Beispiel #1
0
        public static object eqModelGetSABRCalibratedParameters(
            [ExcelArgument(Description = "id of SABR model ")] string ObjectId,
            [ExcelArgument(Description = "trigger ")] object trigger)
        {
            if (ExcelUtil.CallFromWizard())
            {
                return("");
            }

            string callerAddress = "";

            callerAddress = ExcelUtil.getActiveCellAddress();

            try
            {
                Xl.Range          rng    = ExcelUtil.getActiveCellRange();
                SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);

                object[,] ret = new object[6, 2];
                ret[0, 0]     = "alpha:";  ret[0, 1] = option.alpha();
                ret[1, 0]     = "beta:"; ret[1, 1] = option.beta();
                ret[2, 0]     = "nu:"; ret[2, 1] = option.nu();
                ret[3, 0]     = "rho:"; ret[3, 1] = option.rho();
                ret[4, 0]     = "rmsError:"; ret[4, 1] = option.rmsError();
                ret[5, 0]     = "maxError:"; ret[5, 1] = option.maxError();

                return(ret);
            }
            catch (Exception e)
            {
                ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
                return(e.Message);
            }
        }
Beispiel #2
0
        public static object eqModelGetSABRInterpolatedValue(
            [ExcelArgument(Description = "id of SABR model ")] string ObjectId,
            [ExcelArgument(Description = "x value ")] double x)
        {
            if (ExcelUtil.CallFromWizard())
            {
                return("");
            }

            string callerAddress = "";

            callerAddress = ExcelUtil.getActiveCellAddress();

            try
            {
                Xl.Range          rng    = ExcelUtil.getActiveCellRange();
                SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);
                return(option.call(x));
            }
            catch (Exception e)
            {
                ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
                return(e.Message);
            }
        }
Beispiel #3
0
        public static string eqModelSABR(
            [ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
            [ExcelArgument(Description = "ATM forward ")] double forward,
            [ExcelArgument(Description = "expiry (years of fraction ")] double tenor,
            [ExcelArgument(Description = "Strikes ")] double[] strikes,
            [ExcelArgument(Description = "implied vols ")] double[] volatilities,
            [ExcelArgument(Description = "initial parameters ")] double[] initials,
            [ExcelArgument(Description = "is parameters fixed? ")] object[] isfixed,
            [ExcelArgument(Description = "trigger ")] object trigger)
        {
            if (ExcelUtil.CallFromWizard())
            {
                return("");
            }

            string callerAddress = "";

            callerAddress = ExcelUtil.getActiveCellAddress();

            try
            {
                if (strikes.Length != volatilities.Length)
                {
                    throw new Exception("SABR input lengths don't match.");
                }

                if ((initials.Length != 4) || (isfixed.Length != 4))
                {
                    throw new Exception("SABR has four parameters");
                }

                // remove empty volatilities
                int[] idx = volatilities.Select((v, Index) => new { V = v, idx = Index })
                            .Where(x => x.V == 0)
                            .Select(x => x.idx)
                            .ToArray();

                QlArray xx = new QlArray((uint)strikes.Length - (uint)idx.Length);
                QlArray yy = new QlArray((uint)volatilities.Length - (uint)idx.Length);
                for (uint i = 0, j = 0; i < strikes.Length; i++)
                {
                    if (volatilities[i] == 0)       // empty
                    {
                        continue;
                    }
                    xx.set(j, strikes[i]);
                    yy.set(j, volatilities[i]);
                    j++;
                }

                EndCriteria        endcriteria = new EndCriteria(100000, 100, 1e-8, 1e-8, 1e-8);
                OptimizationMethod opmodel     = new Simplex(0.01);
                // alpha: ATM Vol, beta: CEV param, rho: underlying/vol correlation, nu: vol of vol
                SABRInterpolation sabr = new SABRInterpolation(xx, yy, tenor, forward,
                                                               initials[0], initials[1], initials[2], initials[3],
                                                               endcriteria, opmodel,
                                                               (bool)isfixed[0], (bool)isfixed[1], (bool)isfixed[2], (bool)isfixed[3], true);

                double err = 0;
                // only update if there exist free parameters
                if (!((bool)isfixed[0] && (bool)isfixed[1] && (bool)isfixed[2] && (bool)isfixed[3]))
                {
                    err = sabr.update();
                }

                // Store the option and return its id
                string id = "MODEL@" + ObjectId;
                OHRepository.Instance.storeObject(id, sabr, callerAddress);
                id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
                return(id);
            }
            catch (Exception e)
            {
                ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
                return(e.Message);
            }
        }
 internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SABRInterpolation obj)
 {
     return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
 }