/// <summary>
/// Constructs smile model fitter from forward, strikes, time to expiry, implied volatilities and error values.
/// <para>
/// {@code strikes}, {@code impliedVols} and {@code error} should be the same length and ordered coherently.
///
/// </para>
/// </summary>
/// <param name="forward"> the forward value of the underlying </param>
/// <param name="strikes"> the ordered values of strikes </param>
/// <param name="timeToExpiry"> the time-to-expiry </param>
/// <param name="impliedVols"> the market implied volatilities </param>
/// <param name="error"> the 'measurement' error to apply to the market volatility of a particular option TODO: Review should this be part of EuropeanOptionMarketData? </param>
/// <param name="model"> the volatility function provider </param>
public SmileModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, VolatilityFunctionProvider <T> model)
{
ArgChecker.notNull(strikes, "strikes");
ArgChecker.notNull(impliedVols, "implied vols");
ArgChecker.notNull(error, "errors");
ArgChecker.notNull(model, "model");
int n = strikes.size();
ArgChecker.isTrue(n == impliedVols.size(), "vols not the same length as strikes");
ArgChecker.isTrue(n == error.size(), "errors not the same length as strikes");
this.marketValues = impliedVols;
this.errors = error;
this.model = model;
this.volFunc = (DoubleArray x) =>
{
T data = toSmileModelData(x);
double[] res = new double[n];
for (int i = 0; i < n; ++i)
{
res[i] = model.volatility(forward, strikes.get(i), timeToExpiry, data);
}
return(DoubleArray.copyOf(res));
};
this.volAdjointFunc = (DoubleArray x) =>
{
T data = toSmileModelData(x);
double[][] resAdj = new double[n][];
for (int i = 0; i < n; ++i)
{
DoubleArray deriv = model.volatilityAdjoint(forward, strikes.get(i), timeToExpiry, data).Derivatives;
resAdj[i] = deriv.subArray(2).toArrayUnsafe();
}
return(DoubleMatrix.copyOf(resAdj));
};
}
internal abstract SmileModelFitter <T> getFitter(double forward, double[] strikes, double timeToExpiry, double[] impliedVols, double[] error, VolatilityFunctionProvider <T> model);
/// <summary>
/// Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
/// <para>
/// {@code strikes}, {@code impliedVols} and {@code error} should be the same length and ordered coherently.
///
/// </para>
/// </summary>
/// <param name="forward"> the forward value of the underlying </param>
/// <param name="strikes"> the ordered values of strikes </param>
/// <param name="timeToExpiry"> the time-to-expiry </param>
/// <param name="impliedVols"> the market implied volatilities </param>
/// <param name="error"> the 'measurement' error to apply to the market volatility of a particular option </param>
/// <param name="model"> the volatility function provider </param>
public SabrModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, VolatilityFunctionProvider <SabrFormulaData> model) : base(forward, strikes, timeToExpiry, impliedVols, error, model)
{
}
internal override SmileModelFitter <SabrFormulaData> getFitter(double forward, double[] strikes, double timeToExpiry, double[] impliedVols, double[] error, VolatilityFunctionProvider <SabrFormulaData> model)
{
return(new SabrModelFitter(forward, DoubleArray.copyOf(strikes), timeToExpiry, DoubleArray.copyOf(impliedVols), DoubleArray.copyOf(error), model));
}