public ICube ToCube()
{
var cube = new ResultCube();
var dataTypes = new Dictionary <string, Type>
{
{ "PointDate", typeof(DateTime) },
{ "PointType", typeof(string) },
{ "QuoteType", typeof(string) },
{ "PointDelta", typeof(double) },
};
cube.Initialize(dataTypes);
for (var i = 0; i < Expiries.Length; i++)
{
var rowF = new Dictionary <string, object>
{
{ "PointDate", Expiries[i] },
{ "PointType", "Forward" },
{ "QuoteType", string.Empty },
{ "PointDelta", 0.5 },
};
cube.AddRow(rowF, Forwards[i]);
var rowA = new Dictionary <string, object>
{
{ "PointDate", Expiries[i] },
{ "PointType", "ATM" },
{ "QuoteType", AtmVolType.ToString() },
{ "PointDelta", 0.5 },
};
cube.AddRow(rowA, ATMs[i]);
for (var j = 0; j < WingDeltas.Length; j++)
{
var rowRR = new Dictionary <string, object>
{
{ "PointDate", Expiries[i] },
{ "PointType", "RR" },
{ "QuoteType", WingQuoteType.ToString() },
{ "PointDelta", WingDeltas[j] },
};
cube.AddRow(rowRR, Riskies[i][j]);
var rowBF = new Dictionary <string, object>
{
{ "PointDate", Expiries[i] },
{ "PointType", "BF" },
{ "QuoteType", WingQuoteType.ToString() },
{ "PointDelta", WingDeltas[j] },
};
cube.AddRow(rowBF, Flies[i][j]);
}
}
return(cube);
}
public SVIVolSurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
Interpolator1DType timeInterpType, SviType sviType = SviType.Raw, string[] pillarLabels = null) : base()
{
if (pillarLabels == null)
{
PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
}
else
{
PillarLabels = pillarLabels;
}
if (ATMVols.Length != expiries.Length || expiries.Length != riskies.Length || riskies.Length != flies.Length)
{
throw new Exception("Inputs do not have consistent time dimensions");
}
if (wingDeltas.Length != riskies[0].Length || riskies[0].Length != flies[0].Length)
{
throw new Exception("Inputs do not have consistent strike dimensions");
}
var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
{
ATMVolType = atmVolType,
MarketVol = a
}).ToArray();
var needsFlip = wingDeltas.First() > wingDeltas.Last();
var strikes = new double[2 * wingDeltas.Length + 1];
if (needsFlip)
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
}
}
else
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[s];
}
}
strikes[wingDeltas.Length] = 0.5;
var wingConstraints = new RRBFConstraint[expiries.Length][];
RawParams = new SviRawParameters[expiries.Length];
var f = new AssetSmileSolver();
if (needsFlip)
{
for (var i = 0; i < wingConstraints.Length; i++)
{
var offset = wingDeltas.Length - 1;
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[offset - j],
FlyVol = flies[i][offset - j],
RisykVol = riskies[i][offset - j],
WingQuoteType = wingQuoteType,
};
}
RawParams[i] = f.SolveSviRaw(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], true);
}
}
else
{
for (var i = 0; i < wingConstraints.Length; i++)
{
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[j],
FlyVol = flies[i][j],
RisykVol = riskies[i][j],
WingQuoteType = wingQuoteType,
};
}
RawParams[i] = f.SolveSviRaw(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], true);
}
}
OriginDate = originDate;
TimeInterpolatorType = timeInterpType;
Expiries = expiries;
ExpiriesDouble = expiries.Select(x => originDate.CalculateYearFraction(x, TimeBasis)).ToArray();
_interps = new IInterpolator1D[5];
_interps[0] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.A).ToArray(), TimeInterpolatorType);
_interps[1] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.B).ToArray(), TimeInterpolatorType);
_interps[2] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.M).ToArray(), TimeInterpolatorType);
_interps[3] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.Rho).ToArray(), TimeInterpolatorType);
_interps[4] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.Sigma).ToArray(), TimeInterpolatorType);
_fwdsInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, fwds, Interpolator1DType.Linear);
}
public RiskyFlySurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
Interpolator1DType strikeInterpType, Interpolator1DType timeInterpType, string[] pillarLabels = null)
{
if (pillarLabels == null)
{
PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
}
else
{
PillarLabels = pillarLabels;
}
if (ATMVols.Length != expiries.Length || expiries.Length != riskies.Length || riskies.Length != flies.Length)
{
throw new Exception("Inputs do not have consistent time dimensions");
}
if (wingDeltas.Length != riskies[0].Length || riskies[0].Length != flies[0].Length)
{
throw new Exception("Inputs do not have consistent strike dimensions");
}
var strikes = new double[2 * wingDeltas.Length + 1];
var vols = new double[expiries.Length][];
