/// <summary>
/// Helper function used to set the ATM strike and volatility used in
/// the calibration of the SABR engine.
/// Preconditions: Methods SetStrikesForSABREngine and
/// SetVolatilitiesForSABREngine have been called.
/// Post-conditions: data structures that store the strikes and
/// volatilities used in the calibration of the SABR engine are each
/// expanded by one element and then sorted, and the private field
/// _assetPrice is set.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The clients namespace</param>
/// <param name="expiry">Caplet expiry.</param>
private void SetATMDataForSABREngine(ILogger logger, ICoreCache cache, string nameSpace, DateTime expiry)
{
// Set the ATM volatility.
var interpType =
_capletSmileSettings.ExpiryInterpolationType;
var interpObj =
new CapletExpiryInterpolatedVolatility
(_atmBootstrapEngine, interpType);
var volatility = interpObj.ComputeCapletVolatility(expiry);
_sabrVolatilities.Add(volatility);
_assetPrice = _atmBootstrapEngine.ComputeForwardPrice(logger, cache, nameSpace, expiry);
_sabrStrikes.Add(_assetPrice);
// Sort the strikes into ascending order, and maintain the
// corresponding volatility.
var strikeVol =
new SortedList <decimal, decimal>(); // temporary container
var idx = 0;
foreach (var strike in _sabrStrikes)
{
strikeVol.Add(strike, _sabrVolatilities[idx]);
++idx;
}
_sabrStrikes = new List <decimal>();
_sabrVolatilities = new List <decimal>();
foreach (var key in strikeVol.Keys)
{
_sabrStrikes.Add(key);
_sabrVolatilities.Add(strikeVol[key]);
}
}
/// <summary>
/// Helper function used to set the volatilities used in the
/// calibration of the SABR engine.
/// Post-condition: private field _sabrVolatilities is set.
/// </summary>
/// <param name="expiry">The expiry.</param>
private void SetVolatilitiesForSABREngine(DateTime expiry)
{
_sabrVolatilities = new List <decimal>();
var interpType =
_capletSmileSettings.ExpiryInterpolationType;
// Retrieve the volatility at the given expiry.
foreach (var eng in _fixedStrikeBootstrapEngines)
{
var obj =
new CapletExpiryInterpolatedVolatility(eng, interpType);
var volatility = obj.ComputeCapletVolatility(expiry);
_sabrVolatilities.Add(volatility);
}
}
/// <summary>
/// Process a CapFloor ATM parvVols structure.
/// The process Bootstraps the parVols using the supplied ratecurve
/// </summary>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace"></param>
/// <param name="rateCurve"></param>
/// <param name="capFloor"></param>
/// <returns></returns>
private static Market ProcessCapFloorATM(ILogger logger, ICoreCache cache, string nameSpace, Market rateCurve, CapFloorATMMatrix capFloor)
{
var id = capFloor.id;
var expiry = capFloor.GetExpiries();
var vols = capFloor.GetVolatilities();
var mkt = rateCurve;
var curve = new SimpleRateCurve(mkt);
var discountFactorDates = curve.GetDiscountFactorDates();
var discountFactors = curve.GetDiscountFactors();
var volType = capFloor.GetVolatilityTypes();
var atmVols = new Dictionary <string, decimal>();
var settings = CreateCapFloorProperties(capFloor.GetVolatilitySettings());
// Create an internal matrix object from the raw data
var matrix = new CapFloorVolatilityMatrix(id, expiry, volType, vols, null,
discountFactorDates, ArrayUtilities.ArrayToDecimal(discountFactors));
// Create an ATM engine from the matrix
var engines = CreateEngines(logger, cache, nameSpace, id, matrix, settings);
// Add the default interpolation to use
const ExpiryInterpolationType volatilityInterpolation = ExpiryInterpolationType.Linear;
if (engines != null)
{
var vol = new CapletExpiryInterpolatedVolatility(engines[0], volatilityInterpolation);
// List the values so we can build our ATM vols
var keys = ExpiryKeys.Split(',');
// Create a calendar to use to modify the date
var businessCalendar = settings.GetValue("BusinessCalendar", "AUSY");
var bc = BusinessCenterHelper.ToBusinessCalendar(cache, new[] { businessCalendar }, nameSpace);
// Use some logic to get the spot date to use
// LPM Spot lag is 2 days (modfollowing)
var spotDate = curve.GetSpotDate();
var rollConvention = settings.GetValue("RollConvention", BusinessDayConventionEnum.FOLLOWING);
spotDate = spotDate == curve.GetBaseDate() ? bc.Roll(spotDate.Add(new TimeSpan(2, 0, 0, 0)), rollConvention) : spotDate;
//// Extract each surface and build an ATM engine therefrom
//// Build a list of all possible engines
foreach (var key in keys)
{
// Calculate the volatility for each target key
var tv = PeriodHelper.Parse(key);
var target = tv.period == PeriodEnum.D ? bc.Roll(spotDate.AddDays(Convert.ToInt32(tv.periodMultiplier)), rollConvention) :
bc.Roll(spotDate.AddMonths(Convert.ToInt32(tv.periodMultiplier)), rollConvention);
atmVols.Add(key, vol.ComputeCapletVolatility(target));
}
}
var outputVols = new object[atmVols.Count + 1, 2];
var i = 1;
//Expiry 0
outputVols[0, 0] = "Expiry";
outputVols[0, 1] = "0";
foreach (var key in atmVols.Keys)
{
outputVols[i, 0] = key;
outputVols[i, 1] = atmVols[key];
i++;
}
DateTime buildDateTime = rateCurve.Items1[0].buildDateTime;
var volSurface = new VolatilitySurface(outputVols, new VolatilitySurfaceIdentifier(id), curve.BaseDate, buildDateTime);
return(CreateMarketDocument(volSurface.GetFpMLData()));
}
