/// <summary>
/// Get a point from the implied vol surface
/// </summary>
/// <param name="t">date in double</param>
/// <param name="k">strike</param>
/// <returns></returns>
public double GetValue(double t, double k)
{
//check if the point is out of range
var axisX1InDouble = RowGrid.Select(item => _dayCount.CalcDayCountFraction(ValuationDate, item)).ToList();
if (t < axisX1InDouble.Min() || t > axisX1InDouble.Max() || k < ColGrid.Min() || k > ColGrid.Max())
{
throw new PricingLibraryException(String.Format("Date - strike pair ({0},{1}) is out of range. Extrapolation is not implemented yet", t, k));
}
//find the two indices which on the two sides of the input date. If cannot find in the for loop, then i = 0 automatically.
int i = 0;
for (int j = 0; j < axisX1InDouble.Count - 1; j++)
{
if ((axisX1InDouble[j] < t) && (t <= axisX1InDouble[j + 1]))
{
i = j;
}
}
// get the left and right value of the sabr interpolated vol with the same strike s
var leftValue = SABRVolFineTune(
OptimizerResults[i].BestAlpha,
OptimizerResults[i].BestBeta,
OptimizerResults[i].BestRho,
OptimizerResults[i].BestNu,
_spotPrice,
k,
OptimizerResults[i].Maturity,
_useFineTune);
var rightValue = SABRVolFineTune(
OptimizerResults[i + 1].BestAlpha,
OptimizerResults[i + 1].BestBeta,
OptimizerResults[i + 1].BestRho,
OptimizerResults[i + 1].BestNu,
_spotPrice,
k,
OptimizerResults[i + 1].Maturity,
_useFineTune);
var w = Weight((OptimizerResults[i + 1].Maturity - t) / (OptimizerResults[i + 1].Maturity - OptimizerResults[i].Maturity));
return(w * leftValue + (1 - w) * rightValue);
}
protected void BuildRowBtn_Click(object sender, EventArgs e)
{
Built = true;
abstractionGrid.Visible = abstractionResults.Visible = false;
directNone.Visible = direct.Visible = directGrid.Visible = false;
indirectNone.Visible = indirectGrid.Visible = indirect.Visible = false;
ColumnGrid.Visible = ColumnResults.Visible = false;
RowGrid.Visible = RowResults.Visible = true;
using (VirusDescriptionActions usersVirus = new VirusDescriptionActions())
{
List <Matrix_Cell> rowTrue = new List <Matrix_Cell>();
List <Trojan.Models.Attribute> results = new List <Trojan.Models.Attribute>();
Trojan.Models.Attribute temp = new Trojan.Models.Attribute();
String virusId = usersVirus.GetVirusId();
VirusDescriptionActions.VirusDescriptionUpdates[] currentBuild = new VirusDescriptionActions.VirusDescriptionUpdates[DescriptionList.Rows.Count];
for (int i = 0; i < DescriptionList.Rows.Count; i++)
{
IOrderedDictionary rowValues = new OrderedDictionary();
rowValues = GetValues(DescriptionList.Rows[i]);
currentBuild[i].AttributeId = Convert.ToInt32(rowValues["AttributeID"]);
if (usersVirus.Get_OnOff(virusId, currentBuild[i].AttributeId))
{
rowTrue = scanRowTrue(currentBuild[i].AttributeId, null);
foreach (Matrix_Cell A in rowTrue)
{
temp = getAttribute(A.ColumnId);
if (!results.Contains(temp))
{
results.Add(temp);
}
temp = null;
}
}
}
RowGrid.DataSource = results;
RowGrid.DataBind();
}
}
private void Calibrate(double spotPrice, IYieldCurve yieldCurve, bool estimateAlpha, bool useFineTune,
double initAlpha, double initBeta, double initNu, double initRho)
{
// set ATM vols
var tempCurve2D = new Curve2D <Date, double>(RowGrid, ColGrid, ValueOnGrids, x => x.ToOADate(), x => x,
Interpolation2D.BiLinear);
var atmVols = RowGrid.Select(d => tempCurve2D.GetValue(d, spotPrice)).ToList();
_spotPrice = spotPrice;
_yieldCurve = yieldCurve;
_useFineTune = useFineTune;
_estimateAlpha = estimateAlpha;
OptimizerResults = Enumerable.Range(0, RowGrid.Count())
.Select(i =>
{
var t = _dayCount.CalcDayCountFraction(ValuationDate, RowGrid[i]);
var fowardPrice = _spotPrice / _yieldCurve.GetDf(ValuationDate, RowGrid[i]);
//var optimizer = new SABRCoeffOptimizer(t, fowardPrice, atmVols[i], AxisX2, Matrix.GetColumn(i), estimateAlpha, useFineTune, initAlpha, initBeta, initNu, initRho);
var optimizer = new SabrCoeffOptimizer(t, fowardPrice, atmVols[i], ColGrid, ValueOnGrids.GetRow(i), estimateAlpha, useFineTune, initAlpha, initBeta, initNu, initRho);
return(optimizer.Result);
})
.ToList();
}
public override double MinX()
{
return(RowGrid.Select(item => _dayCount.CalcDayCountFraction(ValuationDate, item)).ToList().Min());
}
private void UserDataEditor_FormClosing(object sender, FormClosingEventArgs e)
{
string name, command;
if (AnnotationTable && Modified)
{ // see if want to save changes to annotation table
name = Uo.Name;
if (name == "")
{
name = "this new annotation table";
}
DialogResult dr = MessageBoxMx.Show(
"Do you want to save the changes to " + name + "?",
UmlautMobius.String, MessageBoxButtons.YesNoCancel, MessageBoxIcon.Warning);
if (dr == DialogResult.Yes) // yes try to save them
{
if (!IsValidDefinition())
{
return;
}
if (!SaveAnnotationTableDialog()) // save cancelled
{
e.Cancel = true;
return;
}
}
else if (dr == DialogResult.Cancel) // cancel the close
{
e.Cancel = true;
return;
}
else
{
} // must be DialogResult.No, fall through to hide form without saving
}
else if (UserDatabase && Modified)
{ // see if want to save changes to user database
name = Uo.Name;
if (name == "")
{
name = "this new user compound database";
}
DialogResult dr = MessageBoxMx.Show(
"Do you want to save the changes to " + name + "?",
UmlautMobius.String, MessageBoxButtons.YesNoCancel, MessageBoxIcon.Warning);
if (dr == DialogResult.Yes) // yes try to save them
{
if (!SaveDatabaseDialog()) // save cancelled
{
e.Cancel = true;
return;
}
}
else if (dr == DialogResult.Cancel) // cancel the close
{
e.Cancel = true;
return;
}
else
{
} // must be DialogResult.No, fall through to hide form without saving
}
if (RowGrid != null && DataFormatterOpen)
{
RowGrid.StopGridDisplay(); // close display of any molecule grid
}
//if (UserDatabase && Saved && // need to start process to update model data?
// Udb.PendingStatus == UcdbWaitState.ModelPredictions && !Udbs.UpdateIsRunning(Udb.DatabaseId))
//{
// command = "UpdateUcdbModelResults Pending " + Udb.DatabaseId;
// CommandLine.StartBackgroundSession(command);
//}
return;
}
