public void SABRSurfaceRRBF()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddYears(1);
var t = (expiry - origin).TotalDays / 365.0;
var fwd = 1.5;
var vol = 0.32;
var rr = new[] { new[] { 0.02, 0.03 } };
var bf = new[] { new[] { 0.005, 0.007 } };
Func <double, double> fwdCurve = (tt => { return(fwd); });
var surface = new SabrVolSurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Math.Interpolation.Interpolator1DType.Linear);
var gSurface = new RiskyFlySurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Math.Interpolation.Interpolator1DType.Linear, Math.Interpolation.Interpolator1DType.Linear);
var atmK = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.5, 0.0, t, vol);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(atmK, expiry, fwd), 2);
var v25c = gSurface.GetVolForDeltaStrike(0.75, expiry, fwd);
var v25p = gSurface.GetVolForDeltaStrike(0.25, expiry, fwd);
var k25c = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0.0, t, v25c);
var k25p = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0.0, t, v25p);
var t25c = surface.GetVolForAbsoluteStrike(k25c, expiry, fwd);
var t25p = surface.GetVolForAbsoluteStrike(k25p, expiry, fwd);
Assert.Equal(rr[0][0], t25c - t25p, 2);
}
public void SABRSurfaceFlat()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var strikes = new double[][] { new[] { 1.4, 1.6 }, new[] { 1.4, 1.6 } };
var maturities = new DateTime[] { new DateTime(2018, 02, 07), new DateTime(2019, 02, 07) };
var fwd = 1.5;
Func <double, double> fwdCurve = (t => { return(fwd); });
var vols = new double[][]
{
new double[] { 0.32, 0.32 },
new double[] { 0.32, 0.32 }
};
var surface = new SabrVolSurface(
origin, strikes, maturities, vols, fwdCurve,
Math.Interpolation.Interpolator1DType.Linear,
Dates.DayCountBasis.Act_365F);
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(1.5, origin.AddDays(33), fwd), 2);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(-0.3, origin.AddDays(303), fwd), 2);
Assert.Equal(vols[0][0], surface.GetVolForAbsoluteStrike(3, 0.777, fwd), 2);
Assert.Equal(vols[0][0], surface.GetVolForDeltaStrike(0.9, 0.123, fwd), 2);
}
public static object CreateSABRVolSurfaceFromRiskyFly(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Wing deltas")] double[] WingDeltas,
[ExcelArgument(Description = "Expiries")] double[] Expiries,
[ExcelArgument(Description = "ATM Volatilities")] double[] ATMVols,
[ExcelArgument(Description = "Risk Reversal quotes")] double[,] Riskies,
[ExcelArgument(Description = "Butterfly quotes")] double[,] Flies,
[ExcelArgument(Description = "Forwards or price curve object")] object FwdsOrCurve,
[ExcelArgument(Description = "ATM vol type - default zero-delta straddle")] object ATMType,
[ExcelArgument(Description = "Wing quote type - Simple or Market")] object WingType,
[ExcelArgument(Description = "Time Interpolation - default LinearInVariance")] object TimeInterpolation,
[ExcelArgument(Description = "Pillar labels (optional)")] object PillarLabels,
[ExcelArgument(Description = "Currency - default USD")] object Currency)
{
return(ExcelHelper.Execute(_logger, () =>
{
var labels = (PillarLabels is ExcelMissing) ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>();
var ccyStr = Currency.OptionalExcel("USD");
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccyStr, out var ccyCal);
var atmType = ATMType.OptionalExcel("ZeroDeltaStraddle");
var wingType = WingType.OptionalExcel("Simple");
var timeInterpType = TimeInterpolation.OptionalExcel("LinearInVariance");
var expiries = ExcelHelper.ToDateTimeArray(Expiries);
var rr = Riskies.SquareToJagged <double>();
var bf = Flies.SquareToJagged <double>();
if (!Enum.TryParse(wingType, out WingQuoteType wType))
{
return $"Could not parse wing quote type - {wingType}";
}
if (!Enum.TryParse(atmType, out AtmVolType aType))
{
return $"Could not parse atm quote type - {atmType}";
}
if (!Enum.TryParse(timeInterpType, out Interpolator1DType tiType))
{
return $"Could not parse time interpolator type - {timeInterpType}";
}
double[] fwds = null;
if (FwdsOrCurve is double)
{
fwds = new double[] { (double)FwdsOrCurve };
}
else if (FwdsOrCurve is string)
{
if (!ContainerStores.GetObjectCache <IPriceCurve>().TryGetObject(FwdsOrCurve as string, out var curve))
{
return $"Could not find fwd curve with name - {FwdsOrCurve as string}";
}
fwds = expiries.Select(e => curve.Value.GetPriceForDate(e)).ToArray();
}
else
{
fwds = ((object[, ])FwdsOrCurve).ObjectRangeToVector <double>();
}
var surface = new SabrVolSurface(OriginDate, ATMVols, expiries, WingDeltas, rr, bf, fwds, wType, aType, tiType, labels)
{
Currency = ContainerStores.CurrencyProvider[ccyStr],
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName,
};
return ExcelHelper.PushToCache <IVolSurface>(surface, ObjectName);
}));
}
