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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2022 Skandinaviska Enskilda Banken AB (publ)
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<http://quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#include "toplevelfixture.hpp"
#include "utilities.hpp"
#include <ql/experimental/volatility/svismilesection.hpp>
using namespace QuantLib;
using namespace boost::unit_test_framework;
BOOST_FIXTURE_TEST_SUITE(QuantLibTests, TopLevelFixture)
BOOST_AUTO_TEST_SUITE(SviVolatilityTests)
BOOST_AUTO_TEST_CASE(testSviSmileSection) {
BOOST_TEST_MESSAGE("Testing SviSmileSection construction...");
Date today = Settings::instance().evaluationDate();
// Test time based constructor
Time tte = 11.0 / 365;
Real forward = 123.45;
Real a = -0.0666;
Real b = 0.229;
Real sigma = 0.337;
Real rho = 0.439;
Real m = 0.193;
std::vector<Real> sviParameters = {a, b, sigma, rho, m};
// Compute the strike that yields x (log-moneyness) equal to m,
// this simplifies the variance expression to a+b*sigma so we can test the correctness
// against the input parameters
Real strike = forward * std::exp(m);
ext::shared_ptr<SviSmileSection> time_section;
BOOST_CHECK_NO_THROW(time_section =
ext::make_shared<SviSmileSection>(tte, forward, sviParameters));
BOOST_CHECK_EQUAL(time_section->atmLevel(), forward);
QL_CHECK_CLOSE(time_section->variance(strike), a + b * sigma, 1E-10);
// Test date based constructor
Date date = today + Period(11, Days);
ext::shared_ptr<SviSmileSection> date_section;
BOOST_CHECK_NO_THROW(date_section =
ext::make_shared<SviSmileSection>(date, forward, sviParameters));
BOOST_CHECK_EQUAL(date_section->atmLevel(), forward);
QL_CHECK_CLOSE(date_section->variance(strike), a + b * sigma, 1E-10);
}
BOOST_AUTO_TEST_SUITE_END()
BOOST_AUTO_TEST_SUITE_END()
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