public static object SurfaceFromCube(
[ExcelArgument(Description = "Output Surface name")] string SurfaceName,
[ExcelArgument(Description = "Cube name")] string CubeName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Stike Interpolation - default GaussianKernel")] object StrikeInterpolation,
[ExcelArgument(Description = "Time Interpolation - default LinearInVariance")] object TimeInterpolation)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(CubeName, $"Cube {CubeName} not found");
var strikeInterpType = StrikeInterpolation.OptionalExcel("GaussianKernel");
var timeInterpType = TimeInterpolation.OptionalExcel("LinearInVariance");
if (!Enum.TryParse(strikeInterpType, out Interpolator1DType siType))
{
return $"Could not parse strike interpolator type - {strikeInterpType}";
}
if (!Enum.TryParse(timeInterpType, out Interpolator1DType tiType))
{
return $"Could not parse time interpolator type - {timeInterpType}";
}
var rrbf = RiskyFlySurface.FromCube(cube.Value, BuildDate, siType, tiType);
rrbf.AssetId = AssetId;
rrbf.Name = AssetId;
if (!string.IsNullOrWhiteSpace(Currency))
{
rrbf.Currency = ContainerStores.CurrencyProvider.GetCurrency(Currency);
}
return ExcelHelper.PushToCache <IVolSurface>(rrbf, SurfaceName);
}));
}
public void RiskyFlySimple()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var cube = surface.ToCube();
Assert.Equal(fwds[0], cube.GetAllRows().First().Value);
var recon = RiskyFlySurface.FromCube(cube, origin, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]), recon.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var quotes = surface.DisplayQuotes();
Assert.Equal(maturities[0], (DateTime)quotes[1, 0]);
}
