/// <summary>
/// Create a surface from an FpML
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The nameSpace</param>
/// <param name="fpmlData">The data.</param>
/// <param name="properties">The properties.</param>
protected ExtendedExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, Pair <PricingStructure, PricingStructureValuation> fpmlData, NamedValueSet properties)
{
var surfaceId = new VolatilitySurfaceIdentifier(properties);
Algorithm = surfaceId.Algorithm;
PricingStructureIdentifier = surfaceId;
var data = (VolatilityMatrix)fpmlData.Second;
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
//Get the forwards from the surface.
var adjustments = new ParametricAdjustment();
if (data.adjustment != null)
{
//assume the forwards are the first parameter set.
adjustments = data.adjustment[0];
}
//Creates the property collection. This should be backward compatable with V1.
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var xDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("xDimensionInterpolation"));
var yDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("yDimensionInterpolation"));
// Generate an interpolator to use
if (adjustments?.datapoint != null)
{
Interpolator = new ExtendedVolatilitySurfaceInterpolator(data.dataPoints, adjustments.datapoint, xDimensionInterpolationMethod.Value, yDimensionInterpolationMethod.Value);
}
SetFpMLData(fpmlData);
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="nameSpace"></param>
/// <param name="expiryTenors"></param>
/// <param name="strikes"></param>
/// <param name="volSurface"></param>
/// <param name="surfaceId"></param>
/// <param name="logger"></param>
/// <param name="cache">The cache.</param>
/// <param name="forwards">The array of forwards. The first element is the spot value. Conseuently, the length of this array is expiryTenors.Length + 1.</param>
protected ExtendedExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, String[] expiryTenors, Double[] strikes, Double[] forwards, Double[,]
volSurface, VolatilitySurfaceIdentifier surfaceId)
{
Algorithm = surfaceId.Algorithm;
PricingStructureIdentifier = surfaceId;
//Build the parameteric adjustment set from th3e forwards.
var parametricAdjustment = GenerateForwards(forwards);
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var xDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("xDimensionInterpolation"));
var yDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("yDimensionInterpolation"));
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiryTenors, strikes, volSurface, surfaceId.StrikeQuoteUnits, surfaceId.UnderlyingAssetReference);
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
currency = surfaceId.Currency,
asset = new AnyAssetReference {
href = surfaceId.Instrument
},
};
var datapoints = new MultiDimensionalPricingData {
point = points
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints
,
adjustment = parametricAdjustment
,
objectReference = new AnyAssetReference {
href = surfaceId.Instrument
}
,
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
}
, buildDateTime = DateTime.Now
, buildDateTimeSpecified = true
};
var expiries = new double[expiryTenors.Length];
var index = 0;
foreach (var term in expiryTenors)//TODO include business day holidays and roll conventions.
{
expiries[index] = PeriodHelper.Parse(term).ToYearFraction();
index++;
}
// Record the row/column sizes of the inputs
_matrixRowCount = expiryTenors.Length;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strikes.Length + 1;
// Generate an interpolator to use
Interpolator = new ExtendedVolatilitySurfaceInterpolator(expiries, strikes, forwards, new Matrix(volSurface), xDimensionInterpolationMethod.Value, yDimensionInterpolationMethod.Value);
}
