/// <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>
/// Create an Interpolated calibration engine. Such an engine is designed for a single value
/// derived from a set of base engines.
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="engines">The array of engine handles to use</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="tenor">The tenor to create the new engine for. This must be a valid tenor</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings, string calibrationEngineId, IEnumerable <KeyValuePair <SABRKey, SABRCalibrationEngine> > engines, decimal atmVolatility, decimal assetPrice, string optionExpiry, string tenor)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
var indexTenor = (decimal)SABRHelper.GenerateDayValue(tenor, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, engines, atmVolatility, assetPrice, exerciseTime, indexTenor);
// Calibrate the engine
calibrationEngine.CalibrateInterpSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
/// <summary>
/// Calculate the SABR implied volatility for the strike value.
/// This method uses the calibration engine indexed by the exerciseTime/assetCode pair
/// When an ATM engine is used then the assetCode is ignored.
/// </summary>
/// <param name="engineHandle">The CalibrationEngine to use</param>
/// <param name="exerciseTime">Option Expiry index</param>
/// <param name="assetCode">Swap Tenor index</param>
/// <param name="strike">The strike to calculate Volatility for</param>
/// <returns></returns>
public decimal SABRInterpolateVolatility(string engineHandle, string exerciseTime, string assetCode, decimal strike)
{
decimal result = 0;
string errmsg = "";
// Only process if the engine object holder holds the engine for this exercise/asset key
if (_sabrEngines.ContainsKey(engineHandle))
{
// Extract the information we need from this engine holder
var engine = _sabrEngines[engineHandle];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(exerciseTime), SABRHelper.GenerateTenorLabel(assetCode));
// Check that the engine for this exercise/asset key exists
if (engine.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = engine[key];
if (!calibrationEngine.IsSABRModelCalibrated)
{
throw new ArgumentException(string.Format(CultureInfo.CurrentCulture, "SABR Engine with key: {0}:{1} is not calibrated", new object[] { key.Expiry, key.Tenor }));
}
// Create SABRImpliedVolatility parameters
decimal assetPrice = _engineRatesGrid.ContainsKey(engineHandle) ? _engineRatesGrid[engineHandle].GetAssetPrice(exerciseTime, assetCode) : calibrationEngine.AssetPrice;
decimal strikeValue = strike;
var expiry = (decimal)SABRHelper.GenerateDayValue(exerciseTime, 365.0d);
//decimal strikeValue = strike / 100.0m;
// build an ImpliedVolatility object
SABRParameters parameters = calibrationEngine.GetSABRParameters;
var vol = new SABRImpliedVolatility(parameters, true);
// value the strike (interpolate as necessary)
if (!vol.SABRInterpolatedVolatility(assetPrice, expiry, strikeValue, ref errmsg, ref result, true))
{
throw new ArgumentException(errmsg);
}
}
else
{
throw new ArgumentException("The Calibration Engine with Key(" + exerciseTime + "," + assetCode + ") not found.");
}
}
else
{
throw new ArgumentException("Calibration Engine " + engineHandle + " not found.");
}
return(result);
}
/// <summary>
/// Create an ATM calibration engine. Such an engine is designed for a single value
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="nu">Nu value</param>
/// <param name="rho">Rho value</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="assetCode">The ATM identifiier (if used)</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, decimal nu, decimal rho, decimal atmVolatility, decimal assetPrice,
string optionExpiry, string assetCode)
{
// basic setup
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, nu, rho, atmVolatility, assetPrice,
exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateATMSABRModel();
// Add the new engine to our collection
SABRKey key = assetCode != null ? new SABRKey(optionExpiry, assetCode) : new SABRKey(optionExpiry);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
