/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="fpmlData"></param>
public VolatilitySurface(Pair <PricingStructure, PricingStructureValuation> fpmlData)
{
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, new DateTime(), dc);//TODO need to create a surfaceinterpolator.
_algorithm = "Linear";
SetFpMLData(fpmlData);
// var holder = new PricingStructureAlgorithmsHolder();
bool doBuild = GetVolatilityMatrix().dataPoints.point == null;
if (doBuild)
{
// var bootstrapperName = holder.GetValue(PricingStructureType.RateVolatilityMatrix, _algorithm, "Bootstrapper");
// Bootstrapper = Bootstrap(bootstrapperName, PricingStructure, PricingStructureValuation);
}
// SetInterpolator(PricingStructureValuation.baseDate.Value, _algorithm, holder);
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
private void SetInterpolator()
{
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, new DateTime(), dc);
}
//TODO this is not yet implemented. FIX IT!
internal void SetSpreadInterpolator(TermCurve discountFactorCurve, string algorithm, PricingStructureTypeEnum psType)
{
var curveId = (RateCurveIdentifier)PricingStructureIdentifier;
// The underlying curve and associated compounding frequency (compounding frequency required when underlying curve is a ZeroCurve)
CompoundingFrequency = EnumHelper.Parse <CompoundingFrequencyEnum>(Holder.GetValue("CompoundingFrequency"));
UnderlyingInterpolatedCurve = Holder.GetValue("UnderlyingCurve"); //TODO this redundant.
var interpDayCounter = Actual365.Instance;
var underlyingCurve = ParseUnderlyingCurve(UnderlyingInterpolatedCurve);
// interpolate the DiscountFactor curve based on the respective curve interpolation
if (underlyingCurve != UnderlyingCurveTypes.ZeroCurve)
{
Interpolator = new TermCurveInterpolator(discountFactorCurve, GetBaseDate(), interpDayCounter);
}
// otherwise interpolate our underlying curve will be a zero curve
else
{
var zeroCurve = new ZeroRateCurve
{
rateCurve = YieldCurveAnalytics.ToZeroCurve(discountFactorCurve,
GetBaseDate(),
CompoundingFrequency, DayCounter)
};
zeroCurve.rateCurve.interpolationMethod = InterpolationMethodHelper.Parse(Holder.GetValue("CurveInterpolation"));
zeroCurve.compoundingFrequency = FpML.V5r3.Reporting.CompoundingFrequency.Create(CompoundingFrequency);
GetYieldCurveValuation().zeroCurve = zeroCurve;
if (curveId.Algorithm == "SpreadInterpolation")
{
}
else
{
Interpolator =
new TermCurveInterpolator(GetYieldCurveValuation().zeroCurve.rateCurve, GetBaseDate(), interpDayCounter);
}//TODO this is where to add the spread stuff.
}
}
/// <summary>
/// Unpack a raw surface and create a VolatilitySurface
/// The object array is assumed to be zero based when it is passed to the constructor
/// (That is any Excel idiosyncrasies have been expunged)
/// We'll test and modify if necessary to zero base the array
/// </summary>
/// <param name="rawSurface"></param>
/// <param name="surfaceId"></param>
/// <param name="date"></param>
/// <param name="buildDateTime"></param>
// /// <param name="algorithm">The algorithm for interpolation. Not implemented yet.</param>
public VolatilitySurface(object[,] rawSurface, VolatilitySurfaceIdentifier surfaceId, DateTime date, DateTime buildDateTime)
{
PricingStructureIdentifier = surfaceId;
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, date, dc);//TODO need to create a surfaceinterpolator.
var zeroedRawSurface = rawSurface.GetLowerBound(0) == 1 ? RedimensionRawSurface(rawSurface) : rawSurface;
_algorithm = "Linear";
// An ugly trick to find out if this is a cube or a surface
bool isCube = !double.TryParse(zeroedRawSurface[1, 1].ToString(), out _);
// Extract the strikes/tenors/expiries and build the surface
var expiry = ExtractExpiryFromRawSurface(zeroedRawSurface);
var term = ExtractTenorFromRawSurface(zeroedRawSurface, isCube);
var strike = ExtractStrikeFromRawSurface(zeroedRawSurface, isCube);
var volatility = ExtractVolatilitiesFromRawSurface(zeroedRawSurface, isCube);
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiry, term, strike, volatility);
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
asset = new AnyAssetReference {
href = "Unknown"
},
};
PricingStructureValuation
= new VolatilityMatrix
{
dataPoints = new MultiDimensionalPricingData {
point = points
},
objectReference = new AnyAssetReference {
href = PricingStructure.id
},
baseDate = new IdentifiedDate {
Value = date
},
buildDateTime = buildDateTime,
buildDateTimeSpecified = true
};
// Record the row/column sizes of the inputs
_matrixRowCount = expiry.Length;
_matrixRowCount *= term?.Length ?? 1;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strike.Length + 1;
_matrixColumnCount += term != null ? 1 : 0;
// Generate an interpolator to use
if (term == null || term.Length == 0)
{
_interpolation = new BilinearInterpolator();
}
else
{
_interpolation = new TrilinearInterpolator();
}
}
/// <summary>
/// The constructor
/// </summary>
/// <param name="assetRef">The Asset this volatility models</param>
/// <param name="name">The id to use with this matrix</param>
/// <param name="date">The value date relating to this surface</param>
/// <param name="expiry">An array of expiry definitions</param>
/// <param name="term">An array of tenors or null if there is no term dimension.</param>
/// <paparam name="strike">An array of strike descriptions</paparam>
/// <param name="strike">The strike array.</param>
/// <param name="volatility">A 2d array of volatilities.
/// This must be equal to (expiry.Count x (1 <= y <= term.Count) x strike.Count </param>
public VolatilitySurface(string assetRef, string name, DateTime date, string[] expiry, string[] term,
string[] strike, double[,] volatility)
{
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, date, dc);//TODO need to create a surfaceinterpolator.
_algorithm = "Linear";
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiry, term, strike, volatility);
PricingStructure = new VolatilityRepresentation {
name = name
,
id = name + date.ToString("yyyyMMdd")
,
asset = new AnyAssetReference {
href = assetRef
}
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = new MultiDimensionalPricingData {
point = points
}
,
objectReference = new AnyAssetReference {
href = PricingStructure.id
}
,
baseDate = new IdentifiedDate {
Value = date
}
,
buildDateTime = DateTime.Now
,
buildDateTimeSpecified = true
};
// Record the row/column sizes of the inputs
_matrixRowCount = expiry.Length;
_matrixRowCount *= term?.Length ?? 1;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strike.Length + 1;
_matrixColumnCount += term != null ? 1 : 0;
//TODO
// Generate an interpolator to use
if (term == null || term.Length == 0)
{
_interpolation = new BilinearInterpolator();
}
else
{
_interpolation = new TrilinearInterpolator();
}
}
internal void SetSpreadInterpolator(TermCurve discountFactorCurve, string algorithm)
{
var interpDayCounter = Actual365.Instance;
Interpolator = new TermCurveInterpolator(discountFactorCurve, GetBaseDate(), interpDayCounter);
}
