public void SimpleOption()
{
foreach (var val in paramRange)
{
ISimpleOptionAssetParameters analyticModelParameters = new SimpleRateOptionAssetParameters
{
isVolatiltiyQuote = true,
NotionalAmount = 10000000.0m,
Rate = .05m,
isDiscounted = false,
isPut = true,
Volatility = val,
Strike = .05m,
PremiumPaymentDiscountFactor = 1.0m,
TimeToExpiry = 0.25m,
YearFraction = .25m
};
var model = new SimpleRateOptionAssetAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.NPV;
var delta0 = model.Delta0;
Debug.Print("ExpectedValue1 : {0} Delta0 : {1} CurveYearFraction : {2} ", result, delta0,
analyticModelParameters.TimeToExpiry);
analyticModelParameters.Premium = result;
var vol = model.VolatilityAtExpiry;
Debug.Print("InputVol : {0} OutputVol : {1} ", analyticModelParameters.Volatility, vol);
}
}
public void SimpleOptionImpliedVol()
{
foreach (var val in paramRange)
{
ISimpleOptionAssetParameters analyticModelParameters = new SimpleRateOptionAssetParameters
{
NotionalAmount = 10000000.0m,
Rate = .05m,
isDiscounted = false,
isPut = true,
Strike = .05m,
Premium = 0.001m,
PremiumPaymentDiscountFactor = 1.0m,
TimeToExpiry = 0.25m,
YearFraction = .25m
};
var model = new SimpleRateOptionAssetAnalytic
{
AnalyticParameters = analyticModelParameters
};
var result = model.VolatilityAtExpiry;
Debug.Print("VolatilityAtExpiry : {0}", result);
analyticModelParameters.Volatility = result;
var vol = model.NPV;
Debug.Print("InputVol : {0} OutputVol : {1} ", analyticModelParameters.Volatility, vol);
}
}
/// <summary>
/// Calculates the specified model data.
/// </summary>
/// <param name="modelData">The model data.</param>
/// <returns></returns>
public override BasicAssetValuation Calculate(IAssetControllerData modelData)
{
ModelData = modelData;
if (AnalyticsModel == null)
{
//AnalyticsModel =
// DependencyCreator.Resolve<IModelAnalytic<ISimpleOptionAssetParameters, RateOptionMetrics>>(
// ModelIdentifier);
AnalyticsModel = new SimpleRateOptionAssetAnalytic();
}
var metrics = MetricsHelper.GetMetricsToEvaluate(Metrics, AnalyticsModel.Metrics);
// Determine if DFAM has been requested - if so that all we evaluate - every other metric is ignored
//
var bEvalVolatilityAtRiskMaturity = false;
if (metrics.Contains(RateOptionMetrics.VolatilityAtExpiry))
{
bEvalVolatilityAtRiskMaturity = true;
// Remove all metrics except DFAM
//
metrics.RemoveAll(metricItem => metricItem != RateOptionMetrics.VolatilityAtExpiry);
}
ISimpleOptionAssetParameters analyticModelParameters = new SimpleRateOptionAssetParameters {
YearFraction = YearFraction
};
AnalyticResults = new SimpleRateOptionAssetResults();
var metricsToEvaluate = metrics.ToArray();
if (IsVolatilityQuote)
{
analyticModelParameters.IsVolatilityQuote = true;
analyticModelParameters.Volatility = Volatility;
}
if (bEvalVolatilityAtRiskMaturity && IsVolatilityQuote)
{
analyticModelParameters.IsVolatilityQuote = true;
AnalyticResults = AnalyticsModel.Calculate <ISimpleRateOptionAssetResults, SimpleRateOptionAssetResults>(analyticModelParameters, metricsToEvaluate);
return(GetValue(AnalyticResults));
}
var marketEnvironment = modelData.MarketEnvironment;
IRateCurve curve = null;
//1. instantiate curve
if (marketEnvironment.GetType() == typeof(SimpleMarketEnvironment))
{
curve = (IRateCurve)((ISimpleMarketEnvironment)marketEnvironment).GetPricingStructure();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SimpleRateMarketEnvironment))
{
curve = ((ISimpleRateMarketEnvironment)marketEnvironment).GetRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
curve = ((ISwapLegEnvironment)marketEnvironment).GetDiscountRateCurve();
CurveName = curve.GetPricingStructureId().UniqueIdentifier;
}
if (marketEnvironment.GetType() == typeof(MarketEnvironment))
{
curve = (IRateCurve)modelData.MarketEnvironment.GetPricingStructure(CurveName);
}
analyticModelParameters.IsPut = !IsCap;
//A cap is a call option on the rate. This rate should reflect the underlying Xibor
analyticModelParameters.Rate = GetRate(curve, modelData.ValuationDate, AdjustedEffectiveDate,
MaturityDate, YearFraction);
analyticModelParameters.Premium = Premium;
//2. get start df = curve.getvalue(this._adjustedStartDate);
//
analyticModelParameters.StartDiscountFactor = GetDiscountFactor(curve, AdjustedEffectiveDate,
modelData.ValuationDate);
analyticModelParameters.PremiumPaymentDiscountFactor = GetDiscountFactor(curve, PaymentDate,
modelData.ValuationDate);
analyticModelParameters.NotionalAmount = Notional;
analyticModelParameters.IsDiscounted = IsDiscounted;
//3. Get the end discount factor
//
analyticModelParameters.EndDiscountFactor = GetDiscountFactor(curve, MaturityDate,
modelData.ValuationDate);
analyticModelParameters.Strike = Strike;
analyticModelParameters.TimeToExpiry = TimeToExpiry;
if (bEvalVolatilityAtRiskMaturity && !IsVolatilityQuote)
{
AnalyticResults =
AnalyticsModel.Calculate <ISimpleRateOptionAssetResults, SimpleRateOptionAssetResults>(
analyticModelParameters, metricsToEvaluate);
return(GetValue(AnalyticResults));
}
if (!IsVolatilityQuote)
{
IVolatilitySurface volCurve;
if (marketEnvironment.GetType() == typeof(SwapLegEnvironment))
{
var me = (ISwapLegEnvironment)marketEnvironment;
volCurve = me.GetVolatilitySurface();
VolCurveName = volCurve.GetPricingStructureId().UniqueIdentifier;
}
else
{
volCurve = (IVolatilitySurface)modelData.MarketEnvironment.GetPricingStructure(VolCurveName);
}
analyticModelParameters.Volatility =
Convert.ToDecimal(volCurve.GetValue((double)TimeToExpiry, (double)Strike));
}
//4. Set the analytic input parameters and Calculate the respective metrics
//
AnalyticResults =
AnalyticsModel.Calculate <ISimpleRateOptionAssetResults, SimpleRateOptionAssetResults>(analyticModelParameters,
metricsToEvaluate);
return(GetValue(AnalyticResults));
}