/// <summary>
/// Create a full calibration model.This version uses the volatility grid to generate an engine
/// for each swap tenor (row values)
/// </summary>
/// <param name="volatilityGrid">The vols grid</param>
/// <param name="assetGrid">The asset grid</param>
/// <param name="settings">The SABR settings</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="optionExpiry">The ATM pointer</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SwaptionDataMatrix volatilityGrid,
ForwardRatesMatrix assetGrid, SABRCalibrationSettings settings, string calibrationEngineId, string optionExpiry)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
// Generate a new entry in the engineCollection for each row in the volatility grid
foreach (string tenor in volatilityGrid.GetTenors())
{
var assetPrice = assetGrid.GetAssetPrice(optionExpiry, tenor);
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Generate the Vols and Strikes lists for the engine
List <decimal> vols = volatilityGrid.GetVolatility(tenor).ToList();
List <decimal> strikes = volatilityGrid.GetStrikes().Select(strike => assetPrice + strike).ToList();
// Only add a new Calibration Engine (and Calibrate it) if the vols are greater than 0
if (!SABRHelper.ValidateData(vols))
{
continue;
}
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, strikes, vols, assetPrice, exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
}
return(engineCollection);
}
private static string SabrCalibrationSettings(string swaption)
{
const string instrumentType = "Swaption";
const string currency = "AUD";
const double beta = 1;
return(SABRHelper.AddSabrCalibrationSettings(swaption, instrumentType, currency, beta));
}
public void SabrInterpolateVolatilityTest()
{
const string expiry = "3m";
const string tenor = "0.25y";
string handle = SabrAtmCalibrationWithTenor();
const double strike = 2;
double actual = (double)SABRHelper.SabrImpliedVolatility(handle, expiry,
tenor, strike);
const double expected = 0.31687;
Assert.AreEqual(expected, actual, 0.00001);
}
public void SabrInterpolateVolatilitiesTest()
{
const string expiry = "3m";
const string tenor = "0.25y";
string handle = SabrAtmCalibrationWithTenor();
double[] strikes = { 0.02, 0.03 };
decimal[] actuals = SABRHelper.SabrInterpolateVolatilities(handle, expiry, tenor, strikes);
const double expected = 0.31687;
Assert.AreEqual(expected, (double)actuals[0], 0.00001);
}
public void SabrInterpolateVolatilityLegacyInputsTest()
{
const string calibrationHandle = "SABR Full Settings 20y1y";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument,
calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
object[,] vols
=
{
{ "Swap Tenor", "ATM - 193.810720549067", "ATM - 93.8107205490671", "ATM - 43.8107205490671", "ATM - 18.8107205490671", "ATM", "ATM + 6.18927945093288", "ATM + 31.1892794509329", "ATM + 56.1892794509329", "ATM + 106.189279450933", "ATM + 206.189279450933" },
{ "1y", 18.55, 16.32, 15.60, 15.35, 15.20, 15.16, 15.01, 14.91, 14.80, 14.83 }
};
object[,] assets
=
{
{ null, null, null, null, null, null, null, null, null, null, null, null, null, null, null },
{ "Option Expiry", 1d, 2d, 3d, 4d, 5d, 6d, 7d, 8d, 9d, 10d, 12d, 15d, 20d, 30d },
{ "0m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "1m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "2m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "3m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "6m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10, 7.10, 7.00, 7.00, 7.00 },
{ "1y", 7.01, 7.01, 7.08, 7.11, 7.11, 7.09, 7.09, 7.08, 7.08, 7.06, 7.06, 6.97, 6.97, 6.97 },
{ "2y", 7.00, 7.10, 7.09, 7.12, 7.10, 7.10, 7.09, 7.08, 7.07, 7.05, 7.05, 6.92, 6.92, 6.92 },
{ "3y", 7.21, 7.13, 7.10, 7.12, 7.11, 7.10, 7.09, 7.07, 7.05, 7.02, 7.02, 6.87, 6.87, 6.87 },
{ "4y", 7.02, 7.03, 7.01, 7.06, 7.06, 7.05, 7.03, 7.01, 6.98, 6.96, 6.96, 6.79, 6.79, 6.79 },
{ "5y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92, 6.92, 6.71, 6.71, 6.71 },
{ "6y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92, 6.92, 6.71, 6.71, 6.71 },
