void SwaptionVolatilityMatrixTest::testSwaptionVolMatrixCoherence() {
BOOST_TEST_MESSAGE("Testing swaption volatility matrix...");
CommonVars vars;
boost::shared_ptr<SwaptionVolatilityMatrix> vol;
std::string description;
//floating reference date, floating market data
description = "floating reference date, floating market data";
vol = boost::shared_ptr<SwaptionVolatilityMatrix>(new
SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter));
vars.makeCoherenceTest(description, vol);
//fixed reference date, floating market data
description = "fixed reference date, floating market data";
vol = boost::shared_ptr<SwaptionVolatilityMatrix>(new
SwaptionVolatilityMatrix(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter));
vars.makeCoherenceTest(description, vol);
// floating reference date, fixed market data
description = "floating reference date, fixed market data";
vol = boost::shared_ptr<SwaptionVolatilityMatrix>(new
SwaptionVolatilityMatrix(vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter));
vars.makeCoherenceTest(description, vol);
// fixed reference date, fixed market data
description = "fixed reference date, fixed market data";
vol = boost::shared_ptr<SwaptionVolatilityMatrix>(new
SwaptionVolatilityMatrix(Settings::instance().evaluationDate(),
vars.conventions.calendar,
vars.conventions.optionBdc,
vars.atm.tenors.options,
vars.atm.tenors.swaps,
vars.atm.volsHandle,
vars.conventions.dayCounter));
vars.makeCoherenceTest(description, vol);
}
