protected void createInterpolation()
{
SABRInterpolation tmp = new SABRInterpolation(actualStrikes_.Where(x => actualStrikes_.First().IsEqual(x)).ToList(),
actualStrikes_.Count,
vols_.Where(x => vols_.First().IsEqual(x)).ToList(),
exerciseTime(), forwardValue_, alpha_, beta_, nu_, rho_, isAlphaFixed_,
isBetaFixed_, isNuFixed_, isRhoFixed_, vegaWeighted_,
endCriteria_, method_, 0.0020, false, 50, shift());
Utils.swap <SABRInterpolation>(ref tmp, ref sabrInterpolation_);
}
protected Cube sabrCalibration(Cube marketVolCube)
{
List <double> optionTimes = marketVolCube.optionTimes();
List <double> swapLengths = marketVolCube.swapLengths();
List <Date> optionDates = marketVolCube.optionDates();
List <Period> swapTenors = marketVolCube.swapTenors();
Matrix alphas = new Matrix(optionTimes.Count, swapLengths.Count, 0.0);
Matrix betas = new Matrix(alphas);
Matrix nus = new Matrix(alphas);
Matrix rhos = new Matrix(alphas);
Matrix forwards = new Matrix(alphas);
Matrix errors = new Matrix(alphas);
Matrix maxErrors = new Matrix(alphas);
Matrix endCriteria = new Matrix(alphas);
List <Matrix> tmpMarketVolCube = marketVolCube.points();
List <double> strikes = new InitializedList <double>(strikeSpreads_.Count);
List <double> volatilities = new InitializedList <double>(strikeSpreads_.Count);
for (int j = 0; j < optionTimes.Count; j++)
{
for (int k = 0; k < swapLengths.Count; k++)
{
double atmForward = atmStrike(optionDates[j], swapTenors[k]);
double shiftTmp = atmVol_.link.shift(optionTimes[j], swapLengths[k]);
strikes.Clear();
volatilities.Clear();
for (int i = 0; i < nStrikes_; i++)
{
double strike = atmForward + strikeSpreads_[i];
if (strike + shiftTmp >= cutoffStrike_)
{
strikes.Add(strike);
Matrix matrix = tmpMarketVolCube[i];
volatilities.Add(matrix[j, k]);
}
}
List <double> guess = parametersGuess_.value(optionTimes[j], swapLengths[k]);
SABRInterpolation sabrInterpolation = new SABRInterpolation(strikes, strikes.Count,
volatilities,
optionTimes[j], atmForward,
guess[0], guess[1],
guess[2], guess[3],
isParameterFixed_[0],
isParameterFixed_[1],
isParameterFixed_[2],
isParameterFixed_[3],
vegaWeightedSmileFit_,
endCriteria_,
optMethod_,
errorAccept_,
useMaxError_,
maxGuesses_
);// shiftTmp
sabrInterpolation.update();
double rmsError = sabrInterpolation.rmsError();
double maxError = sabrInterpolation.maxError();
alphas [j, k] = sabrInterpolation.alpha();
betas [j, k] = sabrInterpolation.beta();
nus [j, k] = sabrInterpolation.nu();
rhos [j, k] = sabrInterpolation.rho();
forwards [j, k] = atmForward;
errors [j, k] = rmsError;
maxErrors [j, k] = maxError;
endCriteria[j, k] = (double)sabrInterpolation.endCriteria();
Utils.QL_REQUIRE(endCriteria[j, k].IsNotEqual((double)EndCriteria.Type.MaxIterations), () =>
"global swaptions calibration failed: " +
"MaxIterations reached: " + "\n" +
"option maturity = " + optionDates[j] + ", \n" +
"swap tenor = " + swapTenors[k] + ", \n" +
"error = " + (errors[j, k]) + ", \n" +
"max error = " + (maxErrors[j, k]) + ", \n" +
" alpha = " + alphas[j, k] + "n" +
" beta = " + betas[j, k] + "\n" +
" nu = " + nus[j, k] + "\n" +
" rho = " + rhos[j, k] + "\n"
);
Utils.QL_REQUIRE(useMaxError_ ? maxError > 0 : rmsError < maxErrorTolerance_, () =>
"global swaptions calibration failed: " +
"option tenor " + optionDates[j] +
", swap tenor " + swapTenors[k] +
(useMaxError_ ? ": max error " : ": error") +
(useMaxError_ ? maxError : rmsError) +
" alpha = " + alphas[j, k] + "\n" +
" beta = " + betas[j, k] + "\n" +
" nu = " + nus[j, k] + "\n" +
" rho = " + rhos[j, k] + "\n" +
(useMaxError_ ? ": error" : ": max error ") +
(useMaxError_ ? rmsError :maxError)
);
}
}
