/// <summary>
/// Helper function used by the master function that validates all
/// constructor arguments.
/// Exceptions: ArgumentNullException, ArgumentException.
/// </summary>
/// <param name="atmBootstrapEngine">An existing At-the-Money (ATM)
/// Caplet bootstrap engine.
/// </param>
private static void ValidateATMBootstrapEngine
(CapVolatilityCurve atmBootstrapEngine)
{
// Check for a correct engine type.
if (atmBootstrapEngine.Equals(null) ||
!atmBootstrapEngine.IsATMBootstrap)
{
// Invalid engine type.
const string errorMessage =
"Invalid engine passed as an ATM Caplet Bootstrap engine";
throw new ArgumentException
(errorMessage, nameof(atmBootstrapEngine));
}
// Check that the Caplet Bootstrap engine is in a calibrated state.
if (atmBootstrapEngine.IsBootstrapSuccessful)
{
}
else
{
// Engine is not in a calibrated state.
const string errorMessage =
"ATM Caplet Bootstrap engine is not calibrated";
throw new ArgumentException
(errorMessage, nameof(atmBootstrapEngine));
}
}
/// <summary>
/// Constructor for <see cref="CapletExpiryInterpolatedVolatility"/>
/// class.
/// </summary>
/// <param name="capletBootstrapEngine">The Caplet Bootstrap Engine
/// that contains the results of the bootstrap.
/// Precondition: IsCapletBootstrapSuccessful method applied to the
/// Caplet bootstrap engine returns "true".</param>
/// <param name="expiryInterpolationType">Type of one dimensional
/// interpolation that will be applied to the expiry.</param>
public CapletExpiryInterpolatedVolatility
(CapVolatilityCurve capletBootstrapEngine,
ExpiryInterpolationType expiryInterpolationType)
{
ValidateConstructorArguments(capletBootstrapEngine);
InitialisePrivateFields
(capletBootstrapEngine, expiryInterpolationType);
}
/// <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="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.
/// 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
(CapVolatilityCurve atmBootstrapEngine,
CapletSmileCalibrationSettings capletSmileSettings,
ICollection <CapVolatilityCurve> fixedStrikeBootstrapEngines,
string handle)
{
ValidateATMBootstrapEngine(atmBootstrapEngine);
ValidateCapletSmileSettings(capletSmileSettings);
ValidateFixedStrikeBootstrapEngines(fixedStrikeBootstrapEngines);
ValidateHandle(handle);
}
/// <summary>
/// Helper function used to initialise the private fields.
/// </summary>
/// <param name="capletCurve">The Caplet Bootstrap engine
/// that contains the results of the bootstrap.</param>
/// <param name="expiryInterpolationType">Type of the expiry
/// interpolation.
/// Example: Linear interpolation.</param>
private void InitialisePrivateFields
(CapVolatilityCurve capletCurve,
ExpiryInterpolationType expiryInterpolationType)
{
// Initialise the Calculation Date.
_calculationDate =
capletCurve.GetBaseDate();
// Set the x and y arrays for the one dimensional interpolation.
var results
= capletCurve.BootstrapResults.Results;
IDayCounter dayCountObj = Actual365.Instance;
var tempXArray = new List <double>();
var tempYArray = new List <double>();
var count = 1;
foreach (var expiry in results.Keys)
{
var timeToExpiry = dayCountObj.YearFraction
(_calculationDate, expiry);
tempXArray.Add(timeToExpiry);
tempYArray.Add(decimal.ToDouble(results[expiry]));
// Record the first and last time to expiry and available
// bootstrap Caplet volatility.
if (count == 1)
{
_firstExpiry = (decimal)timeToExpiry;
_firstCapletVolatility = results[expiry];
}
_lastCapletVolatility = results[expiry];
_lastExpiry = (decimal)timeToExpiry;
++count;
}
double[] xArray = tempXArray.ToArray();
double[] yArray = tempYArray.ToArray();
// Initialise the one dimensional interpolation object.
switch (expiryInterpolationType)
{
case ExpiryInterpolationType.CubicHermiteSpline:
_expiryInterpolationObj =
new CubicHermiteSplineInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
default: // Linear interpolation
_expiryInterpolationObj = new LinearInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
}
}
/// <summary>
/// Create a Sorted list of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, CapVolatilityCurve> CreateCurves(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, IRateCurve discountCurve, IRateCurve forecastCurve, String[] instruments,
Decimal[] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, rawVolatilityGrid, null);
var engines = new SortedList <decimal, CapVolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = new CapVolatilityCurve(logger, cache, nameSpace, clonedProperties, quotedAssetSet, discountCurve, forecastCurve, null, null);
// Add engine
engines.Add(0, engine);
return(engines);
}
/// <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 CapletSmileCalibrationEngine
(CapVolatilityCurve atmBootstrapEngine,
CapletSmileCalibrationSettings capletSmileSettings,
List <CapVolatilityCurve> 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
(CapVolatilityCurve atmBootstrapEngine,
CapletSmileCalibrationSettings capletSmileSettings,
List <CapVolatilityCurve> fixedStrikeBootstrapEngines,
string handle)
{
_atmBootstrapEngine = atmBootstrapEngine;
_capletSmileSettings = 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>
/// Helper function used to validate the arguments to the constructor.