{ "7y", 7.02, 7.01, 7.00, 7.01, 6.97, 6.94, 6.91, 6.87, 6.82, 6.78, 6.92, 6.50, 6.71, 6.71 },
{ "8y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.92, 6.71, 6.71, 6.71 },
{ "9y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.92, 6.71, 6.71, 6.71 },
{ "10y", 6.83, 6.79, 6.76, 6.77, 6.74, 6.68, 6.62, 6.56, 6.50, 6.45, 6.92, 6.08, 6.71, 6.71 },
{ "12y", 6.69, 6.65, 6.61, 6.58, 6.51, 6.45, 6.38, 6.31, 6.22, 6.14, 6.92, 5.78, 6.71, 6.71 },
{ "15y", 6.26, 6.23, 6.16, 6.12, 6.04, 5.94, 5.84, 5.75, 5.67, 5.59, 6.92, 5.25, 6.71, 6.71 },
{ "20y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "30y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
};
const string expiry = "20y";
const string tenor = "1y";
const string engineHandle = "Full Calibration 20y1y";
const double strike = 7;
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
const double expected = 0.149766076068191;// 0.14976614
Assert.AreEqual(expected, (double)actual, 0.00000001);
}
private static string SabrAtmCalibrationWithTenor()
{
const string expiry = "3m";
const string tenor = "0.25y";
const string swaption = "VOLGRID " + expiry + tenor;
const double atmVolatility = 20;
const double assetPrice = 3.44;
const double nu = 0.7561;
const double rho = -0.3702;
string handle = Handle(expiry, tenor);
SabrCalibrationSettings(swaption);
return(SABRHelper.CalibrateSabrAtmModelWithTenor(handle, swaption, nu, rho, atmVolatility,
assetPrice, 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 bool IsSABRModelCalibrated(string engine, string expiry, string tenor)
{
if (_sabrEngines.ContainsKey(engine))
{
//SABREngineCollection SABREngines = _SABREngines[engine];
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(expiry), SABRHelper.GenerateTenorLabel(tenor));
if (sabrEngines.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
return(calibrationEngine.IsSABRModelCalibrated);
}
}
return(false);
}
/// <summary>
/// Get the Calibration Engine Calibration Error 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 decimal SABRCalibrationError(string engine, string expiry, string tenor)
{
if (_sabrEngines.ContainsKey(engine))
{
//SABREngineCollection SABREngines = _SABREngines[engine];
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(expiry), SABRHelper.GenerateTenorLabel(tenor));
if (sabrEngines.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
return(calibrationEngine.CalibrationError);
}
throw new ArgumentException("The Calibration Engine with Key(" + expiry + "," + tenor + ") not found.");
}
throw new ArgumentException("Calibration Engine " + engine + " not found.");
}
public void SabrInterpolateVolatilityStandardInputsTest2()
{
const string calibrationHandle = "SABR Full Settings 6m1y";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
object[,] vols
=
{
{ "Swap Tenor", "ATM - 199.054193939524", "ATM - 99.0541939395239", "ATM - 49.0541939395239", "ATM - 24.0541939395239", "ATM", "ATM + 0.945806060476073", "ATM + 25.9458060604761", "ATM + 50.9458060604761", "ATM + 100.945806060476", "ATM + 200.945806060476" },
{ "1y", 39.10, 33.00, 31.10, 30.43, 29.93, 29.91, 29.50, 29.21, 28.96, 29.28 }
};
object[,] assets
=
{
{ "Option Expiry", 1d, 2d, 3d, 4d, 5d, 6d, 7d, 8d, 9d, 10d },
{ "0m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "1m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "2m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "3m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "6m", 7.23, 7.10, 7.12, 7.16, 7.15, 7.13, 7.12, 7.11, 7.11, 7.10 },
{ "1y", 7.01, 7.01, 7.08, 7.11, 7.11, 7.09, 7.09, 7.08, 7.08, 7.06 },
{ "2y", 7.00, 7.10, 7.09, 7.12, 7.10, 7.10, 7.09, 7.08, 7.07, 7.05 },
{ "3y", 7.21, 7.13, 7.10, 7.12, 7.11, 7.10, 7.09, 7.07, 7.05, 7.02 },
{ "4y", 7.02, 7.03, 7.01, 7.06, 7.06, 7.05, 7.03, 7.01, 6.98, 6.96 },
{ "5y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92 },
{ "6y", 7.01, 7.00, 7.01, 7.05, 7.04, 7.02, 7.00, 6.97, 6.94, 6.92 },
{ "7y", 7.02, 7.01, 7.00, 7.01, 6.97, 6.94, 6.91, 6.87, 6.82, 6.78 },
{ "8y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "9y", 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71, 6.71 },
