| 1 | /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */ |
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| 2 | |
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| 3 | /* |
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| 4 | Copyright (C) 2022 Skandinaviska Enskilda Banken AB (publ) |
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| 5 | |
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| 6 | This file is part of QuantLib, a free-software/open-source library |
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| 7 | for financial quantitative analysts and developers - http://quantlib.org/ |
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| 8 | |
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| 9 | QuantLib is free software: you can redistribute it and/or modify it |
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| 10 | under the terms of the QuantLib license. You should have received a |
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| 11 | copy of the license along with this program; if not, please email |
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| 12 | <quantlib-dev@lists.sf.net>. The license is also available online at |
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| 13 | <http://quantlib.org/license.shtml>. |
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| 14 | |
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| 15 | This program is distributed in the hope that it will be useful, but WITHOUT |
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| 16 | ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS |
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| 17 | FOR A PARTICULAR PURPOSE. See the license for more details. |
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| 18 | */ |
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| 19 | |
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| 20 | #include "svivolatility.hpp" |
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| 21 | #include "utilities.hpp" |
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| 22 | #include <ql/experimental/volatility/svismilesection.hpp> |
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| 23 | |
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| 24 | using namespace QuantLib; |
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| 25 | using namespace boost::unit_test_framework; |
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| 26 | |
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| 27 | |
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| 28 | void SviVolatilityTest::testSviSmileSection() { |
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| 29 | |
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| 30 | BOOST_TEST_MESSAGE("Testing SviSmileSection construction..." ); |
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| 31 | |
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| 32 | Date today = Settings::instance().evaluationDate(); |
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| 33 | |
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| 34 | // Test time based constructor |
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| 35 | Time tte = 11.0 / 365; |
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| 36 | Real forward = 123.45; |
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| 37 | Real a = -0.0666; |
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| 38 | Real b = 0.229; |
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| 39 | Real sigma = 0.337; |
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| 40 | Real rho = 0.439; |
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| 41 | Real m = 0.193; |
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| 42 | std::vector<Real> sviParameters = {a, b, sigma, rho, m}; |
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| 43 | // Compute the strike that yields x (log-moneyness) equal to m, |
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| 44 | // this simplifies the variance expression to a+b*sigma so we can test the correctness |
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| 45 | // against the input parameters |
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| 46 | Real strike = forward * std::exp(x: m); |
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| 47 | ext::shared_ptr<SviSmileSection> time_section; |
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| 48 | |
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| 49 | BOOST_CHECK_NO_THROW(time_section = |
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| 50 | ext::make_shared<SviSmileSection>(tte, forward, sviParameters)); |
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| 51 | BOOST_CHECK_EQUAL(time_section->atmLevel(), forward); |
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| 52 | QL_CHECK_CLOSE(time_section->variance(strike), a + b * sigma, 1E-10); |
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| 53 | |
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| 54 | // Test date based constructor |
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| 55 | Date date = today + Period(11, Days); |
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| 56 | ext::shared_ptr<SviSmileSection> date_section; |
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| 57 | |
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| 58 | BOOST_CHECK_NO_THROW(date_section = |
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| 59 | ext::make_shared<SviSmileSection>(date, forward, sviParameters)); |
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| 60 | |
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| 61 | BOOST_CHECK_EQUAL(date_section->atmLevel(), forward); |
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| 62 | QL_CHECK_CLOSE(date_section->variance(strike), a + b * sigma, 1E-10); |
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| 63 | } |
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| 64 | |
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| 65 | test_suite* SviVolatilityTest::experimental() { |
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| 66 | auto* suite = BOOST_TEST_SUITE("SVI volatility tests" ); |
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| 67 | suite->add(QUANTLIB_TEST_CASE(&SviVolatilityTest::testSviSmileSection)); |
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| 68 | return suite; |
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| 69 | } |
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| 70 | |
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