private static Task <IModel> CalibrateModel(TaskFactory taskFactory, Task <Market> market, Task <ICalibrationDescription> modelCalibDesc)
{
return(taskFactory.ComputationTaskWithLog("Model calibration", () =>
{
IModelDescription modelDesc = ModelCalibration.Instance.Calibrate(modelCalibDesc.Result, market.Result);
return ModelFactory.Instance.Build(modelDesc, market.Result);
}, market, modelCalibDesc));
}
public IXmlDataReader BuildFor(IModelDescription model, string uri)
{
if (model.Type.BaseType != typeof(DataRow))
{
_logger.LogWarning($"{model.Type.Name} does not implement {typeof(DataRow).Name}");
}
return(new XmlDataReader(uri, model.DataSetType.Name));
}
public IModel Build(IModelDescription modelDescription, Market market)
{
IModelFactory modelfactory;
if (factories.TryGetValue(modelDescription.GetType(), out modelfactory))
{
return(modelfactory.Build(modelDescription, market));
}
throw new ArgumentException(string.Format("Missing Model Factory for {0}", modelDescription));
}
public static object Bergomi2FAtmfSkewApprox(object mktObj, object[,] modelBag, object[] maturities)
{
return(FunctionRunnerUtils.Run("Bergomi2FAtmfSkewApprox", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
ICalibrationDescription b2FCalibDesc = Bergomi2FModelFactoryFromBag.Instance.Build(modelBag);
IModelDescription b2FDesc = ModelCalibration.Instance.Calibrate(b2FCalibDesc, market);
var b2Fmodel = (Bergomi2FModel)ModelFactory.Instance.Build(b2FDesc, market);
var mats = b2Fmodel.Time[ObjectConverters.ConvertDateArray(maturities, market.RefDate)];
var skews = Bergomi2FUtils.AtmfSkewApprox(b2Fmodel, mats);
return skews.AsColumn();
}));
}
public static object Bergomi2FVolOfVol(object mktObj, object[,] modelBag, object[] starts, object[] ends)
{
return(FunctionRunnerUtils.Run("Bergomi2FVolOfVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
ICalibrationDescription b2FCalibDesc = Bergomi2FModelFactoryFromBag.Instance.Build(modelBag);
IModelDescription b2FDesc = ModelCalibration.Instance.Calibrate(b2FCalibDesc, market);
var b2Fmodel = (Bergomi2FModel)ModelFactory.Instance.Build(b2FDesc, market);
var startDates = b2Fmodel.Time[ObjectConverters.ConvertDateArray(starts, market.RefDate)];
var endDates = b2Fmodel.Time[ObjectConverters.ConvertDateArray(ends, market.RefDate)];
if (startDates.Length != endDates.Length)
{
throw new ArgumentException("Incompatible size between starts and ends");
}
return Bergomi2FUtils.FwdVolInstantVol(b2Fmodel, startDates, endDates).AsColumn();
}));
}
public FiasDbContext BuildFor(IModelDescription modelDescription)
{
return(new FiasDbContext(_settings, new[] { modelDescription }));
}
