public void GetForwardRateTest1()
{
var target = new ForwardRatesMatrix(_assetExpiries, _assetTenors, _assetData, _id);
// Check for valid expiry/tenor pair
Period expiry = PeriodHelper.Parse("1y");
Period tenor = PeriodHelper.Parse("4y");
const decimal expected = 6.8227m / 100.0m;
decimal actual;
try
{
actual = target.GetAssetPrice(expiry, tenor);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("Invalid Expiry/Tenor pair supplied.", ex.Message);
}
// Check for invalid expiry/tenor pair
expiry = PeriodHelper.Parse("6y");
tenor = PeriodHelper.Parse("4y");
try
{
actual = target.GetAssetPrice(expiry, tenor);
Assert.AreEqual(expected, actual);
}
catch (ArgumentException ex)
{
Assert.AreEqual("Invalid Expiry/Tenor pair supplied.", ex.Message);
}
}
/// <summary>
/// Generate a new set of full calibration engines for the supplied data.
/// Add or overwrite the engine store for the new engine.
/// Each engineId will point to a set of engines indexed by swap tenor and option expiry
/// Calibration assumes that the format of the grid data is as follows:
///
/// + XXXX | lbl0 | lbl1 | ... | lbln +
/// | lbl0 | d[0,0] | d[0,1] | ... | d[0,n] |
/// | lbl1 | d[1,0] | d[1,1] | ... | d[1,n] |
/// | ... | ... | ... | ... | ... |
/// + lbln | d[n,0] | d[n,1] | ... | d[n,n] +
///
/// </summary>
/// <param name="engineHandle">Calibration Engine handle</param>
/// <param name="settingsHandle">Calibartion settings handle</param>
/// <param name="rawVols">A grid of volatilities (with row/column labels)</param>
/// <param name="rawAssets">A grid of asset values</param>
/// <param name="optionEx">The ption expiry to index against</param>
/// <returns></returns>
public string SABRCalibrateModel(string engineHandle, string settingsHandle, object[,] rawVols, object[,] rawAssets, string optionEx)
{
// Create the asset and volatility data grids
SwaptionDataMatrix volatilityGrid = ParseVolatilityInput(rawVols, optionEx);
ForwardRatesMatrix assetGrid = ParseAssetInputWithInterpolation(rawAssets);
// Retrieve the calibration settings to use with this calibration engine
if (!_sabrSettings.ContainsKey(settingsHandle))
{
throw new ArgumentException($"Configuration '{settingsHandle}' has not been set up.");
}
SABRCalibrationSettings settings = _sabrSettings[settingsHandle];
// Generate the CalibrationEngine Id
string calibrationEngineId = engineHandle;
string optionExpiry = GenerateTenorLabel(optionEx);
// Create a new engine holder object
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngine =
BuildEngineCollection(volatilityGrid, assetGrid, settings, calibrationEngineId, optionExpiry);
// We have an asset grid (forward rates) with this engine type so we should keep it
// for future reference (that is during the lifetime of this session)
if (_engineRatesGrid.ContainsKey(engineHandle))
{
_engineRatesGrid[engineHandle] = assetGrid;
}
else
{
_engineRatesGrid.Add(engineHandle, assetGrid);
}
// Add the SABREngine to the persistent store
if (_sabrEngines.ContainsKey(calibrationEngineId))
{
_sabrEngines[calibrationEngineId] = sabrEngine;
}
else
{
_sabrEngines.Add(calibrationEngineId, sabrEngine);
}
return(engineHandle);
}
/// <summary>
/// Parse the raw assets grid to create the labels and values arrays
/// required by a <see cref="SwaptionDataMatrix"/> used to store the data
/// for use by the SABR calibration/calulation routines
/// This version uses Interpolation to include Swap Tenors that are not
/// included as part of the grid but fall within the minimum and maximum tenor
/// values of the grid.
