/// <summary>
/// Values at.
/// </summary>
/// <param name="axisValue">The axis value.</param>
/// <param name="extrapolation">if set to <c>true</c> [extrapolation].</param>
/// <returns></returns>
public double ValueAt(double axisValue, bool extrapolation)
{
string engineHandle = SettingsHandle;
decimal time = Convert.ToDecimal(ExpiryTime);
const decimal tenor = 0;
var calibrationEngine =
new SABRCalibrationEngine(engineHandle,
CalibrationSettings,
EngineHandles,
AtmVolatility,
AssetPrice,
time,
tenor
);
calibrationEngine.CalibrateInterpSABRModel();
var sabrParameters = new SABRParameters(calibrationEngine.GetSABRParameters.Alpha,
calibrationEngine.GetSABRParameters.Beta,
calibrationEngine.GetSABRParameters.Nu,
calibrationEngine.GetSABRParameters.Rho);
var sabrImpliedVol = new SABRImpliedVolatility(sabrParameters, false);
var value = Convert.ToDecimal(axisValue) * AssetPrice;
string errMsg = "Error interpolating";
decimal result = 0.0m;
sabrImpliedVol.SABRInterpolatedVolatility(AssetPrice, time, value, ref errMsg, ref result, true);
return(Convert.ToDouble(result));
}
/// <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>
/// 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 SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, ref SortedDictionary <SABRKey, SABRCalibrationEngine> engines,
decimal atmVolatility, decimal assetPrice, string optionExpiry, string tenor)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
decimal exerciseTime = GenerateDayValue(optionExpiry, 365.0m);
decimal indexTenor = GenerateDayValue(tenor, 365.0m);
// Create a new instance of the engine
//(string handle, SABRCalibrationSettings calibrationSettings,
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);
}