def test_inst_curve(self):
pre = 1 # some interpolation artifacts may occur
domain = [
self.today, self.today + '2y', self.today + '3y', self.today + '4y'
]
data = [0.15, 0.2, 0.2, 0.19]
inst_curve = InstantaneousVolatilityCurve(domain, data)
term_curve = TerminalVolatilityCurve(inst_curve)
for t in self.domain:
for p in self.periods:
x = t + p
self.assertAlmostEqual(term_curve.get_terminal_vol(x),
inst_curve.get_terminal_vol(x), pre)
self.assertAlmostEqual(term_curve.get_terminal_vol(x, x),
inst_curve.get_terminal_vol(x, x), pre)
self.assertAlmostEqual(term_curve.get_instantaneous_vol(x),
inst_curve.get_instantaneous_vol(x),
pre)
def test_terminal_curve(self):
pre = 2
domain = [
self.today, self.today + '2y', self.today + '3y', self.today + '4y'
]
data = [0.15, 0.2, 0.2, 0.19]
term_curve = TerminalVolatilityCurve(domain, data)
inst_curve = term_curve.cast(InstantaneousVolatilityCurve)
for t in self.domain:
for p in self.periods:
x = t + p
self.assertAlmostEqual(term_curve.get_terminal_vol(x),
inst_curve.get_terminal_vol(x), pre)
self.assertAlmostEqual(term_curve.get_terminal_vol(x, x),
inst_curve.get_terminal_vol(x, x), pre)
self.assertAlmostEqual(term_curve.get_instantaneous_vol(x),
inst_curve.get_instantaneous_vol(x),
pre)
def test_flat_curve(self):
for value in (0.0, 0.01, 0.1, 0.2):
data = [value] * len(self.domain)
term_curve = TerminalVolatilityCurve(self.domain, data)
inst_curve = InstantaneousVolatilityCurve(self.domain, data)
for t in self.domain:
for p in self.periods:
x = t + p
self.assertAlmostEqual(value,
term_curve.get_terminal_vol(x))
self.assertAlmostEqual(value,
inst_curve.get_terminal_vol(x))
self.assertAlmostEqual(value,
term_curve.get_terminal_vol(x, x))
self.assertAlmostEqual(value,
inst_curve.get_terminal_vol(x, x))
self.assertAlmostEqual(value,
term_curve.get_instantaneous_vol(x))
self.assertAlmostEqual(value,
inst_curve.get_instantaneous_vol(x))