//! Detailed constructor
public FXVolCurve(Date asof, FXVolatilityCurveSpec spec, Loader loader, CurveConfigurations curveConfigs,
Dictionary <string, FXSpot> fxSpots,
Dictionary <string, YieldCurve> yieldCurves)
{
try
{
FXVolatilityCurveConfig config = curveConfigs.FxVolCurveConfig(spec.CurveConfigID());
Utils.QL_REQUIRE(config.GetDimension() == FXVolatilityCurveConfig.Dimension.ATM ||
config.GetDimension() == FXVolatilityCurveConfig.Dimension.Smile,
() => "Unkown FX curve building dimension");
bool isATM = config.GetDimension() == FXVolatilityCurveConfig.Dimension.ATM;
// We loop over all market data, looking for quotes that match the configuration
// every time we find a matching expiry we remove it from the list
// we replicate this for all 3 types of quotes were applicable.
int n = isATM ? 1 : 3; // [0] = ATM, [1] = RR, [2] = BF
List <List <FXOptionQuote> > quotes = new List <List <FXOptionQuote> >(n);
List <List <Period> > expiries = new InitializedList <List <Period> >(n, config.Expiries());
foreach (var md in loader.LoadQuotes(asof))
{
// skip irrelevant data
if (md.AsofDate() == asof && md.GetInstrumentType() == MarketDatum.InstrumentType.FX_OPTION)
{
FXOptionQuote q = md as FXOptionQuote;
if (q.UnitCcy() == spec.UnitCcy() && q.Ccy() == spec.Ccy())
{
int idx = 999999;
if (q.Strike() == "ATM")
{
idx = 0;
}
else if (q.Strike() == "25RR")
{
idx = 1;
}
else if (q.Strike() == "25BF")
{
idx = 2;
}
// silently skip unknown strike strings
if ((isATM && idx == 0) || (!isATM && idx <= 2))
{
if (expiries[idx].Contains(q.Expiry()))
//var it = std::find(expiries[idx].begin(), expiries[idx].end(), q->expiry());
//if (it != expiries[idx].end())
{
// we have a hit
quotes[idx].Add(q);
// remove it from the list
expiries[idx].Remove(q.Expiry());
}
// check if we are done
// for ATM we just check expiries[0], otherwise we check all 3
if (expiries[0].empty() && (isATM || (expiries[1].empty() && expiries[2].empty())))
{
break;
}
}
}
}
}
// Check ATM first
// Check that we have all the expiries we need
//LOG("FXVolCurve: read " + quotes[0].Count + " ATM vols");
Utils.QL_REQUIRE(expiries[0].Count == 0, () => "No ATM quote found for spec " + spec + " with expiry " + expiries[0].First());
Utils.QL_REQUIRE(quotes[0].Count > 0, () => "No ATM quotes found for spec " + spec);
// No check the rest
if (!isATM)
{
//LOG("FXVolCurve: read " + quotes[1].Count + " RR and " + quotes[2].Count + " BF quotes");
Utils.QL_REQUIRE(expiries[1].Count == 0, () => "No RR quote found for spec " + spec + " with expiry " + expiries[1].First());
Utils.QL_REQUIRE(expiries[2].Count == 0, () => "No BF quote found for spec " + spec + " with expiry " + expiries[2].First());
}
// daycounter used for interpolation in time.
// TODO: push into conventions or config
DayCounter dc = config.DayCounter();
Calendar cal = config.Calendar();
// sort all quotes
for (int i = 0; i < n; i++)
{
// TODO!!
//IComparer<FXOptionQuote> compare =
//quotes[i] = quotes[i].Sort((a,b) => a.Expiry().CompareTo(b.Expiry()))
}
// build vol curve
if (isATM && quotes[0].Count == 1)
{
_vol = new BlackConstantVol(asof, new Calendar(), quotes[0].First().Quote().link.value(), dc);
}
else
{
int numExpiries = quotes[0].Count;
List <Date> dates = new List <Date>(numExpiries);
List <List <double> > vols = new InitializedList <List <double> >(n, new List <double>(numExpiries)); // same as above: [0] = ATM, etc.
for (int i = 0; i < numExpiries; i++)
{
dates[i] = asof + quotes[0][i].Expiry();
for (int idx = 0; idx < n; idx++)
{
vols[idx][i] = quotes[idx][i].Quote().link.value();
}
}
if (isATM)
{
// ATM
_vol = new BlackVarianceCurve(asof, dates, vols[0], dc, false);
}
else
{
// Smile
if (fxSpots.ContainsKey(config.FxSpotID()) && yieldCurves.ContainsKey(config.FxDomesticYieldCurveID()) && yieldCurves.ContainsKey(config.FxForeignYieldCurveID()))
{
var fxSpot = fxSpots[config.FxSpotID()]; // new Handle<Quote>(config.FxSpotID(), fxSpots);
var domYTS = yieldCurves[config.FxDomesticYieldCurveID()];
var forYTS = yieldCurves[config.FxForeignYieldCurveID()];
// TODO!!