/// </summary>
/// <param name="expiry">An array of expiries.</param>
/// <param name="rawAsset">The raw volatility data</param>
/// <param name="tenors">An array of tenors.</param>
/// <returns>The rawdata as a SwaptionDataGrid</returns>
private static ForwardRatesMatrix ParseAssetInputWithInterpolation(String[] tenors, String[] expiry,
Decimal[,] rawAsset)
{
// Set the upper/lower bounds of the converted array
//var lo1D = rawAsset.GetLowerBound(0);
int hi1D = rawAsset.GetUpperBound(0) + 1;
//var lo2D = rawAsset.GetLowerBound(1);
int hi2D = rawAsset.GetUpperBound(1) + 1;
// Add arrays for the values
var values = new decimal[hi1D][];
for (int idx = 0; idx < hi1D; idx++)
{
values[idx] = new decimal[hi2D];
for (int jdx = 0; jdx < hi2D; jdx++)
{
values[idx][jdx] = rawAsset[idx, jdx];
}
}
// Set up the lists we shall use to insert any interpolated column entries
var fullTenors = new List <string>();
var fullValues = new List <List <decimal> >();
// Convert the tenors to doubles
var tenorsAsDouble = new decimal[tenors.Length];//Tenor must be years.
for (int idx = 0; idx < tenors.Length; idx++)
{
tenorsAsDouble[idx] = (decimal)(PeriodHelper.Parse(tenors[idx]).ToYearFraction());
}
// Set up the min and max column (tenor) values
var min = (int)(tenorsAsDouble[0]);
var max = (int)(tenorsAsDouble[tenorsAsDouble.Length - 1]);
// Loop through the expiry values testing the tenor values
// Copy existing tenors or add new tenor values using interpolation
for (int expiryIdx = 0; expiryIdx < expiry.Length; expiryIdx++)
{
int tenorIdx = 0;
var inner = new List <decimal>();
var lin = new LinearInterpolation(tenorsAsDouble, values[expiryIdx]);
// Loop from the min to the max testing for valid tenor entries
// and inserting new values where necessary
for (int idx = min; idx <= max; idx++)
{
if (idx == int.Parse(PeriodHelper.Parse(tenors[tenorIdx]).periodMultiplier))
{
// Add an existing tenor and its values array - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(tenors[tenorIdx]);
}
inner.Add(values[expiryIdx][tenorIdx++]);
}
else
{
// Add the interpolated tenor and its value - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(idx.ToString(CultureInfo.InvariantCulture) + 'Y');
}
inner.Add(lin.ValueAt((decimal)idx));
}
}
fullValues.Add(inner);
}
// Regenerate the arrays to use in the grid
string[] interpolatedTenors = fullTenors.ToArray();
var interpolatedValues = new decimal[fullValues.Count][];
for (int idx = 0; idx < fullValues.Count; idx++)
{
interpolatedValues[idx] = fullValues[idx].ToArray();
}
// Create the grid
var grid = new ForwardRatesMatrix(expiry, interpolatedTenors, interpolatedValues);
return(grid);
}
/// <summary>
/// Create a full calibration model.This version uses the volatility grid to generate an engine
/// for each swap tenor (row values)
/// </summary>
/// <param name="volatilityGrid">The vols grid</param>
/// <param name="assetGrid">The asset grid</param>
/// <param name="settings">The SABR settings</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="optionExpiry">The ATM pointer</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SwaptionDataMatrix volatilityGrid,
ForwardRatesMatrix assetGrid, SABRCalibrationSettings settings, string calibrationEngineId, string optionExpiry)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
// Generate a new entry in the engineCollection for each row in the volatility grid
foreach (string tenor in volatilityGrid.GetTenors())
{
var assetPrice = assetGrid.GetAssetPrice(optionExpiry, tenor);
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Generate the Vols and Strikes lists for the engine
List <decimal> vols = volatilityGrid.GetVolatility(tenor).ToList();
List <decimal> strikes = volatilityGrid.GetStrikes().Select(strike => assetPrice + strike).ToList();
// Only add a new Calibration Engine (and Calibrate it) if the vols are greater than 0
if (!SABRHelper.ValidateData(vols))
{
continue;
}
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, strikes, vols, assetPrice, exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
}
return(engineCollection);
}
/// <summary>
/// Parse the raw assets grid to create the labels and values arrays
/// required by a SwaptionDataGrid{T,U} used to store the data
/// for use by the SABR calibration/calulation routines
/// This version uses Interpolation to include Swap Tenors that are not
/// included as part of the grid but fall within the minimum and maximum tenor
/// values of the grid.
