Changeset 148

Timestamp:

05/05/08 14:39:01 (2 months ago)

Author:

Vice

Message:

All Cap&Floor test . Need to fix only the Volatility one.

Files:

• trunk/QLNet/QLNet.sln (modified) (2 diffs)
• trunk/QLNet/QLNet/Instruments/CapFloor.cs (modified) (2 diffs)
• trunk/QLNet/Test2008/T_CapFloor.cs (modified) (4 diffs)

trunk/QLNet/QLNet.sln

@@ -6 +6 @@
-                localtestrun.testrunconfig = localtestrun.testrunconfig
-                QLNet.vsmdi = QLNet.vsmdi
+                QLNet1.vsmdi = QLNet1.vsmdi
+                QLNet2.vsmdi = QLNet2.vsmdi
-        EndProjectSection
-EndProject
@@ -28 +30 @@
-Global
-        GlobalSection(TestCaseManagementSettings) = postSolution
-
+2
-        EndGlobalSection
-        GlobalSection(SolutionConfigurationPlatforms) = preSolution

trunk/QLNet/QLNet/Instruments/CapFloor.cs

@@ -242 +242 @@
-      }
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-
-      #endregion
@@ -364 +377 @@
-   public abstract class CapFloorEngine 
-        : GenericEngine<CapFloor.Arguments, CapFloor.Results> {};
+   
+   public class ImpliedVolHelper 
+   {
+      private IPricingEngine engine_;
+      private Handle<YieldTermStructure> discountCurve_;
+      private double targetValue_;
+      private SimpleQuote vol_;
+      private Instrument.Results results_;
+
+      public ImpliedVolHelper(CapFloor cap,Handle<YieldTermStructure> discountCurve,
+                              double targetValue)
+      {
+         discountCurve_ = discountCurve;
+         targetValue_ = targetValue;
+
+         Handle<Quote> h = new Handle<Quote>(vol_);
+         engine_ = (IPricingEngine)new BlackCapFloorEngine(discountCurve_, h);
+         cap.setupArguments(engine_.getArguments());
+         results_ = engine_.getResults() as Instrument.Results;
+
+      }
+
+      //Real operator()(Volatility x) const;
+      //Real derivative(Volatility x) const;
+
+
+      
+      //double ImpliedVolHelper::operator()(Volatility x) const 
+      //{
+      //      if (x!=vol_->value()) {
+      //          vol_->setValue(x);
+      //          engine_->calculate();
+      //      }
+      //      return results_->value-targetValue_;
+      //  }
+
+      public double derivative(double x) 
+      {
+         if (x!=vol_.value()) 
+         {
+            vol_.setValue(x);
+            engine_.calculate();
+         }
+         if ( ! results_.additionalResults.Keys.Contains("vega") )
+            throw new Exception("vega not provided");
+
+         return (double) results_.additionalResults["vega"];
+      }
+   }
-}

trunk/QLNet/Test2008/T_CapFloor.cs

@@ -77 +77 @@
-         }
-
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+public 
-         {
-            Handle<Quote> vol = new Handle<Quote>(new SimpleQuote(volatility)) ;
@@ -212 +212 @@
-                                         strikes[k],vols[j]);
-                   floor_values.Add(floor.NPV());
-
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+   
+   
+   
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+  
-                    "NPV is increasing with the strike in a cap: \n"
-                    + "    length:     " + lengths[i] + " years\n"
@@ -225 +225 @@
-                    + "    value:      " + cap_values[k+1]
-                    + " at strike: " + strikes[k+1]);
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+   
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+  
-                    "NPV is decreasing with the strike in a floor: \n"
-                    + "    length:     " + lengths[i] + " years\n"
@@ -239 +239 @@
-                    + "    value:      " + floor_values[k+1]
-                    + " at strike: " + strikes[k+1]);
+               }
-            }
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-   }
-}