//_vol = new QuantExt.FxBlackVannaVolgaVolatilitySurface(asof, dates, vols[0], vols[1], vols[2], dc, cal, fxSpot, domYTS, forYTS));
}
else
{
Utils.QL_FAIL("FXVolCurve: Can't find spec " + spec);
}
}
}
_vol.enableExtrapolation();
}
catch (Exception e)
{
Utils.QL_FAIL("fx vol curve building failed :" + e.Message);
}
}
public TodaysMarket(Date asof, TodaysMarketParameters todaysParams, Loader loader, CurveConfigurations curveConfigs, Conventions conventions) : base(conventions)
{
// Fixings
// Apply them now in case a curve builder needs them
//LOG("Todays Market Loading Fixings");
//applyFixings(loader.loadFixings(), conventions);
//LOG("Todays Market Loading Fixing done.");
// store all curves built, since they might appear in several configurations
// and might therefore be reused
Dictionary <string, YieldCurve> requiredYieldCurves = new Dictionary <string, YieldCurve>();
Dictionary <string, SwapIndex> requiredSwapIndices = new Dictionary <string, SwapIndex>();
Dictionary <string, FXSpot> requiredFxSpots = new Dictionary <string, FXSpot>();
Dictionary <string, FXVolCurve> requiredFxVolCurves = new Dictionary <string, FXVolCurve>();
//Dictionary<string, SwaptionVolCurve> requiredSwaptionVolCurves = new Dictionary<string, SwaptionVolCurve>();
foreach (var configuration in todaysParams.Configurations())
{
//LOG("Build objects in TodaysMarket configuration " << configuration.first);
_asof = asof;
// Build the curve specs
List <CurveSpec> specs = new List <CurveSpec>();
foreach (var it in todaysParams.CurveSpecs(configuration.Key))
{
specs.Add(CurveSpecParser.ParseCurveSpec(it));
//DLOG("CurveSpec: " << specs.back()->name());
}
// order them
//Order(specs, curveConfigs);
bool swapIndicesBuilt = false;
// Loop over each spec, build the curve and add it to the MarketImpl container.
for (int count = 0; count < specs.Count; ++count)
{
var spec = specs[count];
//LOG("Loading spec " << *spec);
switch (spec.BaseType())
{
case CurveSpec.CurveType.Yield:
//YieldCurveSpec ycspec = new YieldCurveSpec(spec);
//Utils.QL_REQUIRE(ycspec != null, () => "Failed to convert spec " + spec + " to yield curve spec");
//// have we built the curve already ?
//auto itr = requiredYieldCurves.find(ycspec->name());
//if (itr == requiredYieldCurves.end())
//{
// // build
// //LOG("Building YieldCurve for asof " << asof);
// YieldCurve yieldCurve = new YieldCurve(asof, *ycspec, curveConfigs, loader, conventions, requiredYieldCurves);
// itr = requiredYieldCurves.insert(make_pair(ycspec->name(), yieldCurve)).first;
//}
////DLOG("Added YieldCurve \"" << ycspec->name() << "\" to requiredYieldCurves map");
//if (itr->second->currency().code() != ycspec->ccy())
//{
// //WLOG("Warning: YieldCurve has ccy " << itr->second->currency() << " but spec has ccy " << ycspec->ccy());
//}
//// We may have to add this spec multiple times (for discounting, yield and forwarding curves)
//List<YieldCurveType> yieldCurveTypes = new List<YieldCurveType>{ YieldCurveType.Discount, YieldCurveType.Yield };
//foreach (var y in yieldCurveTypes)
//{
// MarketObject o = y as MarketObject;
// foreach (auto & it : params.mapping(o, configuration.first))
// {
// if (it.second == spec->name())
// {
// LOG("Adding YieldCurve(" << it.first << ") with spec " << *ycspec << " to configuration " << configuration.first);
// yieldCurves_[make_tuple(configuration.first, y, it.first)] = itr->second->handle();
// }
// }
//}
//for (const auto&it : params.mapping(MarketObject::IndexCurve, configuration.first))
//{
// if (it.second == spec->name())
// {
// LOG("Adding Index(" << it.first << ") with spec " << *ycspec << " to configuration "
// << configuration.first);
// iborIndices_[make_pair(configuration.first, it.first)] =
// Handle<IborIndex>(parseIborIndex(it.first, itr->second->handle()));
// }
//}
break;
case CurveSpec.CurveType.FX:
FXSpotSpec fxspec = spec as FXSpotSpec;
QLNet.Utils.QL_REQUIRE(fxspec != null, () => "Failed to convert spec " + spec + " to fx spot spec");
//// have we built the curve already ?
//var itr = requiredFxSpots.find(fxspec->name());
//if (itr == requiredFxSpots.end())
//{
// // build the curve
// LOG("Building FXSpot for asof " << asof);
// boost::shared_ptr<FXSpot> fxSpot = boost::make_shared<FXSpot>(asof, *fxspec, loader);
// itr = requiredFxSpots.insert(make_pair(fxspec->name(), fxSpot)).first;
//}
//// add the handle to the Market Map (possible lots of times for proxies)
//for (const auto&it : params.mapping(MarketObject::FXSpot, configuration.first))
//{
// if (it.second == spec->name())
// {
// LOG("Adding FXSpot (" << it.first << ") with spec " << *fxspec << " to configuration "
// << configuration.first);
// fxSpots_[configuration.first].addQuote(it.first, itr->second->handle());
// }
//}
break;
default:
throw new NotImplementedException();
}
}
}
}
/// <summary>
/// Constructor
/// </summary>
/// <param name="asof">Valuation date</param>
/// <param name="curveSpec">Yield curve specification</param>
/// <param name="curveConfigs">Repository of yield curve configurations</param>
/// <param name="loader">Market data loader</param>
/// <param name="conventions">Repository of market conventions for building bootstrap helper</param>
/// <param name="requiredYieldCurves">Map of underlying yield curves if required</param>
public YieldCurve(Date asof, YieldCurveSpec curveSpec, CurveConfigurations curveConfigs, Loader loader, Conventions conventions, Dictionary <string, YieldCurve> requiredYieldCurves = null)
{
}