{ "10y", 6.83, 6.79, 6.76, 6.77, 6.74, 6.68, 6.62, 6.56, 6.50, 6.45 },
};
const string expiry = "6m";
const string tenor = "1y";
const string engineHandle = "Full Calibration 6m1y";
const double strike = 2.5;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument, calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
Assert.AreEqual(engineHandle, handle2);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
Assert.AreEqual(0.6210, (double)actual, 0.0001);
}
/// <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>
/// 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</param>
/// <returns></returns>
public decimal SABRInterpolateVolatility(string engineHandle, string exerciseTime, string assetCode, decimal strike)
{
decimal result = 0;
string errmsg = "";
// Only process if the engine object holder holds the engine for this exercise/asset key
if (_sabrEngines.ContainsKey(engineHandle))
{
// Extract the information we need from this engine holder
var engine = _sabrEngines[engineHandle];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(exerciseTime), SABRHelper.GenerateTenorLabel(assetCode));
// Check that the engine for this exercise/asset key exists
if (engine.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = engine[key];
if (!calibrationEngine.IsSABRModelCalibrated)
{
throw new ArgumentException(string.Format(CultureInfo.CurrentCulture, "SABR Engine with key: {0}:{1} is not calibrated", new object[] { key.Expiry, key.Tenor }));
}
// Create SABRImpliedVolatility parameters
decimal assetPrice = _engineRatesGrid.ContainsKey(engineHandle) ? _engineRatesGrid[engineHandle].GetAssetPrice(exerciseTime, assetCode) : calibrationEngine.AssetPrice;
decimal strikeValue = strike;
var expiry = (decimal)SABRHelper.GenerateDayValue(exerciseTime, 365.0d);
//decimal strikeValue = strike / 100.0m;
// build an ImpliedVolatility object
SABRParameters parameters = calibrationEngine.GetSABRParameters;
var vol = new SABRImpliedVolatility(parameters, true);
// value the strike (interpolate as necessary)
if (!vol.SABRInterpolatedVolatility(assetPrice, expiry, strikeValue, ref errmsg, ref result, true))
{
throw new ArgumentException(errmsg);
}
}
else
{
throw new ArgumentException("The Calibration Engine with Key(" + exerciseTime + "," + assetCode + ") not found.");
}
}
else
{
throw new ArgumentException("Calibration Engine " + engineHandle + " not found.");
}
return(result);
}
public void SabrInterpolateVolatilityTest2()
{
const string expiry = "6m";
const double strike = 0.03;
const double assetCode = 5.0587;
const double nu = 0.9211;
const double rho = -0.2823;
const double atmVol = 23.18;
const string tenor = "1y";
const string handle = "6m1y ATM VOLGRID Calibration";
string swaption = SABRHelper.AddSabrCalibrationSettings("VOLGRID 6m1y", "Swaption", "AUD", 1);
string handle2 =
SABRHelper.CalibrateSabrAtmModelWithTenor(handle, swaption, nu, rho, atmVol,
assetCode, expiry, tenor);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, strike);
const double expected = 1.3829;
Assert.AreEqual(expected, (double)actual, 0.0001);
}
/// <summary>
/// Create an ATM calibration engine. Such an engine is designed for a single value
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</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="optionExpiry">The ATM pointer</param>
/// <param name="assetCode">The ATM identifiier (if used)</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, decimal nu, decimal rho, decimal atmVolatility, decimal assetPrice,
string optionExpiry, string assetCode)
{
// basic setup
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, nu, rho, atmVolatility, assetPrice,
exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateATMSABRModel();
// Add the new engine to our collection
SABRKey key = assetCode != null ? new SABRKey(optionExpiry, assetCode) : new SABRKey(optionExpiry);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
/// <summary>
/// Get the SABR Calibration engine parameter for the provided options
/// The exercise/tenor pair form the key to the correct calibration engine
/// from an underlying store.
