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Diffstat (limited to 'python/tests/test_sabr_quantlib.py')
| -rw-r--r-- | python/tests/test_sabr_quantlib.py | 19 |
1 files changed, 19 insertions, 0 deletions
diff --git a/python/tests/test_sabr_quantlib.py b/python/tests/test_sabr_quantlib.py new file mode 100644 index 00000000..67a33ccb --- /dev/null +++ b/python/tests/test_sabr_quantlib.py @@ -0,0 +1,19 @@ +from quantlib.termstructures.volatility.sabr_interpolated_smilesection import SabrInterpolatedSmileSection +from quantlib.time.api import Date, Period, Months +from quantlib.quotes import SimpleQuote +from quantlib.settings import Settings +import numpy as np + +strikes = np.array([50, 55, 57.5, 60, 62.5, 65, 67.5, 70, 75, 80, 85]) +pvs = np.array([53.65, 37.75, 31.55, 26.45, 22.25, 18.85, 16.15, 13.95, 10.55, + 8.05, 6.15, 4.65, 3.65, 2.75]) * 1e-4 +option_date = Settings().instance().evaluation_date + Period(3, Months) +forward = SimpleQuote(58.71e-4) +strikes = np.array([50, 55, 57.5, 60, 62.5, 65, 67.5, 70, 75, 80, 85, 90, 95, 100]) * 1e-4 +vol = np.array([28.5, 31.6, 33.7, 36.1, 38.7, 41.5, 44.1, + 46.5, 50.8, 54.4, 57.3, 59.8, 61.8, 63.6]) * 1e-2 +vol_quotes = [SimpleQuote(q) for q in vol] + +section = SabrInterpolatedSmileSection(option_date, forward, strikes, False, + SimpleQuote(0.4), vol_quotes, 0.1, 1, 0.1, 0.5, + is_beta_fixed=True) |