/// <summary>
/// Get the SABR Calibration engine parameter for the provided options
/// The exercise/tenor pair form the key to the correct calibration engine
/// from an underlying store.
/// </summary>
/// <param name="param">The parameter type to return</param>
/// <param name="engineHandle">The engine to use</param>
/// <returns></returns>
public decimal GetSABRParameter(CalibrationParameter param, string engineHandle)
{
SmileCalibrationEngine smileEngine;
if (_sabrEngines.ContainsKey(engineHandle))
{
smileEngine = _sabrEngines[engineHandle];
}
else
{
throw new ArgumentException("SABR Smile Calibration engine not found.");
}
var calibrationEngine = smileEngine.SABRCalibrationEngine;
SABRParameters parameters = calibrationEngine.GetSABRParameters;
switch (param)
{
case CalibrationParameter.Alpha:
return(parameters.Alpha);
case CalibrationParameter.Beta:
return(parameters.Beta);
case CalibrationParameter.Nu:
return(parameters.Nu);
case CalibrationParameter.Rho:
return(parameters.Rho);
default:
throw new ArgumentException("Unknown Calibration Parameter request");
}
}
private void Load()
{
int noOfParameters;
using (StreamReader sr = new StreamReader(FileName))
{
Upper.AppendLine(sr.ReadLine());
Upper.AppendLine(sr.ReadLine());
Upper.AppendLine(sr.ReadLine());
string s = sr.ReadLine();
Upper.AppendLine(s);
noOfParameters = int.Parse(s.Trim().Split(new string[] { " " }, StringSplitOptions.RemoveEmptyEntries)[0]);
while ((s = sr.ReadLine())!="* parameter data")
Upper.AppendLine(s);
Upper.AppendLine(s);
for (int i = 0; i < noOfParameters; i++)
{
string[] splitted = sr.ReadLine().Split(new string[] { "\t" }, StringSplitOptions.None);
CalibrationParameter cp = new CalibrationParameter();
cp.ShortName = splitted[0];
ParameterType p;
if (Enum.TryParse<ParameterType>(splitted[1], true, out p ))
cp.ParType = p;
cp.ParChgLim = splitted[2];
cp.CurrentValue = double.Parse(splitted[3]);
cp.MinValue = double.Parse(splitted[4]);
cp.MaxValue = double.Parse(splitted[5]);
var g = Groups.FirstOrDefault(var => var.Name.ToLower() == splitted[6].ToLower());
if (g == null)
{
g = new ParameterGroup();
g.Name = splitted[6];
Groups.Add(g);
}
cp.Group = g;
cp.Scale = double.Parse(splitted[7]);
cp.Offset = double.Parse(splitted[8]);
cp.Dercom = double.Parse(splitted[9]);
Parameters.Add(cp);
}
for (int i=0;i< Parameters.Count(var=>var.ParType == ParameterType.tied);i++)
{
string[] splitted = sr.ReadLine().Split(new string[] { " ","\t" }, StringSplitOptions.None);
var cp = Parameters.Single(var => var.ShortName == splitted[0]);
cp.TiedTo = Parameters.Single(var => var.ShortName == splitted[1]);
}
Lower.Append(sr.ReadToEnd());
}
}
public CalibrationParameterViewModel(CalibrationParameter CP)
{
cp = CP;
DisplayName = cp.ShortName;
//Default boundaries one order of magnitude to each side
MaxValue = Math.Pow(10, Math.Round(Math.Log10(CurrentValue)) + 1);
MinValue = Math.Pow(10, Math.Round(Math.Log10(CurrentValue)) - 1);
//statDistribution = new LogNormal(CurrentValue, CurrentValue / 10);
}
/// <summary>
/// 页面切换事件
/// </summary>
/// <param name="sender"></param>
/// <param name="e"></param>
private void xtraTabControl1_SelectedPageChanged(object sender, DevExpress.XtraTab.TabPageChangedEventArgs e)
{
if (xtraTabControl1.SelectedTabPageIndex == 0)
{
xtraTabPage2.Controls.Clear();
//xtraTabPage3.Controls.Clear();
if (projectParameter == null)
{
projectParameter = new ProjectParameter();
projectParameter.AssayProInfoEvent += AssayProInfo_Event;
}
