public static object eqModelGetSABRCalibratedParameters(
[ExcelArgument(Description = "id of SABR model ")] string ObjectId,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);
object[,] ret = new object[6, 2];
ret[0, 0] = "alpha:"; ret[0, 1] = option.alpha();
ret[1, 0] = "beta:"; ret[1, 1] = option.beta();
ret[2, 0] = "nu:"; ret[2, 1] = option.nu();
ret[3, 0] = "rho:"; ret[3, 1] = option.rho();
ret[4, 0] = "rmsError:"; ret[4, 1] = option.rmsError();
ret[5, 0] = "maxError:"; ret[5, 1] = option.maxError();
return(ret);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static object eqModelGetSABRInterpolatedValue(
[ExcelArgument(Description = "id of SABR model ")] string ObjectId,
[ExcelArgument(Description = "x value ")] double x)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
Xl.Range rng = ExcelUtil.getActiveCellRange();
SABRInterpolation option = OHRepository.Instance.getObject <SABRInterpolation>(ObjectId);
return(option.call(x));
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
public static string eqModelSABR(
[ExcelArgument(Description = "id of option to be constructed ")] string ObjectId,
[ExcelArgument(Description = "ATM forward ")] double forward,
[ExcelArgument(Description = "expiry (years of fraction ")] double tenor,
[ExcelArgument(Description = "Strikes ")] double[] strikes,
[ExcelArgument(Description = "implied vols ")] double[] volatilities,
[ExcelArgument(Description = "initial parameters ")] double[] initials,
[ExcelArgument(Description = "is parameters fixed? ")] object[] isfixed,
[ExcelArgument(Description = "trigger ")] object trigger)
{
if (ExcelUtil.CallFromWizard())
{
return("");
}
string callerAddress = "";
callerAddress = ExcelUtil.getActiveCellAddress();
try
{
if (strikes.Length != volatilities.Length)
{
throw new Exception("SABR input lengths don't match.");
}
if ((initials.Length != 4) || (isfixed.Length != 4))
{
throw new Exception("SABR has four parameters");
}
// remove empty volatilities
int[] idx = volatilities.Select((v, Index) => new { V = v, idx = Index })
.Where(x => x.V == 0)
.Select(x => x.idx)
.ToArray();
QlArray xx = new QlArray((uint)strikes.Length - (uint)idx.Length);
QlArray yy = new QlArray((uint)volatilities.Length - (uint)idx.Length);
for (uint i = 0, j = 0; i < strikes.Length; i++)
{
if (volatilities[i] == 0) // empty
{
continue;
}
xx.set(j, strikes[i]);
yy.set(j, volatilities[i]);
j++;
}
EndCriteria endcriteria = new EndCriteria(100000, 100, 1e-8, 1e-8, 1e-8);
OptimizationMethod opmodel = new Simplex(0.01);
// alpha: ATM Vol, beta: CEV param, rho: underlying/vol correlation, nu: vol of vol
SABRInterpolation sabr = new SABRInterpolation(xx, yy, tenor, forward,
initials[0], initials[1], initials[2], initials[3],
endcriteria, opmodel,
(bool)isfixed[0], (bool)isfixed[1], (bool)isfixed[2], (bool)isfixed[3], true);
double err = 0;
// only update if there exist free parameters
if (!((bool)isfixed[0] && (bool)isfixed[1] && (bool)isfixed[2] && (bool)isfixed[3]))
{
err = sabr.update();
}
// Store the option and return its id
string id = "MODEL@" + ObjectId;
OHRepository.Instance.storeObject(id, sabr, callerAddress);
id += "#" + (String)DateTime.Now.ToString(@"HH:mm:ss");
return(id);
}
catch (Exception e)
{
ExcelUtil.logError(callerAddress, System.Reflection.MethodInfo.GetCurrentMethod().Name.ToString(), e.Message);
return(e.Message);
}
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SABRInterpolation obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
