public virtual IVolSurface BumpMaturityStrikePoint(int indexMaturity, int indexStrike, double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
//newMatrix[indexStrike, indexMaturity] += volChange; // note axis1 and 2 are corresponding to matrix dimension 2 and 1 respectively.
newMatrix[indexMaturity, indexStrike] += volChange;
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}
public virtual IVolSurface BumpMaturitySlice(int index, double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
for (var i = 0; i < ColGrid.Length; i++)
{
//newMatrix[i, index] += volChange; // note axis1 and 2 are corresponding to matrix dimension 2 and 1 respectively.
newMatrix[index, i] += volChange;
}
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}
public virtual IVolSurface BumpVolSurf(double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
for (var i = 0; i < RowGrid.Length; ++i)
{
for (var j = 0; j < ColGrid.Length; ++j)
{
newMatrix[i, j] += volChange;
}
}
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}
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();
}
