Example #1
0
        private double SABRValue(IPoint point)
        {
            var surface = (DiscreteSurface)GetDiscreteSpace();
            var x       = point.GetX();
            var y       = (double)point.Coords[1];
            //int nstrikes = surface.YArray.Length;
            var unsorted         = new Dictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
            var allEngineHandles = new SortedDictionary <SABRKey, SABRCalibrationEngine>(unsorted, new SABRKey());

            foreach (var column in _interpolatedColumns)
            {
                var sabr = (SABRModelInterpolation)column.GetInterpolatingFunction();
                foreach (SABRKey key in sabr.EngineHandles.Keys)
                {
                    allEngineHandles.Add(key, sabr.EngineHandles[key]);
                }
            }
            //Now build expiry interpolated curve
            var interp = new SABRModelInterpolation();

            interp.InitHandles(x);
            interp.EngineHandles = allEngineHandles;
            //interpolate ATM point in strike
            List <IPoint> points = surface.GetClosestValues(new Point2D(x, 1.0));
            var           yList  = new List <double>();
            var           vList  = new List <double>();

            foreach (var pt in points)
            {
                if (!yList.Contains(pt.GetX()))
                {
                    yList.Add(pt.GetX());
                    vList.Add(pt.FunctionValue);
                }
            }
            if (yList.Count == 1)
            {
                interp.AtmVolatility = Convert.ToDecimal(vList[0]);
            }
            else
            {
                var    xDiscCurve = new DiscreteCurve(yList.ToArray(), vList.ToArray());
                var    xInterp    = new InterpolatedCurve(xDiscCurve, XInterpolation, true);
                IPoint atmpt      = new Point1D(x);
                double temp       = xInterp.Value(atmpt);
                interp.AtmVolatility = Convert.ToDecimal(temp);
            }
            if (Forward != null && Spot != null)
            {
                interp.AssetPrice = Convert.ToDecimal(Forward);
            }
            else
            {
                var fwd = ForwardCurve.ValueAt(interp.ExpiryTime, true);
                interp.AssetPrice = Convert.ToDecimal(fwd);
            }
            return(interp.ValueAt(y, true));
        }
Example #2
0
        /// <summary>
        /// Main ctor.
        /// </summary>
        /// <param name="discreteSurface">The discrete surface ie 2 dimensional.</param>
        /// <param name="forwards">The forwards to be used for calibration.</param>
        /// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
        /// <param name="yInterpolation">The interpolation type for the y axis</param>
        /// <param name="allowExtrapolation">Not implemented in EO.</param>
        protected ExtendedInterpolatedSurface(DiscreteSurface discreteSurface, ParametricAdjustmentPoint[] forwards, IInterpolation xInterpolation,
                                              IInterpolation yInterpolation, bool allowExtrapolation)
            : base(discreteSurface, xInterpolation, yInterpolation, allowExtrapolation)
        {
            var values = discreteSurface.GetMatrixOfValues();
            var x      = discreteSurface.XArray;
            var width  = values.ColumnCount;

            if (forwards != null)
            {
                SpotValue = (double)forwards[0].parameterValue;
                var length = forwards.Length;
                var fwds   = new double[length - 1];
                for (var index = 1; index < length; index++)
                {
                    fwds[index - 1] = (double)forwards[index].parameterValue;
                }
                var fwdcurve = new LinearInterpolation();
                fwdcurve.Initialize(x, fwds);
                ForwardCurve = fwdcurve;
            }
            if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
            {
                var y      = discreteSurface.YArray;
                var length = values.RowCount;
                for (int i = 0; i < length; i++)
                {
                    //interpolate each maturity first (in strike) with SABR
                    var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
                    yinterp.ExpiryTime = x[i];
                    if (Forward != null && Spot != null)
                    {
                        yinterp.AssetPrice = Convert.ToDecimal(Forward);
                    }
                    else
                    {
                        var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
                        yinterp.AssetPrice = Convert.ToDecimal(fwd);
                    }
                    yinterp.Initialize(y, values.Row(i).Data);
                    var curve           = new DiscreteCurve(y, values.Row(i).Data);
                    var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
                    _interpolatedColumns.Add(interpolatedCol);
                }
            }
            else //o.w interpolate at each strike point (in time)
            {
                for (int i = 0; i < width; i++)
                {
                    var interp = xInterpolation.Clone();
                    interp.Initialize(x, values.Column(i).Data);
                    var curve           = new DiscreteCurve(x, values.Column(i).Data);
                    var interpolatedCol = new InterpolatedCurve(curve, interp, true);
                    _interpolatedColumns.Add(interpolatedCol);
                }
            }
        }
Example #3
0
        /// <summary>
        /// Main ctor.
        /// </summary>
        /// <param name="columns">The column values.</param>
        /// <param name="forwards">An array of forwards to the expiry dates. The length of this array is + 1, as the first element is the spot value.</param>
        /// <param name="values">The discrete surface ie 2 dimensional.</param>
        /// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
        /// <param name="yInterpolation">The basic interpolation to be applied to the y axis.</param>
        /// <param name="rows">The row values.</param>
        public ExtendedInterpolatedSurface(double[] rows, double[] columns, double[] forwards, Matrix values, IInterpolation xInterpolation, IInterpolation yInterpolation)
            : base(new DiscreteSurface(rows, columns, values), xInterpolation, yInterpolation, true)
        {
            var width           = values.ColumnCount;
            var discreteSurface = new DiscreteSurface(rows, columns, values);
            var x = discreteSurface.XArray;

