/// <summary>
/// Generate an array of PricingStructurePoint from a set of input arrays
/// The array can then be added to the Matrix
/// </summary>
/// <param name="expiry">Expiry values to use</param>
/// <param name="tenors">Tenor values to use</param>
/// <param name="volatility">An array of volatility values</param>
/// <param name="underlyingAssetReference">The underlying asset references.</param>
/// <returns></returns>
private PricingStructurePoint[] ProcessRawSurface(String[] expiry, String[] tenors, double[,] volatility, AssetReference underlyingAssetReference)
{
var expiryLength = expiry.Length;
var tenorsLength = tenors.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength * tenorsLength];
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiry[expiryIndex];
for (var strikeIndex = 0; strikeIndex < tenorsLength; strikeIndex++)
{
// Extract the strike to use in the helper key
var tenorKeyPart = tenors[strikeIndex];
// Extract the row,column indexed volatility
var vol = (decimal)volatility[expiryIndex, strikeIndex];
var key = new ExpiryTenorStrikeKey(expiryKeyPart, tenorKeyPart);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiry[expiryIndex], tenors[strikeIndex], null, "ATMSurface");
var pt = new PricingStructurePoint {
value = vol,
valueSpecified = true,
coordinate = coordinates,
underlyingAssetReference = underlyingAssetReference
};
points[pointIndex++] = pt;
}
}
return(points);
}
/// <summary>
/// This call returns an IValue structure for an exact match with a given point.
/// If the point does not exist this method will return null.
/// </summary>
/// <param name="pt">The point in the surface/cube to get the value of</param>
/// <returns>An IValue object representing the value/coordinates of the point</returns>
public override IValue GetValue(IPoint pt)
{
IValue val = null;
string tenor = null;
string strike;
var expiry = ((Period)pt.Coords[0]).ToString();
if (pt.Coords.Count > 2)
{
tenor = ((Period)pt.Coords[1]).ToString();
strike = pt.Coords[2].ToString();
}
else
{
strike = pt.Coords[1].ToString();
}
var key = new ExpiryTenorStrikeKey(expiry, tenor, strike);
if (_matrixIndexHelper.ContainsKey(key))
{
var idx = _matrixIndexHelper[key];
var volatility = GetVolatilityMatrix().dataPoints.point[idx].value;
var id = GetVolatilityMatrix().dataPoints.point[idx].id;
val = new VolatilityValue(id, volatility, pt);
}
return(val);
}
/// <summary>
/// This call returns an IValue structure for an exact match with a given point.
/// If the point does not exist this method will return null.
/// </summary>
/// <param name="pt">The point in the surface/cube to get the value of</param>
/// <returns>An IValue object representing the value/coordinates of the point</returns>
public override IValue GetValue(IPoint pt)
{
string expiry = ((Period)pt.Coords[0]).ToString();
string tenor = ((Period)pt.Coords[1]).ToString();
decimal strike = Convert.ToDecimal(pt.Coords[2]);
var key = new ExpiryTenorStrikeKey(expiry, tenor, strike);
if (_matrixIndexHelper.ContainsKey(key))
{
int idx = _matrixIndexHelper[key];
decimal volatility = VolatilityMatrix.dataPoints.point[idx].value;
string id = VolatilityMatrix.dataPoints.point[idx].id;
return(new VolatilityValue(id, volatility, pt));
}
return(null);
}
/// <summary>
/// Generate an array of PricingStructurePoint from a set of input arrays
/// The array can then be added to the Matrix
/// </summary>
/// <param name="expiry">Expiry values to use</param>
/// <param name="term">Tenor values to use</param>
/// <param name="strike">Strike values to use</param>
/// <param name="volatility">An array of volatility values</param>
/// <returns></returns>
private PricingStructurePoint[] ProcessRawSurface(string[] expiry, string[] term, string[] strike, double[,] volatility)
{
var expiryLength = expiry.Length;
var termLength = term?.Length ?? 1;
var strikeLength = strike.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength * termLength * strikeLength];
// Offset row counter
var row = 0;
