/// <summary>
/// Get the Calibration status for the calibration engine using
/// the expiry/tenor pair
/// </summary>
/// <param name="engineHandle">The calibration engine handle</param>
/// <returns></returns>
public bool IsSABRModelCalibrated(string engineHandle)
{
if (!_sabrEngines.ContainsKey(engineHandle))
{
return(false);
}
SmileCalibrationEngine smileEngine = _sabrEngines[engineHandle];
var calibrationEngine = smileEngine.SABRCalibrationEngine;
return(calibrationEngine.IsSABRModelCalibrated);
}
/// <summary>
/// Get the Calibration Engine Calibration Error the expiry/tenor pair
/// </summary>
/// <param name="engineHandle">The calibration engine handle</param>
/// <returns></returns>
public decimal SABRCalibrationError(string engineHandle)
{
if (!_sabrEngines.ContainsKey(engineHandle))
{
throw new ArgumentException("SABR Smile Calibration engine not found.");
}
SmileCalibrationEngine smileEngine = _sabrEngines[engineHandle];
var calibrationEngine = smileEngine.SABRCalibrationEngine;
return(calibrationEngine.CalibrationError);
}
/// <summary>
/// Create a SABR CapFloor Calibration Engine
/// </summary>
/// <param name="engineHandle">The handle for this engine</param>
/// <param name="settingsHandle">The handle to the settings object we use for this calibration</param>
/// <param name="bootstrapFixedStrikeHandle">The fixed strike engines to use as a base</param>
/// <param name="bootstrapATMHandle">The ATM engine used in Calibration</param>
/// <returns>The handle of this engine</returns>
public string SABRCalibrationEngine(string engineHandle, string settingsHandle, string bootstrapFixedStrikeHandle, string bootstrapATMHandle)
{
// The ATM CapFloor bootstrap engine is the 0th strike CapFloor engine with this handle
VolatilityCurve atmEngine;
if (_volCurveEngines.ContainsKey(bootstrapATMHandle))
{
atmEngine = _volCurveEngines[bootstrapATMHandle][0];
}
else
{
throw new ArgumentException("ATM Bootstrap engine not found.");
}
SortedList <decimal, VolatilityCurve> fixedStrikeEngines;
if (_volCurveEngines.ContainsKey(bootstrapFixedStrikeHandle))
{
fixedStrikeEngines = _volCurveEngines[bootstrapFixedStrikeHandle];
}
else
{
throw new ArgumentException("Fixed Strike Bootstrap engines not found.");
}
SmileCalibrationSettings settings;
if (_sabrSettings.ContainsKey(settingsHandle))
{
settings = _sabrSettings[settingsHandle];
}
else
{
throw new ArgumentException("Smile Settings not found.");
}
var engine = new SmileCalibrationEngine(atmEngine, settings, new List <VolatilityCurve>(fixedStrikeEngines.Values), engineHandle);
if (_sabrEngines.ContainsKey(engineHandle))
{
_sabrEngines[engineHandle] = engine;
}
else
{
_sabrEngines.Add(engineHandle, engine);
}
return(engineHandle);
}
