/// <summary>
/// Calculate the SABR implied volatilities for the strike values.
/// This method uses the calibration engine indexed by the exerciseTime/assetCode pair
/// When an ATM engine is used then the assetCode is ignored.
/// </summary>
/// <param name="engineHandle">The CalibrationEngine to use</param>
/// <param name="exerciseTime">Option Expiry index</param>
/// <param name="assetCode">Swap Tenor index</param>
/// <param name="strikes">The strike to calculate Volatilities for, as decimal</param>
/// <returns></returns>
public static decimal[] SabrInterpolateVolatilities(string engineHandle, string exerciseTime,
string assetCode, double[] strikes)
{
decimal[] decimalStrikes = strikes.Select(a => (decimal)a).ToArray();
return(Swaption.Instance().SABRInterpolateVolatilities(engineHandle, exerciseTime,
assetCode, decimalStrikes));
}
/// <summary>
/// Generate an ATM (At-The-Money) Swaption Calibration engine using the supplied parameters
/// This form of engine creates a single cell engine that does not support asset/volatility grid data.
/// </summary>
/// <param name="engineHandles">The engine identifier</param>
/// <param name="settingsHandles">The settings identifier</param>
/// <param name="nu">Nu value</param>
/// <param name="rho">Rho value</param>
/// <param name="atmVolatilities">The ATM volatility</param>
/// <param name="assetPrices">Asset Price to use</param>
/// <param name="exerciseTimes">Exercise time for the option</param>
/// <returns></returns>
public static string[] CalibrateSabrAtmModels(string[] engineHandles, string[] settingsHandles, decimal[] nu, decimal[] rho,
decimal[] atmVolatilities, decimal[] assetPrices, string[] exerciseTimes)
{
// Create the parameters used in this engine
return
(Swaption.Instance().SABRCalibrateATMModels(engineHandles, settingsHandles, nu, rho,
atmVolatilities, assetPrices, exerciseTimes));
}
/// <summary>
/// Calculate the SABR implied volatility for the strike value.
/// This method uses the calibration engine indexed by the exerciseTime/assetCode pair
/// When an ATM engine is used then the assetCode is ignored.
/// </summary>
/// <param name="engineHandle">The CalibrationEngine to use</param>
/// <param name="exerciseTime">Option Expiry index</param>
/// <param name="assetCode">Swap Tenor index</param>
/// <param name="strike">The strike to calculate Volatility for, as percent</param>
/// <returns></returns>
public static decimal SabrImpliedVolatility(string engineHandle, string exerciseTime, string assetCode, double strike)
{
decimal pStrike = Convert.ToDecimal(strike / 100);
decimal result = Swaption.Instance().SABRInterpolateVolatility(engineHandle, exerciseTime,
assetCode, pStrike);
return(result);
}
/// <summary>
/// Generate a new set of full calibration engines for the supplied data.
/// Add or overwrite the engine store for the new engine.
/// Each engineId will point to a set of engines indexed by swap tenor and option expiry
/// </summary>
/// <param name="engineHandle">Calibration Engine handle</param>
/// <param name="settingsHandle">Calibartion settings handle</param>
/// <param name="rawVols">A grid of volatilities (with row/column labels)</param>
/// <param name="rawAssets">A grid of asset values</param>
/// <param name="optionEx">The ption expiry to index against</param>
/// <returns></returns>
public static string CalibrateSabrModel(string engineHandle, string settingsHandle, object[,] rawVols, object[,] rawAssets, string optionEx)
{
// Create the asset and volatility arrays for the Interface
object[,] volsRawTable = RedimensionVolatilityGrid(rawVols, true);
// Create the asset and volatility arrays for the Interface
object[,] assetRawTable = RedimensionAssetGrid(rawAssets);
return
(Swaption.Instance().SABRCalibrateModel(engineHandle, settingsHandle, volsRawTable, assetRawTable, optionEx));
}
/// <summary>
/// Generate an Interpolated Swaption Calibration Engine using the supplied parameters.
/// The calibrationArray has the handles of the Calibrated Engines to use in the interpolation processs.
/// The interpolation can only be used in the ExpiryTime dimension to generate a new engine.
