public static ImpliedVolSurface ToImpliedVolSurface(this VolSurfMktData volSurfMktData, Date valuationDate, string dc = "Bus244")
{
if (!double.IsNaN(volSurfMktData.ConstVol))
{
double constData = 0.0;
if (volSurfMktData is CorrSurfMktData)
{
constData = (volSurfMktData as CorrSurfMktData).ConstCorr;
}
else if (volSurfMktData is VolSurfMktData)
{
constData = (volSurfMktData as VolSurfMktData).ConstVol;
}
var maturities = new[] { new Term("1Y").Prev(valuationDate), new Term("30Y").Next(valuationDate) };
var strikes = new[] { 0.0, 1.0e6 };
var cols = new[, ] {
{ constData, constData }, { constData, constData }
};
return(new ImpliedVolSurface(valuationDate, maturities, strikes, cols, Interpolation2D.VarianceBiLinear, dcConvention: dc, volSurfaceType: volSurfMktData.VolSurfaceType.ToVolSurfaceType()));
}
else
{
if (volSurfMktData is CorrSurfMktData)
{
var corr = (volSurfMktData as CorrSurfMktData).CorrSurface;
return(new ImpliedVolSurface(valuationDate, volSurfMktData.Maturities, volSurfMktData.Strikes, corr,
volSurfMktData.Interpolation.ToInterpolation2D(), dcConvention: dc, volSurfaceType: volSurfMktData.VolSurfaceType.ToVolSurfaceType()));
}
else if (volSurfMktData is VolSurfMktData)
{
return(new ImpliedVolSurface(valuationDate, volSurfMktData.Maturities, volSurfMktData.Strikes, volSurfMktData.VolSurfaces,
volSurfMktData.Interpolation.ToInterpolation2D(), dcConvention: dc, volSurfaceType: volSurfMktData.VolSurfaceType.ToVolSurfaceType()));
}
else
{
throw new PricingBaseException("unexpected vol type! not supported yet");
}
}
}
public void BasicVanillaOptionTest()
{
var startDate = new Date(2014, 03, 18);
var maturityDate = new Date(2015, 03, 18);
var valueDate = new Date(2014, 03, 18);
#region Prepare Market
// build discount curve and dividend curve
var fr007CurveName = "Fr007";
var fr007RateDefinition = new[]
{
new RateMktData("1D", 0.06, "Spot", "None", fr007CurveName),
new RateMktData("5Y", 0.06, "Spot", "None", fr007CurveName),
};
var dividendCurveName = "Dividend";
var dividendRateDefinition = new[]
{
new RateMktData("1D", 0.03, "Spot", "None", dividendCurveName),
new RateMktData("5Y", 0.03, "Spot", "None", dividendCurveName),
};
var discountCurve = new YieldCurve(
name: fr007CurveName,
referenceDate: valueDate,
keyPoints: fr007RateDefinition.Select(x => Tuple.Create((ITerm) new Term(x.Tenor), x.Rate)).ToArray(),
bda: BusinessDayConvention.ModifiedFollowing,
dayCount: new Act365(),
calendar: CalendarImpl.Get("Chn"),
currency: CurrencyCode.CNY,
compound: Compound.Continuous,
interpolation: Interpolation.CubicHermiteMonotic,
trait: YieldCurveTrait.SpotCurve);
var dividendCurve = new YieldCurve(
name: dividendCurveName,
referenceDate: valueDate,
keyPoints: dividendRateDefinition.Select(x => Tuple.Create((ITerm) new Term(x.Tenor), x.Rate)).ToArray(),
bda: BusinessDayConvention.ModifiedFollowing,
dayCount: new Act365(),
calendar: CalendarImpl.Get("Chn"),
currency: CurrencyCode.CNY,
compound: Compound.Continuous,
interpolation: Interpolation.CubicHermiteMonotic,
trait: YieldCurveTrait.SpotCurve);
// build vol surface
var volSurfData = new VolSurfMktData("VolSurf", 0.25);
var volSurface = volSurfData.ToImpliedVolSurface(
valuationDate: valueDate,
dc: "Act365");
// construct market
var market = new MarketCondition(
x => x.ValuationDate.Value = valueDate,
