swaptionvolconstantspread.cpp File Reference

#include "swaptionmarketdata.hpp"
#include "toplevelfixture.hpp"
#include "yieldcurvemarketdata.hpp"
#include <boost/test/unit_test.hpp>
#include <qle/termstructures/swaptionvolatilityconverter.hpp>
#include <qle/termstructures/swaptionvolconstantspread.hpp>
#include <qle/termstructures/swaptionvolcube2.hpp>
#include <ql/indexes/swap/euriborswap.hpp>
#include <boost/assign/list_of.hpp>

Go to the source code of this file.

Functions
	BOOST_AUTO_TEST_CASE (testAtmNormalVolShiftPropagation)
	BOOST_AUTO_TEST_CASE (testAtmLogNormalVolShiftPropagation)

Function Documentation

BOOST_AUTO_TEST_CASE() [1/2]

BOOST_AUTO_TEST_CASE

(

testAtmNormalVolShiftPropagation

)

Definition at line 124 of file swaptionvolconstantspread.cpp.

                                                       {
    BOOST_TEST_MESSAGE("Testing ATM normal vol shift propagation...");
 
    CommonVars vars1;
    Real tolerance = 0.000001;
    Real shift = 0.0050;
    for (Size i = 0; i < vars1.atmVols.optionTenors.size(); ++i) {
        for (Size j = 0; j < vars1.atmVols.swapTenors.size(); ++j) {
            CommonVars vars2(i, j, shift);
            Period expiry = vars1.atmVols.optionTenors[i];
            Period term = vars1.atmVols.swapTenors[j];
 
            Real atmVol = vars1.atmNormalVolMatrix->volatility(expiry, term, 0.0);
            Real shiftedAtmVol = vars2.atmNormalVolMatrix->volatility(expiry, term, 0.0);
            BOOST_CHECK_SMALL(shiftedAtmVol - atmVol - shift, tolerance);
 
            // check that shift propagates to all strikes for this expiry/term
            for (Real strike = 0.01; strike <= 0.08; strike += 0.005) {
                Real otmVol = vars1.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                Real shiftedOtmVol = vars2.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                // BOOST_TEST_MESSAGE(i << "/" << j << "/" << strike << " : ATM Vol " << atmVol << " OTM Vol " << otmVol
                //                      << " ATM Vol Shift " << shiftedAtmVol - atmVol << " OTM Vol Shift "
                //                      << shiftedOtmVol - otmVol);
                BOOST_CHECK_SMALL(shiftedOtmVol - otmVol - shift, tolerance);
            }
 
            // check that there is no shift in any other expiry/term
            for (Size ii = 0; ii < vars1.atmVols.optionTenors.size(); ++ii) {
                if (i == ii)
                    continue;
                for (Size jj = 0; jj < vars1.atmVols.swapTenors.size(); ++jj) {
                    if (j == jj)
                        continue;
                    Period expiry = vars1.atmVols.optionTenors[ii];
                    Period term = vars1.atmVols.swapTenors[jj];
                    Real atmVol = vars1.atmNormalVolMatrix->volatility(expiry, term, 0.0);
                    Real shiftedAtmVol = vars2.atmNormalVolMatrix->volatility(expiry, term, 0.0);
                    BOOST_CHECK_SMALL(shiftedAtmVol - atmVol, tolerance);
                    for (Real strike = 0.01; strike <= 0.08; strike += 0.005) {
                        Real otmVol = vars1.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                        Real shiftedOtmVol = vars2.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                        BOOST_CHECK_SMALL(shiftedOtmVol - otmVol, tolerance);
                    }
                }
            }
        }
    }
}

BOOST_AUTO_TEST_CASE() [2/2]

BOOST_AUTO_TEST_CASE

(

testAtmLogNormalVolShiftPropagation

)

Definition at line 173 of file swaptionvolconstantspread.cpp.

                                                          {
    BOOST_TEST_MESSAGE("Testing ATM log-normal vol shift propagation...");
 
    CommonVars vars1;
    Real tolerance = 0.000001;
    Real shift = 0.1;
    for (Size i = 0; i < vars1.atmVols.optionTenors.size(); ++i) {
        for (Size j = 0; j < vars1.atmVols.swapTenors.size(); ++j) {
            CommonVars vars2(i, j, shift);
            Period expiry = vars1.atmVols.optionTenors[i];
            Period term = vars1.atmVols.swapTenors[j];
 
            Real atmVol = vars1.atmLogNormalVolMatrix->volatility(expiry, term, 0.0);
            Real shiftedAtmVol = vars2.atmLogNormalVolMatrix->volatility(expiry, term, 0.0);
            BOOST_CHECK_SMALL(shiftedAtmVol - atmVol - shift, tolerance);
 
            // check that shift propagates to all strikes for this expiry/term
            for (Real strike = 0.01; strike <= 0.08; strike += 0.005) {
                Real otmVol = vars1.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                Real shiftedOtmVol = vars2.normalVolCubeConstantSpread->volatility(expiry, term, strike);
                // BOOST_TEST_MESSAGE(i << "/" << j << "/" << strike << " : ATM Vol " << atmVol << " OTM Vol " << otmVol
                //                      << " ATM Vol Shift " << shiftedAtmVol - atmVol << " OTM Vol Shift "
                //                      << shiftedOtmVol - otmVol);
                BOOST_CHECK_SMALL(shiftedOtmVol - otmVol - shift, tolerance);
            }
 
            // check that there is no shift in any other expiry/term
            for (Size ii = 0; ii < vars1.atmVols.optionTenors.size(); ++ii) {
                if (i == ii)
                    continue;
                for (Size jj = 0; jj < vars1.atmVols.swapTenors.size(); ++jj) {
                    if (j == jj)
                        continue;
                    Period expiry = vars1.atmVols.optionTenors[ii];
                    Period term = vars1.atmVols.swapTenors[jj];
                    Real atmVol = vars1.atmLogNormalVolMatrix->volatility(expiry, term, 0.0);
                    Real shiftedAtmVol = vars2.atmLogNormalVolMatrix->volatility(expiry, term, 0.0);
                    BOOST_CHECK_SMALL(shiftedAtmVol - atmVol, tolerance);
                    for (Real strike = 0.01; strike <= 0.08; strike += 0.005) {
                        Real otmVol = vars1.logNormalVolCubeConstantSpread->volatility(expiry, term, strike);
                        Real shiftedOtmVol = vars2.logNormalVolCubeConstantSpread->volatility(expiry, term, strike);
                        BOOST_CHECK_SMALL(shiftedOtmVol - otmVol, tolerance);
                    }
                }
            }
        }
    }
}