/// </summary>
/// <param name="rawAsset">The raw volatility data</param>
/// <returns>The rawdata as a SwaptionDataGrid</returns>
private static ForwardRatesMatrix ParseAssetInputWithInterpolation(object[,] rawAsset)
{
// Set the upper/lower bounds of the converted array
int hi1D = rawAsset.GetUpperBound(0);
int hi2D = rawAsset.GetUpperBound(1);
// Create and populate the data arrays used to build the SwaptionDataGrid
// The columns represent tenors, the rows option expiries
var tenors = new string[hi2D];
var expiry = new string[hi1D];
for (int idx = 1; idx <= hi2D; idx++)
{
tenors[idx - 1] = rawAsset[0, idx].ToString();
}
for (int idx = 1; idx <= hi1D; idx++)
{
expiry[idx - 1] = rawAsset[idx, 0].ToString();
}
// Add arrays for the values
var values = new decimal[hi1D][];
for (int idx = 1; idx <= hi1D; idx++)
{
values[idx - 1] = new decimal[hi2D];
for (int jdx = 1; jdx <= hi2D; jdx++)
{
values[idx - 1][jdx - 1] = decimal.Parse(rawAsset[idx, jdx].ToString());
}
}
// Set up the lists we shall use to insert any interpolated column entries
var fullTenors = new List <string>();
var fullValues = new List <List <decimal> >();
// Convert the tenors to doubles
var tenorsAsDouble = new decimal[tenors.Length];
for (int idx = 0; idx < tenors.Length; idx++)
{
tenorsAsDouble[idx] = decimal.Parse(tenors[idx]);
}
// Set up the min and max column (tenor) values
int min = int.Parse(tenors[0]);
int max = int.Parse(tenors[tenors.Length - 1]);
// Loop through the expiry values testing the tenor values
// Copy existing tenors or add new tenor values using interpolation
for (int expiryIdx = 0; expiryIdx < expiry.Length; expiryIdx++)
{
int tenorIdx = 0;
var inner = new List <decimal>();
var lin = new LinearInterpolation(tenorsAsDouble, values[expiryIdx]);
// Loop from the min to the max testing for valid tenor entries
// and inserting new values where necessary
for (int idx = min; idx <= max; idx++)
{
if (idx == int.Parse(tenors[tenorIdx]))
{
// Add an existing tenor and its values array - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(tenors[tenorIdx]);
}
inner.Add(values[expiryIdx][tenorIdx++]);
}
else
{
// Add the interpolated tenor and its value - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(idx.ToString(CultureInfo.InvariantCulture));
}
inner.Add(lin.ValueAt((decimal)idx));
}
}
fullValues.Add(inner);
}
// Regenerate the arrays to use in the grid
string[] interpolatedTenors = fullTenors.Select(a => a.Last() == 'y' ? a : a + "y").ToArray();
var interpolatedValues = new decimal[fullValues.Count][];
for (int idx = 0; idx < fullValues.Count; idx++)
{
interpolatedValues[idx] = fullValues[idx].ToArray();
}
// Create the grid
var grid = new ForwardRatesMatrix(expiry, interpolatedTenors, interpolatedValues);
return(grid);
}