Cube sabrParametersCube = new Cube(optionDates, swapTenors, optionTimes, swapLengths, 8, true, backwardFlat_);
sabrParametersCube.setLayer(0, alphas);
sabrParametersCube.setLayer(1, betas);
sabrParametersCube.setLayer(2, nus);
sabrParametersCube.setLayer(3, rhos);
sabrParametersCube.setLayer(4, forwards);
sabrParametersCube.setLayer(5, errors);
sabrParametersCube.setLayer(6, maxErrors);
sabrParametersCube.setLayer(7, endCriteria);
return(sabrParametersCube);
}
public void sabrCalibrationSection(Cube marketVolCube, Cube parametersCube, Period swapTenor)
{
List <double> optionTimes = marketVolCube.optionTimes();
List <double> swapLengths = marketVolCube.swapLengths();
List <Date> optionDates = marketVolCube.optionDates();
List <Period> swapTenors = marketVolCube.swapTenors();
int k = swapTenors.IndexOf(swapTenors.First(x => x == swapTenor));
Utils.QL_REQUIRE(k != swapTenors.Count, () => "swap tenor not found");
List <double> calibrationResult = new InitializedList <double>(8, 0.0);
List <Matrix> tmpMarketVolCube = marketVolCube.points();
List <double> strikes = new List <double>(strikeSpreads_.Count);
List <double> volatilities = new List <double>(strikeSpreads_.Count);
for (int j = 0; j < optionTimes.Count; j++)
{
double atmForward = atmStrike(optionDates[j], swapTenors[k]);
double shiftTmp = atmVol_.link.shift(optionTimes[j], swapLengths[k]);
strikes.Clear();
volatilities.Clear();
for (int i = 0; i < nStrikes_; i++)
{
double strike = atmForward + strikeSpreads_[i];
if (strike + shiftTmp >= cutoffStrike_)
{
strikes.Add(strike);
volatilities.Add(tmpMarketVolCube[i][j, k]);
}
}
List <double> guess = parametersGuess_.value(optionTimes[j], swapLengths[k]);
var sabrInterpolation = new SABRInterpolation(strikes,
strikes.Count,
volatilities,
optionTimes[j], atmForward,
guess[0], guess[1],
guess[2], guess[3],
isParameterFixed_[0],
isParameterFixed_[1],
isParameterFixed_[2],
isParameterFixed_[3],
vegaWeightedSmileFit_,
endCriteria_,
optMethod_,
errorAccept_,
useMaxError_,
maxGuesses_
);//shiftTmp
sabrInterpolation.update();
double interpolationError = sabrInterpolation.rmsError();
calibrationResult[0] = sabrInterpolation.alpha();
calibrationResult[1] = sabrInterpolation.beta();
calibrationResult[2] = sabrInterpolation.nu();
calibrationResult[3] = sabrInterpolation.rho();
calibrationResult[4] = atmForward;
calibrationResult[5] = interpolationError;
calibrationResult[6] = sabrInterpolation.maxError();
calibrationResult[7] = (double)sabrInterpolation.endCriteria();
Utils.QL_REQUIRE(calibrationResult[7].IsNotEqual((double)EndCriteria.Type.MaxIterations), () =>
"section calibration failed: " +
"option tenor " + optionDates[j] +
", swap tenor " + swapTenors[k] +
": max iteration (" +
endCriteria_.maxIterations() + ")" +
", alpha " + calibrationResult[0] +
", beta " + calibrationResult[1] +
", nu " + calibrationResult[2] +
", rho " + calibrationResult[3] +
", max error " + calibrationResult[6] +
", error " + calibrationResult[5]
);
Utils.QL_REQUIRE(useMaxError_ ? calibrationResult[6] > 0 : calibrationResult[5] < maxErrorTolerance_, () =>
"section calibration failed: " +
"option tenor " + optionDates[j] +
", swap tenor " + swapTenors[k] +
(useMaxError_ ? ": max error " : ": error ") +
(useMaxError_ ? calibrationResult[6] : calibrationResult[5]) +
", alpha " + calibrationResult[0] +
", beta " + calibrationResult[1] +
", nu " + calibrationResult[2] +
", rho " + calibrationResult[3] +
(useMaxError_ ? ": error" : ": max error ") +
(useMaxError_ ? calibrationResult[5] : calibrationResult[6])
);
parametersCube.setPoint(optionDates[j], swapTenors[k], optionTimes[j], swapLengths[k], calibrationResult);
parametersCube.updateInterpolators();
}
}