            if (forwards != null)
            {
                SpotValue = forwards[0];
                var n    = forwards.Length;
                var fwds = new double[n - 1];
                for (var index = 1; index < n; index++)
                {
                    fwds[index - 1] = forwards[index];
                }
                ForwardCurve = new LinearInterpolation();
                ForwardCurve.Initialize(rows, fwds);
            }
            if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
            {
                var length = values.RowCount;
                var y      = discreteSurface.YArray;
                for (int i = 0; i < length; i++)
                {
                    //interpolate each maturity first (in strike) with SABR
                    var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
                    yinterp.ExpiryTime = x[i];
                    if (Forward != null && Spot != null)
                    {
                        yinterp.AssetPrice = Convert.ToDecimal(Forward);
                    }
                    else
                    {
                        var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
                        yinterp.AssetPrice = Convert.ToDecimal(fwd);
                    }
                    yinterp.Initialize(y, values.Row(i).Data);
                    var curve           = new DiscreteCurve(y, values.Row(i).Data);
                    var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
                    _interpolatedColumns.Add(interpolatedCol);
                }
            }
            else //o.w interpolate at each strike point (in time)
            {
                for (int i = 0; i < width; i++)
                {
                    var interp = xInterpolation.Clone();
                    interp.Initialize(x, values.Column(i).Data);
                    var curve           = new DiscreteCurve(x, values.Column(i).Data);
                    var interpolatedCol = new InterpolatedCurve(curve, interp, true);
                    _interpolatedColumns.Add(interpolatedCol);
                }
            }
        }
Example #4
0
        /// <summary>
        /// For any point, there should exist a function value. The point can be multi-dimensional.
        /// </summary>
        /// <param name="point"><c>IPoint</c> A point must have at least one dimension.
        /// <seealso cref="IPoint"/> The interface for a multi-dimensional point.</param>
        /// <returns>The <c>double</c> function value at the point</returns>
        public override double Value(IPoint point)
        {
            double result = 0.0;

            if (YInterpolation.GetType() == typeof(SABRModelInterpolation))
            {
                result = SABRValue(point);
            }
            else
            {
                var x       = point.GetX();
                var y       = (double)point.Coords[1];
                var xArray  = new double[Columns];
                var index   = 0;
                var surface = (DiscreteSurface)GetDiscreteSpace();
                // time dimension interp
                foreach (var column in _interpolatedColumns)
                {
                    var pt = new Point1D(x);
                    xArray[index] = column.Value(pt);
                    index++;
                }
                if (YInterpolation.GetType() == typeof(WingModelInterpolation))
                {
                    if (Forward != null && Spot != null)
                    {
                        ((WingModelInterpolation)YInterpolation).Forward = (double)Forward;
                        ((WingModelInterpolation)YInterpolation).Spot    = (double)Spot;
                    }
                    else
                    {
                        var fwd = ForwardCurve.ValueAt(x, true);
                        ((WingModelInterpolation)YInterpolation).Forward = fwd;
                        ((WingModelInterpolation)YInterpolation).Spot    = SpotValue;
                    }
                    var discreteCurve = new DiscreteCurve(surface.YArray, xArray);
                    InterpolatedCurve = new InterpolatedCurve(discreteCurve, YInterpolation, true);
                    var ypt = new Point1D(y);
                    result = InterpolatedCurve.Value(ypt);
                }
            }
            return(result);
        }