x => x.DiscountCurve.Value = discountCurve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", dividendCurve }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volSurface }
},
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", 1.0 }
}
);
#endregion
// construct a put option
var put = new VanillaOption(startDate,
maturityDate,
OptionExercise.European,
OptionType.Put,
1.0,
InstrumentType.Stock,
CalendarImpl.Get("chn"),
new Act365(),
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { maturityDate },
new[] { maturityDate });
var engine = new AnalyticalVanillaEuropeanOptionEngine();
var result = engine.Calculate(put, market, PricingRequest.All);
}
/// <summary>
/// Calibrate implied bs vol from spot premium of an european option
/// </summary>
/// <param name="premium"></param>
/// <param name="isCall"></param>
/// <param name="strike"></param>
/// <param name="spot"></param>
/// <param name="rate"></param>
/// <param name="expiryDateStr"></param>
/// <param name="valuationDateStr"></param>
/// <param name="underlyingInstrumentType"></param>
/// <param name="calendarStr"></param>
/// <param name="dayCountStr"></param>
/// <param name="commodityFuturesPreciseTimeMode"></param>
/// <param name="hasNightMarket"></param>
/// <returns>if succeed then return implied vol, if falied then return error message</returns>
public static double xl_ImpliedVolFromPremium(double premium, bool isCall, double strike, double spot, double rate,
string expiryDateStr, string valuationDateStr, string underlyingInstrumentType, string calendarStr, string dayCountStr,
bool commodityFuturesPreciseTimeMode = false,
bool hasNightMarket = false)
{
var bsEngine = new AnalyticalVanillaEuropeanOptionEngine();
var expiryDate = expiryDateStr.ToDate();
var valuationDate = valuationDateStr.ToDate();
var instrumentType = underlyingInstrumentType.ToInstrumentType();
var calendar = calendarStr.ToCalendarImpl();
var dayCount = dayCountStr.ToDayCountImpl();
var trade = new VanillaOption(
valuationDate,
expiryDate,
OptionExercise.European,
isCall ? OptionType.Call : OptionType.Put,
strike,
instrumentType,
calendar,
dayCount,
CurrencyCode.CNY,
CurrencyCode.CNY,
new[] { expiryDate },
new[] { expiryDate },
notional: 1,
hasNightMarket: hasNightMarket,
commodityFuturesPreciseTimeMode: commodityFuturesPreciseTimeMode
);
var curve = new YieldCurve(
"riskFreeRate",
valuationDate,
new[]
{
Tuple.Create((ITerm) new Term("1D"), rate),
Tuple.Create((ITerm) new Term("1Y"), rate)
},
BusinessDayConvention.ModifiedFollowing,
dayCount,
calendar,
CurrencyCode.CNY,
Compound.Continuous,
Interpolation.CubicHermiteMonotic,
YieldCurveTrait.SpotCurve
);
var volSurf = new VolSurfMktData("VolSurf", 0.1).ToImpliedVolSurface(valuationDate);
var market = new MarketCondition(
x => x.ValuationDate.Value = valuationDate,
x => x.DiscountCurve.Value = curve,
x => x.DividendCurves.Value = new Dictionary <string, IYieldCurve> {
{ "", curve }
}, //not used by futures option
x => x.FixingCurve.Value = curve,
x => x.RiskfreeCurve.Value = curve,
x => x.SpotPrices.Value = new Dictionary <string, double> {
{ "", spot }
},
x => x.VolSurfaces.Value = new Dictionary <string, IVolSurface> {
{ "", volSurf }
}); //not used by this calibration
return(bsEngine.ImpliedVolFromPremium(targetPremium: premium, option: trade, market: market));
}