/// If the engine array refers to unknown engines the process will fail (TBD)
/// </summary>
/// <param name="engineHandle">The name of the new interpolated calibration engine</param>
/// <param name="settingsHandle">The settings to use in calibrating the engine</param>
/// <param name="calibrationRange">The calibration range. </param>
/// <param name="atmVolatility">The At The Money volatility to use in engine calibration</param>
/// <param name="assetPrice">The Asset price to use</param>
/// <param name="exerciseTime">The exercise time to create the new engine for</param>
/// <param name="tenor">The tenor to create the new engine for. This must be a valid tenor</param>
/// <returns></returns>
public static string CalibrateSabrInterpolatedModel(string engineHandle, string settingsHandle, object[,] calibrationRange,
double atmVolatility, double assetPrice, string exerciseTime, string tenor)
{
string[] handles = ConvertRangeToStringArray(calibrationRange);
decimal atm = Convert.ToDecimal(atmVolatility) / 100.0m;
decimal asset = Convert.ToDecimal(assetPrice) / 100.0m;
return(Swaption.Instance().SABRCalibrateInterpolatedModel(engineHandle, settingsHandle, handles,
atm, asset, exerciseTime, tenor));
}
/// <summary>
/// Generate an ATM (At-The-Money) Swaption Calibration engine using the supplied parameters
/// This form of engine creates a single cell engine that does not support asset/volatility grid data.
/// </summary>
/// <param name="engineHandle">The engine identifier</param>
/// <param name="settingsHandle">The settings identifier</param>
/// <param name="nu">Nu value</param>
/// <param name="rho">Rho value</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="exerciseTime">Exercise time for the option</param>
/// <returns></returns>
public static string CalibrateSabrAtmModel(string engineHandle, string settingsHandle, double nu, double rho,
double atmVolatility, double assetPrice, string exerciseTime)
{
// Create the parameters used in this engine
decimal pNu = Convert.ToDecimal(nu);
decimal pRho = Convert.ToDecimal(rho);
decimal pAtmVolatility = Convert.ToDecimal(atmVolatility) / 100.0m;
decimal pAssetPrice = Convert.ToDecimal(assetPrice) / 100.0m;
return
(Swaption.Instance().SABRCalibrateATMModel(engineHandle, settingsHandle, pNu, pRho,
pAtmVolatility, pAssetPrice, exerciseTime));
}
/// <summary>
///
/// </summary>
/// <param name="engine"></param>
/// <param name="expiry"></param>
/// <param name="tenor"></param>
/// <returns></returns>
public static decimal CalibrationError(string engine, string expiry, string tenor)
{
return(Swaption.Instance().CalibrationError(engine, expiry, tenor));
}
/// <summary>
/// Get the Calibration status for the calibration engine using
/// the expiry/tenor pair
/// </summary>
/// <param name="engine">The calibration engine handle</param>
/// <param name="expiry">The exercise time of the option</param>
/// <param name="tenor">The asset Code of the swap (tenor)</param>
/// <returns></returns>
public static bool IsModelCalibrated(string engine, string expiry, string tenor)
{
return(Swaption.Instance().IsModelCalibrated(engine, expiry, tenor));
}
/// <summary>
/// Get the Rho value for the calibration engine using
/// the expiry/tenor pair
/// </summary>
/// <param name="engine">The calibration engine handle</param>
/// <param name="expiry">The exercise time of the option</param>
/// <param name="tenor">The asset Code of the swap (tenor)</param>
/// <returns></returns>
public static decimal GetSabrParameterRho(string engine, string expiry, string tenor)
{
return(Swaption.Instance().GetSABRParameter(Swaption.CalibrationParameter.Rho, engine, expiry, tenor));
}
/// <summary>
/// Create a new Calibration Settings object. Each new object holds the instrument, currency and beta
/// to use for this settings object. Each new object is stored internally using the supplied handle
/// as an identifying key.
/// The Settings object is used by a Calibration Engine to define base parameters on which to calibrate.
/// </summary>
/// <param name="calibrationHandle">A handle</param>
/// <param name="calibrationInstrument">The instrument type to use</param>
/// <param name="calibrationCurrency">The currency setting</param>
/// <param name="beta">The Beta parameter to use</param>
/// <returns></returns>
public static string[] AddSabrCalibrationSettingArray(string[] calibrationHandle,
string calibrationInstrument, string calibrationCurrency, decimal[] beta)
{
return(Swaption.Instance().SabrAddCalibrationSettings(calibrationHandle,
calibrationInstrument, calibrationCurrency, beta));
}
/// <summary>
/// Create a new Calibration Settings object. Each new object holds the instrument, currency and beta
/// to use for this settings object. Each new object is stored internally using the supplied handle
/// as an identifying key.
/// The Settings object is used by a Calibration Engine to define base parameters on which to calibrate.
/// </summary>
/// <param name="calibrationHandle">A handle</param>
/// <param name="calibrationInstrument">The instrument type to use</param>
/// <param name="calibrationCurrency">The currency setting</param>
/// <param name="beta">The Beta parameter to use</param>
/// <returns></returns>
public static string AddSabrCalibrationSettings(string calibrationHandle,
string calibrationInstrument, string calibrationCurrency, double beta)
{
return(Swaption.Instance().SabrAddCalibrationSetting(calibrationHandle,
calibrationInstrument, calibrationCurrency, (decimal)beta));
}