/// Exception: ArgumentException.
/// </summary>
/// <param name="capletCurve">The Caplet bootstrap engine
/// that contains the results of the bootstrap.
/// Precondition: IsCapletBootstrapSuccessful method applied to the
/// Caplet bootstrap engine returns "true".</param>
private static void ValidateConstructorArguments
(CapVolatilityCurve capletCurve)
{
// Check for a valid Caplet Bootstrap Engine.
if (capletCurve == null)
{
const string errorMessage =
"Caplet expiry interpolation found a NULL calibration engine";
throw new ArgumentException(errorMessage);
}
if (capletCurve.IsBootstrapSuccessful)
{
}
else
{
const string errorMessage =
"Caplet expiry interpolation requires a successful bootstrap";
throw new ArgumentException(errorMessage);
}
}
/// <summary>
/// Create a Sorted list of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="forecastCurve">The forecast rate curve.</param>
/// <param name="discountCurve">The discount rate curve.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="strikes">The strike array.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, CapVolatilityCurve> CreateCurves(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, IRateCurve discountCurve, IRateCurve forecastCurve, String[] instruments,
Decimal[] strikes, Decimal[,] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Check there are valid strikes
if (strikes != null && rawVolatilityGrid != null)
{
//The matrix is zero based, but the upper bound returns the last column index.
var volColumns = rawVolatilityGrid.GetUpperBound(1) + 1;
var columns = Math.Min(strikes.Length, volColumns);
var engines = new SortedList <decimal, CapVolatilityCurve>();
// Loop through the strikes to create each new engine
for (var i = 0; i < columns; i++)
{
decimal[] adjustedRates = GenerateVolatilityMatrix(instruments, i, rawVolatilityGrid);
clonedProperties.Set("Strike", strikes[i]);
clonedProperties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, adjustedRates, null);
var engine = new CapVolatilityCurve(logger, cache, nameSpace, clonedProperties, quotedAssetSet, discountCurve, forecastCurve, null, null);
// Add engine
engines.Add(strikes[i], engine);
}
return(engines);
}
{
var engines = new SortedList <decimal, CapVolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties,
instruments, null, null) as CapVolatilityCurve;
// Add engine
engines.Add(0, engine);
return(engines);
}
}
/// <summary>
/// Create a Sortedlist of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace"></param>
/// <param name="engineHandle">The engine collection name</param>
/// <param name="matrix">The internal data structure used in conversion</param>
/// <param name="properties">The properties object to use</param>
/// <returns></returns>
private static SortedList <decimal, CapVolatilityCurve> CreateEngines(ILogger logger, ICoreCache cache,
string nameSpace, string engineHandle, CapFloorVolatilityMatrix matrix, NamedValueSet properties)
{
var engines = new SortedList <decimal, CapVolatilityCurve>();
// Check there is a valid settings object
if (properties == null)
{
return(null);
}
var currency = properties.GetString("Currency", true);
var baseDate = properties.GetValue("Calculation Date", DateTime.MinValue);
properties.Set("EngineHandle", engineHandle);
matrix.ValuationDate = baseDate;
var valuationDate = properties.GetValue("ValuationDate", DateTime.MinValue);
if (valuationDate == DateTime.MinValue)
{
properties.Set("ValuationDate", baseDate);
}
properties.Set("PricingStructureType", PricingStructureTypeEnum.CapVolatilityCurve.ToString());
var strikeQuoteUnits = properties.GetString("StrikeQuoteUnits", null);
if (strikeQuoteUnits == null)
{
properties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.ATMFlatMoneyness.ToString());
}
var measureType = properties.GetString("MeasureType", null);
if (measureType == null)
{
properties.Set("MeasureType", MeasureTypesEnum.Volatility.ToString());
}
var quoteUnits = properties.GetString("QuoteUnits", null);
if (quoteUnits == null)
{
properties.Set("QuoteUnits", QuoteUnitsEnum.LogNormalVolatility.ToString());
}
var algorithm = properties.GetString("Algorithm", null);
if (algorithm == null)
{
properties.Set("Algorithm", "Default");
}
InterpolationMethod interp = InterpolationMethodHelper.Parse("LogLinearInterpolation");
var dfs = matrix.DiscountFactorsAsDoubles();
// Check there are valid strikes
IRateCurve discountCurve =
new SimpleDiscountFactorCurve(baseDate, interp, true, dfs);
//TODO
//The quoted asset set
var volTypes = matrix.CapVolatilities();
var instruments = new List <string>();
var volatilties = new List <decimal>();
foreach (var volType in volTypes)
{
string tempName;
string tenor;
var type = volType.VolatilityType;
if (type == VolatilityDataType.ETO)
{
tempName = currency + "-Caplet-";
tenor = volType.Expiry + "D-90D";
}
else
{
tempName = currency + "-IRCap-";
tenor = volType.Expiry + "Y";
}
instruments.Add(tempName + tenor);
volatilties.Add(volType.Volatility);
}
var qas = AssetHelper.Parse(instruments.ToArray(), volatilties.ToArray());
//The volatilities
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = new CapVolatilityCurve(logger, cache, nameSpace, properties, qas, discountCurve, discountCurve,
null, null);
// Add engine
engines.Add(0, engine);
return(engines);
}