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiry[expiryIndex];
for (var termIndex = 0; termIndex < termLength; termIndex++)
{
// extract the current tenor (term) of null if there are no tenors
var tenorKeyPart = term?[termIndex];
// Offset column counter
var column = 0;
for (var strikeIndex = 0; strikeIndex < strikeLength; strikeIndex++)
{
// Extract the strike to use in the helper key
var strikeKeyPart = strike[strikeIndex];
// Extract the row,column indexed volatility
var vol = (decimal)volatility[row, column++];
// Build the index offset list helper
var key = new ExpiryTenorStrikeKey(expiryKeyPart, tenorKeyPart, strikeKeyPart);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var val = new VolatilityValue(null, vol, new Coordinate(expiryKeyPart, tenorKeyPart, strike[strikeIndex]));
points[pointIndex++] = val.PricePoint;
}
row++;
}
}
return(points);
}
/// <summary>
///
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="properties"></param>
/// <param name="expiries"></param>
/// <param name="vols"></param>
/// <param name="inputInstruments"></param>
/// <param name="inputSwapRates"></param>
/// <param name="inputBlackVolRates"></param>
protected ExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, DateTime[] expiries, double[] vols,
string[] inputInstruments, double[] inputSwapRates, double[] inputBlackVolRates)
{
Algorithm = PropertyHelper.ExtractAlgorithm(properties);
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var surfaceId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
var expiryLength = expiries.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength];
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiries[expiryIndex];
var key = new ExpiryTenorStrikeKey(expiryKeyPart.ToString(CultureInfo.InvariantCulture), 0);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = new PricingDataPointCoordinate {
expiration = new TimeDimension[1]
};
coordinates[0].expiration[0] = new TimeDimension {
Items = new object[] { expiries[expiryIndex] }
};
var pt = new PricingStructurePoint
{
value = (decimal)vols[expiryIndex],
valueSpecified = true,
coordinate = coordinates,
};
points[pointIndex++] = pt;
}
// Record the row/column sizes of the inputs
_matrixRowCount = expiries.Length;
_matrixColumnCount = 1;
PricingStructure = CreateVolatilityRepresentation(surfaceId);
PricingStructureValuation = CreateDataPoints(points, surfaceId);
if (inputInstruments != null)
{
int inputCount = inputInstruments.GetUpperBound(0);
var assetQuotes = new List <BasicAssetValuation>();
var assetSet = new List <Asset>();
var itemsList = new List <ItemsChoiceType19>();
for (int i = 0; i <= inputCount; i++)
{
var assetProperties = new PriceableAssetProperties(inputInstruments[i]);
assetSet.Add(new SimpleIRSwap {
id = inputInstruments[i], term = assetProperties.TermTenor
});
var rateQuote = BasicQuotationHelper.Create((decimal)inputSwapRates[i], AssetMeasureEnum.MarketQuote, PriceQuoteUnitsEnum.DecimalRate);
var volQuote = BasicQuotationHelper.Create((decimal)inputBlackVolRates[i], AssetMeasureEnum.Volatility, PriceQuoteUnitsEnum.LogNormalVolatility);
assetQuotes.Add(new BasicAssetValuation
{
objectReference = new AnyAssetReference {
href = inputInstruments[i]
},
definitionRef = assetProperties.TermTenor.ToString(),
quote = new[] { rateQuote, volQuote }
});
itemsList.Add(ItemsChoiceType19.simpleIrSwap);//TODO NOt actually correct.
}
var instrumentSet = new InstrumentSet {
Items = assetSet.ToArray(), ItemsElementName = itemsList.ToArray()
};
((VolatilityMatrix)PricingStructureValuation).inputs
= new QuotedAssetSet {
assetQuote = assetQuotes.ToArray(), instrumentSet = instrumentSet
};
}
// Generate an interpolator to use
double[] expiryTerms = expiries.Select(a => (surfaceId.BaseDate - a).TotalDays / 365d).ToArray();
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var curveInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("CurveInterpolation"));
Interpolator = new VolSurfaceInterpolator(expiryTerms, new double[] { 1 }, new Matrix(vols), curveInterpolationMethod, true);
}
