strippedoptionletadapter2.cpp File Reference

#include <boost/test/unit_test.hpp>
#include <ql/quotes/simplequote.hpp>
#include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
#include <ql/time/calendars/unitedstates.hpp>
#include <qle/termstructures/strippedoptionletadapter2.hpp>
#include <test/toplevelfixture.hpp>

Go to the source code of this file.

Functions
	BOOST_FIXTURE_TEST_CASE (testFlatExtrapAfterLastExpiry, F)
	BOOST_FIXTURE_TEST_CASE (testFlatExtrapBetweenFirstLastExpiry, F)
	BOOST_FIXTURE_TEST_CASE (testFlatExtrapBeforeFirstExpiry, F)

Function Documentation

BOOST_FIXTURE_TEST_CASE() [1/3]

BOOST_FIXTURE_TEST_CASE	(	testFlatExtrapAfterLastExpiry	,
		F
	)

Definition at line 84 of file strippedoptionletadapter2.cpp.

                                                          {
 
    // Set up optionlet adapter with flat extrapolation
    QuantLib::ext::shared_ptr<StrippedOptionletAdapter2> adapter =
        QuantLib::ext::make_shared<StrippedOptionletAdapter2>(optionletSurface, true);
 
    // Pick a date 1Y after the max date
    Date testDate = expiries.back() + 1 * Years;
 
    // Check flat extrapolation on the pillar strikes
    for (Size i = 0; i < strikes.size(); i++) {
        Volatility testVol = adapter->volatility(testDate, strikes[i], true);
        BOOST_CHECK_CLOSE(testVol, vols.back()[i]->value(), 1e-12);
    }
 
    // Check flat extrapolation below first strike
    Volatility testVol = adapter->volatility(testDate, strikes.front() / 2.0, true);
    BOOST_CHECK_CLOSE(testVol, vols.back().front()->value(), 1e-12);
 
    // Check flat extrapolation above last strike
    testVol = adapter->volatility(testDate, 2.0 * strikes.back(), true);
    BOOST_CHECK_CLOSE(testVol, vols.back().back()->value(), 1e-12);
 
    // Check flat extrapolation between two strikes
    Rate avgStrike = (strikes[0] + strikes[1]) / 2.0;
    Volatility expectedVol = (vols.back()[0]->value() + vols.back()[1]->value()) / 2.0;
    testVol = adapter->volatility(testDate, avgStrike, true);
    BOOST_CHECK_CLOSE(testVol, expectedVol, 1e-12);
}

BOOST_FIXTURE_TEST_CASE() [2/3]

BOOST_FIXTURE_TEST_CASE	(	testFlatExtrapBetweenFirstLastExpiry	,
		F
	)

Definition at line 114 of file strippedoptionletadapter2.cpp.

                                                                 {
 
    // Set up optionlet adapter with flat extrapolation
    QuantLib::ext::shared_ptr<StrippedOptionletAdapter2> adapter =
        QuantLib::ext::make_shared<StrippedOptionletAdapter2>(optionletSurface, true);
 
    // Check flat extrapolation on expiry pillars
    for (Size i = 0; i < expiries.size(); i++) {
        // Below first strike
        Volatility testVol = adapter->volatility(expiries[i], strikes.front() / 2.0, true);
        BOOST_CHECK_CLOSE(testVol, vols[i].front()->value(), 1e-12);
        // Above last strike
        testVol = adapter->volatility(expiries[i], 2.0 * strikes.back(), true);
        BOOST_CHECK_CLOSE(testVol, vols[i].back()->value(), 1e-12);
    }
 
    // Pick a date between first expiry and last expiry
    Size numDays = dc.dayCount(expiries.front(), expiries.back()) / 2;
    Date testDate = expiries.front() + numDays * Days;
 
    // Check flat extrapolation below first strike
    Volatility testVol = adapter->volatility(testDate, strikes.front() / 2.0, true);
    Volatility expectedVol = adapter->volatility(testDate, strikes.front(), true);
    BOOST_CHECK_CLOSE(testVol, expectedVol, 1e-12);
 
    // Check flat extrapolation above last strike
    testVol = adapter->volatility(testDate, 2.0 * strikes.back(), true);
    expectedVol = adapter->volatility(testDate, strikes.back(), true);
    BOOST_CHECK_CLOSE(testVol, expectedVol, 1e-12);
}

BOOST_FIXTURE_TEST_CASE() [3/3]

BOOST_FIXTURE_TEST_CASE	(	testFlatExtrapBeforeFirstExpiry	,
		F
	)

Definition at line 145 of file strippedoptionletadapter2.cpp.

                                                            {
 
    // Set up optionlet adapter with flat extrapolation
    QuantLib::ext::shared_ptr<StrippedOptionletAdapter2> adapter =
        QuantLib::ext::make_shared<StrippedOptionletAdapter2>(optionletSurface, true);
 
    // Pick a date between evaluation date and first expiry
    Size numDays = dc.dayCount(asof, expiries.front()) / 2;
    Date testDate = asof + numDays * Days;
 
    // Check flat extrapolation on the pillar strikes
    for (Size i = 0; i < strikes.size(); i++) {
        Volatility testVol = adapter->volatility(testDate, strikes[i], true);
        BOOST_CHECK_CLOSE(testVol, vols.front()[i]->value(), 1e-12);
    }
 
    // Check flat extrapolation below first strike
    Volatility testVol = adapter->volatility(testDate, strikes.front() / 2.0, true);
    BOOST_CHECK_CLOSE(testVol, vols.front().front()->value(), 1e-12);
 
    // Check flat extrapolation above last strike
    testVol = adapter->volatility(testDate, 2.0 * strikes.back(), true);
    BOOST_CHECK_CLOSE(testVol, vols.front().back()->value(), 1e-12);
 
    // Check flat extrapolation between two strikes
    Rate avgStrike = (strikes[0] + strikes[1]) / 2.0;
    Volatility expectedVol = (vols.front()[0]->value() + vols.front()[1]->value()) / 2.0;
    testVol = adapter->volatility(testDate, avgStrike, true);
    BOOST_CHECK_CLOSE(testVol, expectedVol, 1e-12);
}