public CapVolatilityCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, QuotedAssetSet instrumentData,
IRateCurve discountCurve, IRateCurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: this(logger, cache, nameSpace, new VolatilitySurfaceIdentifier(properties), fixingCalendar, rollCalendar)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
//TODO This for backwards compatability. AnalyticalResults is the current interface.
Handle = properties.GetString(CurveProp.EngineHandle, null);
BootstrapResults = new VolCurveBootstrapResults();
//Set the underlying asset information.
var instrument = properties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
var extrapolationPermitted = ExtrapolationPermittedInput ?? ExtrapolationPermitted;
PriceableOptionAssets = PriceableAssetFactory.CreatePriceableRateOptionAssets(logger, cache, nameSpace, curveId.BaseDate, instrumentData, fixingCalendar, rollCalendar);
BootstrapResults.Results = CapFloorBootstrapper.Bootstrap(PriceableOptionAssets, properties, DiscountCurve, ForecastCurve, curveId.BaseDate, extrapolationPermitted,
InterpolationMethod, Tolerance);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(properties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(properties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(properties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
//If there is a strike specified for the curve, use it!
IsATMBootstrap = true;
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
IsATMBootstrap = false;
}
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsFixedStrikeBootstrap = false;
}
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, instrumentData);
}
/// <summary>
/// Initializes a new instance of the <see cref="GenericVolatilityCurve"/> class.
/// This constructor is used to clone perturbed copies of a base curve.
/// </summary>
/// <param name="priceableRateOptionAssets">The priceableRateAssets.</param>
/// <param name="pricingStructureAlgorithmsHolder">The pricingStructureAlgorithmsHolder.</param>
/// <param name="curveProperties">The Curve Properties.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
public GenericVolatilityCurve(NamedValueSet curveProperties, List <IPriceableOptionAssetController> priceableRateOptionAssets,
IRateCurve discountCurve, IRateCurve forecastCurve, PricingStructureAlgorithmsHolder pricingStructureAlgorithmsHolder)
: base(curveProperties, pricingStructureAlgorithmsHolder)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
Handle = curveProperties.GetString(CurveProp.EngineHandle, null);
BootstrapResults = new VolCurveBootstrapResults();
//Set the underlying asset information.
var instrument = curveProperties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
PriceableOptionAssets = priceableRateOptionAssets;
BootstrapResults.Results = VolatilityCurveBootstrapper.Bootstrap(PriceableOptionAssets);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(curveProperties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(curveProperties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(curveProperties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
//If there is a strike specified for the curve, use it!
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
}
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsATMBootstrap = true;
IsFixedStrikeBootstrap = false;
}
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, PriceableOptionAssets);
}
/// <summary>
/// Initializes a new instance of the <see cref="GenericVolatilityCurve"/> class.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The FPML data.</param>
/// <param name="properties">The properties for the pricing structure.</param>
/// <param name="fixingCalendar">The fixingCalendar. If the curve is already bootstrapped, then this can be null.</param>
/// <param name="rollCalendar">The rollCalendar. If the curve is already bootstrapped, then this can be null.</param>
public GenericVolatilityCurve(ILogger logger, ICoreCache cache, String nameSpace,
Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties,
IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, fpmlData, properties, fixingCalendar, rollCalendar)
{
PricingStructureData = new PricingStructureData(CurveType.Parent, AssetClass.Rates, properties);
var curveId = GetCurveId();
Initialize(properties, Holder);
//Set the underlying asset information.
