volatility(1 * Years, 1 * Years, strike), tol);
    BOOST_CHECK_CLOSE(dyn->volatility(1 * Years, 2 * Years, strike),
                      d.atmSurface->volatility(1 * Years, 2 * Years, strike), tol);
 
    // move forward in time, we expect the forward forward variance
 
    Settings::instance().evaluationDate() = TARGET().advance(d.origRefDate, 5 * Months);
    Real tf = d.atmSurface->timeFromReference(Settings::instance().evaluationDate());
 
    BOOST_CHECK_CLOSE(dyn->blackVariance(0.1, 1.0, strike),
                      d.atmSurface->blackVariance(tf + 0.1, 1.0, strike) - d.atmSurface->blackVariance(tf, 1.0, strike),
                      tol);
    BOOST_CHECK_CLOSE(dyn->blackVariance(0.1, 2.0, strike),
                      d.atmSurface->blackVariance(tf + 0.1, 2.0, strike) - d.atmSurface->blackVariance(tf, 2.0, strike),
                      tol);
    BOOST_CHECK_CLOSE(dyn->blackVariance(1.0, 1.0, strike),
                      d.atmSurface->blackVariance(tf + 1.0, 1.0, strike) - d.atmSurface->blackVariance(tf, 1.0, strike),
                      tol);
    BOOST_CHECK_CLOSE(dyn->blackVariance(1.0, 2.0, strike),
                      d.atmSurface->blackVariance(tf + 1.0, 2.0, strike) - d.atmSurface->blackVariance(tf, 2.0, strike),
                      tol);
 
} // testForwardForwardVariance