/// <summary>
/// Master function used to validate all constructor arguments.
/// </summary>
/// /// <param name="atmBootstrapEngine">An existing At-the-Money (ATM)
/// Caplet bootstrap engine.
/// </param>
/// <param name="smileSettings">An existing Smile settings
/// object that will be used in the calibration of the Caplet smile.
/// </param>
/// <param name="fixedStrikeBootstrapEngines">List of existing fixed
/// strike Caplet bootstrap engines.
/// when applied to each Caplet bootstrap engine in the list.</param>
/// <param name="handle">Unique name that will identify the object
/// that will be instantiated.</param>
private static void ValidateConstructorArguments
(VolatilityCurve atmBootstrapEngine,
SmileCalibrationSettings smileSettings,
ICollection <VolatilityCurve> fixedStrikeBootstrapEngines,
string handle)
{
ValidateATMBootstrapEngine(atmBootstrapEngine);
ValidateSmileSettings(smileSettings);
ValidateFixedStrikeBootstrapEngines(fixedStrikeBootstrapEngines);
ValidateHandle(handle);
}
/// <summary>
/// Helper function used by the master function that validates all
/// constructor arguments.
/// Exception: ArgumentNullException.
/// </summary>
/// <param name="smileSettings">An existing Smile settings
/// object that will be used in the calibration of the Caplet smile.
/// </param>
private static void ValidateSmileSettings
(SmileCalibrationSettings smileSettings)
{
if (!smileSettings.Equals(null))
{
}
else
{
// Null object found.
const string errorMessage =
"Null settings object found in Caplet smile calibration";
throw new ArgumentException("capletSmileSettings", errorMessage);
}
}
/// <summary>
/// Constructor for the class <see cref="CapletSmileCalibrationEngine"/>
/// </summary>
/// <param name="atmBootstrapEngine">An existing At-the-Money (ATM)
/// Caplet bootstrap engine.
/// Precondition: Method IsCapletBootstrapSuccessful returns true.
/// </param>
/// <param name="capletSmileSettings">An existing Caplet Smile settings
/// object that will be used in the calibration of the Caplet smile.
/// </param>
/// <param name="fixedStrikeBootstrapEngines">List of existing fixed
/// strike Caplet bootstrap engines.
/// Precondition: Method IsCapletBootstrapSuccessful returns true
/// when applied to each Caplet bootstrap engine in the list.</param>
/// <param name="handle">Unique name that will identify the object
/// that will be instantiated.
/// Precondition: Non empty string.</param>
public SmileCalibrationEngine
(VolatilityCurve atmBootstrapEngine,
SmileCalibrationSettings capletSmileSettings,
List <VolatilityCurve> fixedStrikeBootstrapEngines,
string handle)
{
ValidateConstructorArguments
(atmBootstrapEngine,
capletSmileSettings,
fixedStrikeBootstrapEngines,
handle);
InitialisePrivateFields
(atmBootstrapEngine,
capletSmileSettings,
fixedStrikeBootstrapEngines,
handle);
}
/// <summary>
/// Master function used to initialise all private fields.
/// </summary>
/// <param name="atmBootstrapEngine">An existing At-the-Money (ATM)
/// Caplet bootstrap engine.</param>
/// <param name="capletSmileSettings">An existing Caplet Smile settings
/// object that will be used in the calibration of the Caplet smile.
/// </param>
/// <param name="fixedStrikeBootstrapEngines">List of existing fixed
/// strike Caplet bootstrap engines.</param>
/// <param name="handle">Unique name that will identify the object
/// that will be instantiated.</param>
private void InitialisePrivateFields
(VolatilityCurve atmBootstrapEngine,
SmileCalibrationSettings capletSmileSettings,
List <VolatilityCurve> fixedStrikeBootstrapEngines,
string handle)
{
_atmBootstrapEngine = atmBootstrapEngine;
_smileSettings = capletSmileSettings;
_fixedStrikeBootstrapEngines = fixedStrikeBootstrapEngines;
Handle = handle;
InitialiseSABRSettings();
// Initialise the remaining private fields to an appropriate
// default.
_assetPrice = -1.0m;
_excerciseTime = -1.0m;
_sabrEngine = null;
_sabrStrikes = null;
_sabrVolatilities = null;
}
/// <summary>
/// Create a settings object to use with SABR Calibration
/// </summary>
/// <param name="settingsHandle">The settings engine</param>
/// <param name="beta">The beta value</param>
/// <param name="interpolationType">Interpolation type to use</param>
/// <returns></returns>
public string SABRCalibrationSettings(string settingsHandle, decimal beta, string interpolationType)
{
// Extract the correct interpolation type from the parameter
var volatilityInterpolation = ExpiryInterpolationType.CubicHermiteSpline;
if (!string.IsNullOrEmpty(interpolationType))
{
var found = false;
var interps = Enum.GetValues(typeof(ExpiryInterpolationType));
foreach (ExpiryInterpolationType interpType in interps)
{
if (interpType.ToString() != interpolationType)
{
continue;
}
volatilityInterpolation = interpType;
found = true;
break;
}
if (!found)
{
throw new ArgumentException(string.Format(CultureInfo.CurrentCulture, "Unknown interpolation method {0} specified.", new object[] { interpolationType }));
}
}
// Create a new Caplet Smile Calibration Settings object and store it
var settings = new SmileCalibrationSettings(beta, volatilityInterpolation, settingsHandle);
if (_sabrSettings.ContainsKey(settingsHandle))
{
_sabrSettings[settingsHandle] = settings;
}
else
{
_sabrSettings.Add(settingsHandle, settings);
}
return(settingsHandle);
}
