Exemplo n.º 1
0
        private void Initialize()
        {
            var pillarsAsDoubles = _pillarDates.Select(x => x.ToOADate()).ToArray();

            switch (_curveType)
            {
            case PriceCurveType.Linear:
                _interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, _prices, Interpolator1DType.Linear);
                break;

            case PriceCurveType.Next:
                _interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, _prices, Interpolator1DType.NextValue);
                break;

            case PriceCurveType.NextButOnExpiry:
                pillarsAsDoubles = pillarsAsDoubles.Select(x => x - 1).ToArray();
                _interp          = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, _prices, Interpolator1DType.NextValue);
                break;

            case PriceCurveType.Constant:
                _interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, _prices, Interpolator1DType.DummyPoint);
                break;

            default:
                throw new Exception($"Unkown price curve type {_curveType}");
            }
        }
        public HazzardCurve Solve(List <CDS> instruments, double recoveryRate, IIrCurve discountCurve, DateTime buildDate, DayCountBasis basis = DayCountBasis.ACT365F)
        {
            _curveInstruments    = instruments;
            _pillars             = instruments.OrderBy(x => x.FinalSensitivityDate).Select(c => c.FinalSensitivityDate).ToArray();
            _pillarsT            = _pillars.Select(p => buildDate.CalculateYearFraction(p, basis)).ToArray();
            _numberOfInstruments = _curveInstruments.Count;
            _numberOfPillars     = _pillars.Length;
            _discountCurve       = discountCurve;
            _buildDate           = buildDate;
            _basis        = basis;
            _recoveryRate = recoveryRate;

            _currentGuess = instruments.OrderBy(x => x.FinalSensitivityDate).Select((x, ix) => x.Spread / (1.0 - recoveryRate)).ToArray();
            _currentCurve = new LinearHazzardInterpolator(_pillarsT, _currentGuess);
            _currentPVs   = ComputePVs();

            ComputeJacobian();

            for (var i = 0; i < MaxItterations; i++)
            {
                ComputeNextGuess();
                _currentCurve = new LinearHazzardInterpolator(_pillarsT, _currentGuess);

                _currentPVs = ComputePVs();
                if (_currentPVs.Max(x => System.Math.Abs(x)) < Tollerance)
                {
                    UsedItterations = i + 1;
                    break;
                }
                ComputeJacobian();
            }

            return(new HazzardCurve(_buildDate, _basis, _currentCurve));
        }
Exemplo n.º 3
0
        public static IInterpolator1D RegressNotContinuous(double[] Xs, double[] Ys, int nSegments)
        {
            var nSamples = Xs.Length;
            //var x = new double[nSegments + 1];
            //var y = new double[nSegments + 1];
            var samplesPerSegment = nSamples / nSegments;
            var interps           = new IInterpolator1D[nSegments];
            var uBounds           = new double[nSegments];

            for (var i = 0; i < nSegments; i++)
            {
                var sampleXs = Xs.Skip(i * samplesPerSegment).Take(samplesPerSegment).ToArray();
                var sampleYs = Ys.Skip(i * samplesPerSegment).Take(samplesPerSegment).ToArray();
                var lr       = LinearRegression.LinearRegressionVector(sampleXs, sampleYs);
                var xLo      = sampleXs.First();
                var xHi      = sampleXs.Last();
                var yLo      = lr.Alpha + lr.Beta * xLo;
                var yHi      = lr.Alpha + lr.Beta * xHi;

                interps[i] = InterpolatorFactory.GetInterpolator(new[] { xLo, xHi }, new[] { yLo, yHi }, Interpolator1DType.Linear);
                uBounds[i] = xHi;
            }
            uBounds[uBounds.Length - 1] = double.MaxValue;
            return(new NonContinuousInterpolator(uBounds, interps));
        }
Exemplo n.º 4
0
        private void DumpDataToDisk(KeyValuePair <double, double>[] data, IInterpolator1D fitted, string fileName)
        {
            var header       = new[] { "X,Y,YFited" };
            var linesToWrite = header.Concat(data.Select(x => string.Join(",", x.Key, x.Value, fitted.Interpolate(x.Key)))).ToArray();

            System.IO.File.WriteAllLines(fileName, linesToWrite);
        }
Exemplo n.º 5
0
        public void Build(DateTime originDate, double[][] strikes, DateTime[] expiries, double[][] vols, Func <double, double> forwardCurve)
        {
            OriginDate     = originDate;
            Expiries       = expiries;
            ExpiriesDouble = Expiries.Select(t => TimeBasis.CalculateYearFraction(originDate, t)).ToArray();

            if (Expiries.Length != strikes.Length)
            {
                throw new InvalidOperationException("Expiries and first dimension of Strikes must of same length");
            }
            if (Expiries.Length != vols.Length)
            {
                throw new InvalidOperationException("Expiries and first dimension of Vols must of same length");
            }