projectParameter.ProjectParameter_Load(null, null);
xtraTabPage1.Controls.Add(projectParameter);
}
else if (xtraTabControl1.SelectedTabPageIndex == 1)
{
xtraTabPage1.Controls.Clear();
//xtraTabPage3.Controls.Clear();
if (calibrationParameter == null)
{
calibrationParameter = new CalibrationParameter();
calibrationParameter.AssayProInfoForCalibParamEvent += AssayProInfo_Event;
}
if (lstAssayProInfos.Count != 0)
{
calibrationParameter.ListAssayprojectInfos = lstAssayProInfos;
}
calibrationParameter.CalibrationParameter_Load(null, null);
xtraTabPage2.Controls.Add(calibrationParameter);
}
//else if (xtraTabControl1.SelectedTabPageIndex == 2)
//{
// xtraTabPage1.Controls.Clear();
// xtraTabPage2.Controls.Clear();
// if (rangeParameter == null)
// {
// rangeParameter = new RangeParameter();
// rangeParameter.AssayProInfoForRangeParamEvent += AssayProInfo_Event;
// }
// if (lstAssayProInfos.Count != 0)
// {
// rangeParameter.ListAssayprojectInfos = lstAssayProInfos;
// }
// xtraTabPage3.Controls.Add(rangeParameter);
//}
}
public void Load(string FileName)
{
this.FileName = FileName;
using (StreamReader sr = new StreamReader(FileName))
{
sr.ReadLine();
int noofsamples = int.Parse(sr.ReadLine().Trim());
int noofpars = int.Parse(sr.ReadLine().Trim());
sr.ReadLine();
List<double[]> data = new List<double[]>();
for (int i = 0; i < noofpars; i++)
{
data.Add(new double[noofsamples]);
}
for (int i = 0; i < noofsamples; i++)
{
var splits = sr.ReadLine().Split(new string[] { "\t" }, StringSplitOptions.None);
for (int j = 0; j < noofpars; j++)
data[j][i] = double.Parse(splits[j]);
}
int k = 0;
while (!sr.EndOfStream && sr.ReadLine().ToLower() != "Default Truncations:".ToLower()) ;
if (!sr.EndOfStream)
{
sr.ReadLine();
sr.ReadLine();
sr.ReadLine();
for (int i = 0; i < noofpars; i++)
{
sr.ReadLine();
CalibrationParameter par = new CalibrationParameter();
par.ShortName = sr.ReadLine().Trim();
Samples.Add(par, data[i]);
sr.ReadLine();
sr.ReadLine();
sr.ReadLine();
}
}
}
}
/// <summary>
/// Get the SABR Calibration engine parameter for the provided options
/// The exercise/tenor pair form the key to the correct calibration engine
/// from an underlying store.
/// </summary>
/// <param name="param">The parameter type to return</param>
/// <param name="engine">The engine to use</param>
/// <param name="pExercise">The exercise (option expiry) part of the key</param>
/// <param name="pTenor">The tenor (asset code) part of the key</param>
/// <returns></returns>
public decimal GetSABRParameter(CalibrationParameter param, string engine, string pExercise, string pTenor)
{
string exercise = SABRHelper.GenerateTenorLabel(pExercise);
string tenor = SABRHelper.GenerateTenorLabel(pTenor);
if (!_sabrEngines.ContainsKey(engine))
{
throw new ArgumentException("Calibration Engine " + engine + " not found.");
}
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(exercise, tenor);
if (!sabrEngines.ContainsKey(key))
{
throw new ArgumentException("The Calibration Engine with Key(" + exercise + "," + tenor + ") not found.");
}
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
SABRParameters parameters = calibrationEngine.GetSABRParameters;
switch (param)
{
case CalibrationParameter.Alpha:
return(parameters.Alpha);
case CalibrationParameter.Beta:
return(parameters.Beta);
case CalibrationParameter.Nu:
return(parameters.Nu);
case CalibrationParameter.Rho:
return(parameters.Rho);
default:
throw new ArgumentException("Unknown Calibration Parameter request");
}
}