if (riskies.SelectMany(x => x).All(x => x == 0) && flies.SelectMany(x => x).All(x => x == 0))
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
}
for (var t = 0; t < expiries.Length; t++)
{
vols[t] = Enumerable.Repeat(ATMVols[t], strikes.Length).ToArray();
}
}
else
{
var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
{
ATMVolType = atmVolType,
MarketVol = a
}).ToArray();
var needsFlip = wingDeltas.First() > wingDeltas.Last();
if (needsFlip)
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
}
}
else
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[s];
}
}
strikes[wingDeltas.Length] = 0.5;
var wingConstraints = new RRBFConstraint[expiries.Length][];
var f = new AssetSmileSolver();
if (needsFlip)
{
for (var i = 0; i < wingConstraints.Length; i++)
{
var offset = wingDeltas.Length - 1;
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[offset - j],
FlyVol = flies[i][offset - j],
RisykVol = riskies[i][offset - j],
WingQuoteType = wingQuoteType,
};
}
vols[i] = f.Solve(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], strikes, strikeInterpType);
}
}
else
{
for (var i = 0; i < wingConstraints.Length; i++)
{
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[j],
FlyVol = flies[i][j],
RisykVol = riskies[i][j],
WingQuoteType = wingQuoteType,
};
}
vols[i] = f.Solve(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], strikes, strikeInterpType);
}
}
}
StrikeInterpolatorType = strikeInterpType;
TimeInterpolatorType = timeInterpType;
Expiries = expiries;
ExpiriesDouble = expiries.Select(x => x.ToOADate()).ToArray();
Strikes = strikes;
StrikeType = StrikeType.ForwardDelta;
ATMs = ATMVols;
Riskies = riskies;
Flies = flies;
WingDeltas = wingDeltas;
Forwards = fwds;
WingQuoteType = wingQuoteType;
AtmVolType = atmVolType;
base.Build(originDate, strikes, expiries, vols);
}
public SabrVolSurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
Interpolator1DType timeInterpType, string[] pillarLabels = null)
{
if (pillarLabels == null)
{
PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
}
else
{
PillarLabels = pillarLabels;
}
if (ATMVols.Length != expiries.Length || expiries.Length != riskies.Length || riskies.Length != flies.Length)
{
throw new Exception("Inputs do not have consistent time dimensions");
}
if (wingDeltas.Length != riskies[0].Length || riskies[0].Length != flies[0].Length)
{
throw new Exception("Inputs do not have consistent strike dimensions");
}
var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
{
ATMVolType = atmVolType,
MarketVol = a
}).ToArray();
var needsFlip = wingDeltas.First() > wingDeltas.Last();
var strikes = new double[2 * wingDeltas.Length + 1];
if (needsFlip)
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
}
}
else
{
for (var s = 0; s < wingDeltas.Length; s++)
{
strikes[s] = wingDeltas[s];
strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[s];
}
}
strikes[wingDeltas.Length] = 0.5;
var wingConstraints = new RRBFConstraint[expiries.Length][];
var parameters = new SABRParameters[expiries.Length];
var f = new AssetSmileSolver();
if (needsFlip)
{
for (var i = 0; i < wingConstraints.Length; i++)
{
var offset = wingDeltas.Length - 1;
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[offset - j],
FlyVol = flies[i][offset - j],
RisykVol = riskies[i][offset - j],
WingQuoteType = wingQuoteType,
};
}
parameters[i] = f.SolveSABR(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], 1.0);
}
}
else
{
for (var i = 0; i < wingConstraints.Length; i++)
{
wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
for (var j = 0; j < wingConstraints[i].Length; j++)
{
wingConstraints[i][j] = new RRBFConstraint
{
Delta = wingDeltas[j],
FlyVol = flies[i][j],
RisykVol = riskies[i][j],
WingQuoteType = wingQuoteType,
};
}
parameters[i] = f.SolveSABR(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], 1.0);
}
}
OriginDate = originDate;
TimeInterpolatorType = timeInterpType;
Expiries = expiries;
ExpiriesDouble = expiries.Select(x => originDate.CalculateYearFraction(x, TimeBasis)).ToArray();
Alphas = parameters.Select(x => x.Alpha).ToArray();
Betas = parameters.Select(x => x.Beta).ToArray();
Nus = parameters.Select(x => x.Nu).ToArray();
Rhos = parameters.Select(x => x.Rho).ToArray();
_alphaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Alphas, TimeInterpolatorType);
_betaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Betas, TimeInterpolatorType);
_rhoInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Rhos, TimeInterpolatorType);
_nuInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Nus, TimeInterpolatorType);
_fwdsInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, fwds, TimeInterpolatorType);
}
