/// <summary>
/// Values at, overriding calibrated Wing Model with supplied parms
/// </summary>
/// <param name="stock"></param>
/// <param name="expiry">The expiry.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="parms">The parms.</param>
/// <param name="oride"></param>
/// <param name="cache">if set to <c>true</c> [cache].</param>
/// <returns></returns>
public ForwardExpiry ValueAt(Stock stock, DateTime expiry, List <Double> strikes, OrcWingParameters parms, bool oride, bool cache)
{
var fwdExpiry = new ForwardExpiry {
ExpiryDate = expiry
};
double forward = stock.GetForward(stock.Date, expiry);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
foreach (double strike in strikes)
{
double val = OrcWingVol.Value(strike, parms);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
bool node = VolatilitySurfaceHelper.IsMatch(strike, expiry, NodalExpiries);
Strike newstrike;
if (node & oride)
{
newstrike = VolatilitySurfaceHelper.GetStrike(strike, expiry, NodalExpiries);
//new data points, derefernce fitting model
newstrike.InterpModel = null;
}
else
{
//var wingModel = new WingInterp {WingParams = parms};
newstrike = new Strike {
StrikePrice = strike, InterpModel = null
};
//newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
}
newstrike.SetVolatility(vp);
}
return(fwdExpiry);
}
private static object[,] DisplayVolatilitySurface2(Pair <PricingStructure, PricingStructureValuation> fpMLPair)
{
var points = ((VolatilityMatrix)fpMLPair.Second).dataPoints.point;
var matrixAsTwoDimArray = VolatilitySurfaceHelper.GetExpirationByStikeVolatilityMatrixWithDimensions(points);
return(matrixAsTwoDimArray);
}
/// <summary>
///
/// </summary>
/// <param name="expirationAsDate"></param>
/// <param name="strike"></param>
/// <returns></returns>
public double GetValueByExpirationAndStrike(DateTime expirationAsDate, double strike)
{
var dataPoints = GetDataPoints();
var baseDate = PricingStructureValuation.baseDate.Value;
double dimension1 = (expirationAsDate - baseDate).TotalDays / 365.0;
return(VolatilitySurfaceHelper.GetValue(dataPoints, dimension1, strike));
}
public void LoadInterestRateVolCurveTest()
{
CreateATMRateVolCurve("AUD", "3M", IrVolInstruments, IrVolValues, IrStrikes);
var curve = (CapVolatilityCurve)CurveEngine.LoadVolatilityCurve(Market, "AUD", "3M", null);
Assert.IsNotNull(curve);
// 3M does exist
Assert.AreEqual("3M", curve.GetPricingStructureId().Properties.GetString("IndexTenor", true));
//var baseDate = curve.GetBaseDate();
var expiration = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
CubeDimension.Expiration);
var volatilities = VolatilitySurfaceHelper.GetDimensionValues(curve.GetVolatilityMatrix().dataPoints?.point,
CubeDimension.Volatility);
var valArray = new List <Decimal>();
foreach (var vol in volatilities)
{
valArray.Add((decimal)vol);
}
var expiryArray = new List <TimeDimension>();
//var valArray = new List<Decimal>();
//Debug.Print(baseDate.ToString(CultureInfo.InvariantCulture));
foreach (var expiry in expiration)
{
//Temporary
if (expiry is TimeDimension timeDimension)
{
expiryArray.Add(timeDimension);
}
//var date = expiry as DateTime? ?? baseDate.AddDays(1);
//expiryArray.Add(date);
//Debug.Print(expiry.ToString());
}
var termPoints = TermPointsFactory.Create(expiryArray, valArray);
var termCurve = new TermCurve {
point = termPoints
};
var output = XmlSerializerHelper.SerializeToString(termCurve);
Debug.Print(output);
}
/// <summary>
/// Values at.
/// </summary>
/// <param name="stock"></param>
/// <param name="expiries">The expiries.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="?">Cache to vol object</param>
/// <param name="cache"></param>
/// <returns></returns>
public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache)
{
var forwardExpiries = new List <ForwardExpiry>();
foreach (DateTime exp in expiries)
{
var fwdExpiry = new ForwardExpiry();
foreach (double str in strikes)
{
var wingModel = new WingInterp();
double forward = stock.GetForward(stock.Date, exp.Date);
double spot = Convert.ToDouble(stock.Spot);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
double y = str;
double x = (exp.Subtract(Date)).Days / 365.0;
IPoint point = new Point2D(x, y);
InterpCurve.Forward = forward;
InterpCurve.Spot = spot;
var val = InterpCurve.Value(point);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
fwdExpiry.ExpiryDate = exp;
bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries);
// copy model used to return ForwardExpiry object
var newstrike = new Strike {
StrikePrice = str
};
var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction();
//SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction();
wingModel.WingParams = wing.WingParameters;
newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
newstrike.SetVolatility(vp);
}
forwardExpiries.Add(fwdExpiry);
}
return(forwardExpiries);
}
///<summary>
///</summary>
///<param name="dimension1"></param>
///<param name="dimension2"></param>
///<returns></returns>
///<exception cref="NotImplementedException"></exception>
public double GetValue(double dimension1, double dimension2)
{
var dataPoints = GetDataPoints();
return(VolatilitySurfaceHelper.GetValue(dataPoints, dimension1, dimension2));
}