/// </summary>
/// <param name="param">The parameter type to return</param>
/// <param name="engine">The engine to use</param>
/// <param name="pExercise">The exercise (option expiry) part of the key</param>
/// <param name="pTenor">The tenor (asset code) part of the key</param>
/// <returns></returns>
public decimal GetSABRParameter(CalibrationParameter param, string engine, string pExercise, string pTenor)
{
string exercise = SABRHelper.GenerateTenorLabel(pExercise);
string tenor = SABRHelper.GenerateTenorLabel(pTenor);
if (!_sabrEngines.ContainsKey(engine))
{
throw new ArgumentException("Calibration Engine " + engine + " not found.");
}
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(exercise, tenor);
if (!sabrEngines.ContainsKey(key))
{
throw new ArgumentException("The Calibration Engine with Key(" + exercise + "," + tenor + ") not found.");
}
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
SABRParameters parameters = calibrationEngine.GetSABRParameters;
switch (param)
{
case CalibrationParameter.Alpha:
return(parameters.Alpha);
case CalibrationParameter.Beta:
return(parameters.Beta);
case CalibrationParameter.Nu:
return(parameters.Nu);
case CalibrationParameter.Rho:
return(parameters.Rho);
default:
throw new ArgumentException("Unknown Calibration Parameter request");
}
}
/// <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
/// Calibration assumes that the format of the grid data is as follows:
///
/// + XXXX | lbl0 | lbl1 | ... | lbln +
/// | lbl0 | d[0,0] | d[0,1] | ... | d[0,n] |
/// | lbl1 | d[1,0] | d[1,1] | ... | d[1,n] |
/// | ... | ... | ... | ... | ... |
/// + lbln | d[n,0] | d[n,1] | ... | d[n,n] +
///
/// </summary>
/// <param name="engineHandle">Calibration Engine handle</param>
/// <param name="settingsHandle">Calibartion settings handle</param>
/// <param name="strikes">An array of strikes.</param>
/// <param name="rawVols">A grid of volatilities (with row/column labels)</param>
/// <param name="rawAssets">A grid of asset values</param>
/// <param name="assetExpiry">An array of asset expiries.</param>
/// <param name="optionEx">The ption expiry to index against</param>
/// <param name="tenors">An array of expiry tenors.</param>
/// <param name="assetTenors">An array of asset tenors.</param>
/// <returns></returns>
public string SABRCalibrateModel(string engineHandle, string settingsHandle, String[] tenors, decimal[] strikes,
Decimal[,] rawVols, Decimal[,] rawAssets, String[] assetTenors, String[] assetExpiry, string optionEx)
{
// Create the asset and volatility data grids
SwaptionDataMatrix volatilityGrid = ParseVolatilityInput(tenors, strikes, rawVols, optionEx);
ForwardRatesMatrix assetGrid = ParseAssetInputWithInterpolation(assetTenors, assetExpiry, rawAssets);
// Retrieve the calibration settings to use with this calibration engine
SABRCalibrationSettings settings = _sabrSettings[settingsHandle];
// Generate the CalibrationEngine Id
string calibrationEngineId = engineHandle;
string optionExpiry = SABRHelper.GenerateTenorLabel(optionEx);
// Create a new engine holder object
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngine =
BuildEngineCollection(volatilityGrid, assetGrid, settings, calibrationEngineId, optionExpiry);
// We have an asset grid (forward rates) with this engine type so we should keep it
// for future reference (that is during the lifetime of this session)
if (_engineRatesGrid.ContainsKey(engineHandle))
{
_engineRatesGrid[engineHandle] = assetGrid;
}
else
{
_engineRatesGrid.Add(engineHandle, assetGrid);
}
// Add the SABREngine to the persistent store
if (_sabrEngines.ContainsKey(calibrationEngineId))
{
_sabrEngines[calibrationEngineId] = sabrEngine;
}
else
{
_sabrEngines.Add(calibrationEngineId, sabrEngine);
}
return(engineHandle);
}