if (properties != null)
{
var instrument = properties.GetString("Instrument", false);
Asset = new AnyAssetReference {
href = instrument
};
}
if (fpmlData == null)
{
return;
}
FixingCalendar = fixingCalendar;
PaymentCalendar = rollCalendar;
if (DayCounter == null)
{
DayCounter = DayCounterHelper.Parse("ACT/365.FIXED");
if (Holder != null)
{
string dayCountBasis = Holder.GetValue("DayCounter");
DayCounter = DayCounterHelper.Parse(dayCountBasis);
}
}
// the curve is already built, so don't rebuild
//Process the matrix
SetInterpolator(((VolatilityMatrix)PricingStructureValuation).dataPoints, curveId.Algorithm, curveId.PricingStructureType);
SetFpMLData(fpmlData, false);
}
public GenericVolatilityCurve(ILogger logger, ICoreCache cache, string nameSpace, NamedValueSet properties, QuotedAssetSet expiryTenorsWithVols,
IRateCurve discountCurve, IRateCurve forecastCurve, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar)
: base(logger, cache, nameSpace, new VolatilitySurfaceIdentifier(properties), fixingCalendar, rollCalendar)
{
DiscountCurve = discountCurve;
ForecastCurve = forecastCurve;
var curveId = GetCurveId();
var volCurve = SetConfigurationData();
if (properties != null)
{
var assetClass = properties.GetString(CurveProp.AssetClass, "Rates");
var asset = EnumHelper.Parse <AssetClass>(assetClass);
PricingStructureData = new PricingStructureData(CurveType.Parent, asset, properties);
var quoteUnits = properties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString());
IsFixedStrikeBootstrap = EnumHelper.Parse <StrikeQuoteUnitsEnum>(quoteUnits) == StrikeQuoteUnitsEnum.ATMFlatMoneyness;
if (!IsFixedStrikeBootstrap)
{
IsATMBootstrap = true;
}
//Set the underlying asset information.
var instrument = properties.GetString(CurveProp.Instrument, true);
Asset = new AnyAssetReference {
href = instrument
};
UnderlyingAssetDetails = CreateUnderlyingAssetWithProperties();
QuoteUnits = EnumHelper.Parse <QuoteUnitsEnum>(properties.GetValue(CurveProp.QuoteUnits, QuoteUnitsEnum.LogNormalVolatility.ToString()));
MeasureType = EnumHelper.Parse <MeasureTypesEnum>(properties.GetValue(CurveProp.MeasureType, MeasureTypesEnum.Volatility.ToString()));
StrikeQuoteUnits = EnumHelper.Parse <StrikeQuoteUnitsEnum>(properties.GetValue(CurveProp.StrikeQuoteUnits, StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString()));
IsFixedStrikeBootstrap = true;
IsATMBootstrap = false;
if (StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMFlatMoneyness || StrikeQuoteUnits == StrikeQuoteUnitsEnum.ATMMoneyness)
{
IsFixedStrikeBootstrap = false;
IsATMBootstrap = true;
}
Handle = properties.GetString(CurveProp.EngineHandle, null);
}
//If there is a strike specified for the curve, use it!
Strike = curveId.Strike;
if (Strike != null)
{
ValidateStrike((decimal)Strike);
IsFixedStrikeBootstrap = true;
IsATMBootstrap = false;
}
BootstrapResults = new VolCurveBootstrapResults();
PriceableOptionAssets = PriceableAssetFactory.CreatePriceableOptionAssets(logger, cache, nameSpace, curveId.BaseDate, Asset?.href, discountCurve, forecastCurve, Strike, expiryTenorsWithVols, fixingCalendar, rollCalendar);
BootstrapResults.Results = VolatilityCurveBootstrapper.Bootstrap(PriceableOptionAssets);
IsBootstrapSuccessful = true;
InitialiseVolatilities(curveId.BaseDate, BootstrapResults.Results);
//The points use tenor strings for expiry.
var termTenors = new List <String>();
foreach (var daysDifference in VolatilityOffsets)
{
termTenors.Add(daysDifference + "D");
}
volCurve.point = ProcessRawSurface(termTenors, Strike, VolatilityValues, curveId.StrikeQuoteUnits, curveId.UnderlyingAssetReference);
// Interpolate the curve based on the respective curve interpolation
SetInterpolator(volCurve, curveId.Algorithm, curveId.PricingStructureType);
CreatePricingStructure(curveId, volCurve, expiryTenorsWithVols);
}
