//! fixed reference date, floating market data
public SwaptionVolatilityMatrix(
Date referenceDate,
Calendar calendar,
BusinessDayConvention bdc,
List <Period> optionTenors,
List <Period> swapTenors,
List <List <Handle <Quote> > > vols,
DayCounter dayCounter,
bool flatExtrapolation = false,
VolatilityType type = VolatilityType.ShiftedLognormal,
List <List <double> > shifts = null)
: base(optionTenors, swapTenors, referenceDate, calendar, bdc, dayCounter)
{
volHandles_ = vols;
shiftValues_ = shifts;
volatilities_ = new Matrix(vols.Count, vols.First().Count);
shifts_ = new Matrix(vols.Count, vols.First().Count, 0.0);
volatilityType_ = type;
checkInputs(volatilities_.rows(), volatilities_.columns(), shifts_.rows(), shifts_.columns());
registerWithMarketData();
// fill dummy handles to allow generic handle-based
if (shiftValues_ == null)
{
shiftValues_ = new InitializedList <List <double> >(volatilities_.rows());
for (int i = 0; i < volatilities_.rows(); ++i)
{
shiftValues_[i] = new InitializedList <double>(volatilities_.columns());
for (int j = 0; j < volatilities_.columns(); ++j)
{
shiftValues_[i][j] = shifts_.rows() > 0 ? shifts_[i, j] : 0.0;
}
}
}
if (flatExtrapolation)
{
interpolation_ = new FlatExtrapolator2D(new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count, volatilities_));
interpolationShifts_ = new FlatExtrapolator2D(new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count, shifts_));
}
else
{
interpolation_ = new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count,
volatilities_);
interpolationShifts_ = new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count,
shifts_);
}
}
//! floating reference date, fixed market data
public SwaptionVolatilityMatrix(
Calendar calendar,
BusinessDayConvention bdc,
List <Period> optionTenors,
List <Period> swapTenors,
Matrix vols,
DayCounter dayCounter,
bool flatExtrapolation = false,
VolatilityType type = VolatilityType.ShiftedLognormal,
Matrix shifts = null)
: base(optionTenors, swapTenors, 0, calendar, bdc, dayCounter)
{
volHandles_ = new InitializedList <List <Handle <Quote> > >(vols.rows());
shiftValues_ = new InitializedList <List <double> >(vols.rows());
volatilities_ = new Matrix(vols.rows(), vols.columns());
shifts_ = shifts ?? new Matrix(vols.rows(), vols.columns(), 0.0);
volatilityType_ = type;
checkInputs(volatilities_.rows(), volatilities_.columns(), shifts_.rows(), shifts_.columns());
// fill dummy handles to allow generic handle-based
// computations later on
for (int i = 0; i < vols.rows(); ++i)
{
volHandles_[i] = new InitializedList <Handle <Quote> >(vols.columns());
shiftValues_[i] = new InitializedList <double>(vols.columns());
for (int j = 0; j < vols.columns(); ++j)
{
volHandles_[i][j] = new Handle <Quote>((new
SimpleQuote(vols[i, j])));
}
}
if (flatExtrapolation)
{
interpolation_ = new FlatExtrapolator2D(new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count, volatilities_));
interpolationShifts_ = new FlatExtrapolator2D(new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count, shifts_));
}
else
{
interpolation_ = new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count,
volatilities_);
interpolationShifts_ = new BilinearInterpolation(
swapLengths_, swapLengths_.Count,
optionTimes_, optionTimes_.Count,
shifts_);
}
}
public void updateInterpolators()
{
for (int k = 0; k < nLayers_; ++k)
{
transposedPoints_[k] = Matrix.transpose(points_[k]);
Interpolation2D interpolation;
if (k <= 4 && backwardFlat_)
{
interpolation = new BackwardflatLinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
else
{
interpolation = new BilinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
interpolators_[k] = new FlatExtrapolator2D(interpolation);
interpolators_[k].enableExtrapolation();
}
}