/// <summary>
/// Helper function used to set the ATM strike and volatility used in
/// the calibration of the SABR engine.
/// Preconditions: Methods SetStrikesForSABREngine and
/// SetVolatilitiesForSABREngine have been called.
/// Postconditions: data structures that store the strikes and
/// volatilities used in the calibration of the SABR engine are each
/// expanded by one element and then sorted, and the private field
/// _assetPrice is set.
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The clients namespace</param>
/// <param name="expiry">Caplet expiry.</param>
private void SetATMDataForSABREngine(ILogger logger, ICoreCache cache, string nameSpace, DateTime expiry)
{
// Set the ATM volatility.
var interpType =
_smileSettings.ExpiryInterpolationType;
var interpObj =
new ExpiryInterpolatedVolatility
(_atmBootstrapEngine, interpType);
var volatility = interpObj.ComputeVolatility(expiry);
_sabrVolatilities.Add(volatility);
_assetPrice = _atmBootstrapEngine.ComputeForwardPrice(logger, cache, nameSpace, expiry);
_sabrStrikes.Add(_assetPrice);
// Sort the strikes into ascending order, and maintain the
// corresponding volatility.
var strikeVol =
new SortedList <decimal, decimal>(); // temporary container
var idx = 0;
foreach (var strike in _sabrStrikes)
{
strikeVol.Add(strike, _sabrVolatilities[idx]);
++idx;
}
_sabrStrikes = new List <decimal>();
_sabrVolatilities = new List <decimal>();
foreach (var key in strikeVol.Keys)
{
_sabrStrikes.Add(key);
_sabrVolatilities.Add(strikeVol[key]);
}
}
/// <summary>
/// Helper function used to set the volatilities used in the
/// calibration of the SABR engine.
/// Postcondition: private field _sabrVolatilities is set.
/// </summary>
/// <param name="expiry">The expiry.</param>
private void SetVolatilitiesForSABREngine(DateTime expiry)
{
_sabrVolatilities = new List <decimal>();
var interpType =
_smileSettings.ExpiryInterpolationType;
// Retrieve the volatility at the given expiry.
foreach (var eng in _fixedStrikeBootstrapEngines)
{
var obj =
new ExpiryInterpolatedVolatility(eng, interpType);
var volatility = obj.ComputeVolatility(expiry);
_sabrVolatilities.Add(volatility);
}
}