/// <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>
/// <param name="assetCode">The asset code.</param>
/// <returns></returns>
public string SABRCalibrateATMModel(string engineHandle, string settingsHandle, decimal nu, decimal rho, decimal atmVolatility,
decimal assetPrice, string exerciseTime, string assetCode)
{
// Create the parameters used in this engine
SABRCalibrationSettings settings = _sabrSettings[settingsHandle];
// Create the engine
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngine = BuildEngineCollection(settings, engineHandle, nu, rho, atmVolatility,
assetPrice, SABRHelper.GenerateTenorLabel(exerciseTime), SABRHelper.GenerateTenorLabel(assetCode));
// Add the SABREngine to the persistent store
if (_sabrEngines.ContainsKey(engineHandle))
{
_sabrEngines[engineHandle] = sabrEngine;
}
else
{
_sabrEngines.Add(engineHandle, sabrEngine);
}
return(engineHandle);
}
public void SabrInterpolateVolatilityMultipleTenorsTest()
{
const string calibrationHandle = "SABR Full 6m Settings";
const string calibrationInstrument = "Swaption";
const string calibrationCurrency = "AUD";
const double beta = 1;
string result = SABRHelper.AddSabrCalibrationSettings(calibrationHandle, calibrationInstrument,
calibrationCurrency, beta);
Assert.AreEqual(calibrationHandle, result);
object[,] assets
=
{
{ "Option Expiry", "Swap Tenor", 1d, 2d, 3d, 4d, 5d, 7d, 10d },
{ "1m", null, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "2m", null, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "3m", "Years to E", 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "6m", 0.5, 6.8000, 6.8000, 6.8000, 6.8000, 6.8000, 6.7000, 6.6000 },
{ "1yr", 1, 6.8000, 6.8000, 6.9000, 6.9000, 6.8000, 6.7000, 6.6000 },
{ "2yr", 2, 6.8500, 6.8000, 6.8000, 6.7750, 6.7000, 6.6000, 6.5500 },
{ "3yr", 3, 6.9000, 6.8000, 6.7000, 6.6500, 6.6000, 6.5000, 6.5000 },
{ "4yr", 4, 6.7000, 6.6000, 6.5500, 6.5250, 6.5000, 6.4500, 6.4000 },
{ "5yr", 5, 6.4000, 6.4000, 6.4000, 6.4000, 6.4000, 6.4000, 6.3000 },
{ "7yr", 7, 6.4000, 6.4000, 6.3000, 6.4000, 6.3500, 6.4000, 6.2000 },
{ "10yr", 10, 6.4000, 6.4000, 6.3000, 6.4000, 6.3000, 6.4000, 6.1000 },
};
object[,] vols
=
{
{ "Swap Tenor", "ATM - 100", "ATM - 75", "ATM - 50", "ATM - 25", "ATM", "ATM + 25", "ATM + 50", "ATM + 75", "ATM + 100" },
{ "1yr", 10.50, 10.30, 10.04, 9.87, 9.77, 9.65, 9.61, 9.61, 9.69 },
{ "2yr", 10.68, 10.40, 10.16, 10.03, 9.94, 9.83, 9.79, 9.78, 9.83 },
{ "3yr", 10.86, 10.60, 10.40, 10.25, 10.14, 10.05, 10.01, 10.01, 10.06 },
{ "4yr", 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00 },
{ "5yr", 10.82, 10.60, 10.39, 10.26, 10.16, 10.02, 9.99, 10.00, 10.07 },
{ "7yr", 10.94, 10.81, 10.56, 10.41, 10.31, 10.15, 10.12, 10.13, 10.20 },
{ "10yr", 11.15, 10.92, 10.74, 10.62, 10.52, 10.31, 10.27, 10.29, 10.38 },
};
const string expiry = "6M";
const string tenor = "1y";
const string engineHandle = "Full Calibration 20y1y";
string handle2 = SABRHelper.CalibrateSabrModel(engineHandle, calibrationHandle, vols, assets, expiry);
decimal actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 5.8);
Assert.AreEqual(.1052, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.05);
Assert.AreEqual(.1027, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.3);
Assert.AreEqual(.1006, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.55);
Assert.AreEqual(.0989, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 6.8);
Assert.AreEqual(.0977, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.05);
Assert.AreEqual(.0969, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.30);
Assert.AreEqual(.0964, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.55);
Assert.AreEqual(.0963, (double)actual, 0.0001);
actual = SABRHelper.SabrImpliedVolatility(handle2, expiry, tenor, 7.80);
Assert.AreEqual(.0966, (double)actual, 0.0001);
}