            Alphas = new double[Expiries.Length];
            Betas  = new double[Expiries.Length];
            Nus    = new double[Expiries.Length];
            Rhos   = new double[Expiries.Length];


            for (var i = 0; i < expiries.Length; i++)
            {
                var vs  = vols[i];
                var ks  = strikes[i];
                var t   = ExpiriesDouble[i];
                var fwd = forwardCurve(t);
                Betas[i] = 1.0;
                Func <double[], double[]> errorFunc = (x =>
                {
                    var err = ks.Select((k, ix) => vs[ix] - SABR.CalcImpVol_Beta1(fwd, k, t, x[0], x[1], x[2]));
                    return(err.ToArray());
                });

                var n2Sol = new Math.Solvers.GaussNewton
                {
                    ObjectiveFunction = errorFunc,
                    InitialGuess      = new double[] { vs.Average(), 0.1, 0.1 },
                    Tollerance        = 1e-8,
                    JacobianBump      = 0.0000001
                };

                var paramArr = n2Sol.Solve();

                Alphas[i] = paramArr[0];
                Rhos[i]   = paramArr[1];
                Nus[i]    = paramArr[2];
            }

            var fwds = ExpiriesDouble.Select(x => forwardCurve(x)).ToArray();

            _alphaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Alphas, TimeInterpolatorType);
            _betaInterp  = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Betas, TimeInterpolatorType);
            _rhoInterp   = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Rhos, TimeInterpolatorType);
            _nuInterp    = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Nus, TimeInterpolatorType);
            _fwdsInterp  = InterpolatorFactory.GetInterpolator(ExpiriesDouble, fwds, TimeInterpolatorType);
        }
Exemplo n.º 6
0
        public IInterpolator1D[] Regress(IAssetFxModel model)
        {
            if (_regressors != null)
            {
                return(_regressors);
            }

            var o = new IInterpolator1D[_dateIndexes.Length];

            var nPaths         = _pathwiseValues.First().Length;
            var finalSchedules = _portfolio.Select(x => x.ExpectedFlowsByPath(model)).ToArray();

            ParallelUtils.Instance.For(0, _dateIndexes.Length, 1, d =>
            {
                var exposureDate      = _regressionDates[d];
                var sortedFinalValues = new KeyValuePair <double, double> [nPaths];

                for (var p = 0; p < nPaths; p++)
                {
                    var finalValue = 0.0;
                    foreach (var schedule in finalSchedules)
                    {
                        foreach (var flow in schedule[p].Flows)
                        {
                            if (flow.SettleDate > exposureDate)
                            {
                                finalValue += flow.Pv;
                            }
                        }
                    }
                    sortedFinalValues[p] = new KeyValuePair <double, double>(_pathwiseValues[d][p], finalValue);
                }

                sortedFinalValues = sortedFinalValues.OrderBy(q => q.Key).ToArray();

                if (_requireContinuity)
                {
                    o[d] = SegmentedLinearRegression.Regress(sortedFinalValues.Select(x => x.Key).ToArray(), sortedFinalValues.Select(y => y.Value).ToArray(), 5);
                }
                else
                {
                    o[d] = SegmentedLinearRegression.RegressNotContinuous(sortedFinalValues.Select(x => x.Key).ToArray(), sortedFinalValues.Select(y => y.Value).ToArray(), 5);
                }

                if (DebugMode)
                {
                    DumpDataToDisk(sortedFinalValues, o[d], $@"C:\temp\regData{d}.csv");
                }
            }).Wait();
            _regressors = o;
            return(o);
        }
Exemplo n.º 7
0
        private double GetVolForAbsoluteStrike(double strike, IInterpolator1D interp)
        {
            var cp = strike < 0 ? OptionType.Put : OptionType.Call;
            Func <double, double> testFunc = (deltaK =>
            {
                var vol = interp.Interpolate(-deltaK);
                var absK = AbsoluteStrikefromDeltaKAnalytic(_fwd, deltaK, 0, _tExp, vol);
                return(absK - strike);
            });

            var solvedStrike = -Brent.BrentsMethodSolve(testFunc, -0.999999999, -0.000000001, 1e-8);

            return(interp.Interpolate(solvedStrike));
        }
Exemplo n.º 8
0
        public static IInterpolator1D GeneratePDF(this IInterpolator1D smile, int numSamples, double t, double fwd)
        {
            var deltaK = fwd * 0.0001;

            var atmVol    = smile.Interpolate(fwd);
            var lowStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.0001, 0, t, atmVol);
            var hiStrike  = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.9999, 0, t, atmVol);

            var x = new double[numSamples + 2];
            var y = new double[numSamples + 2];

            var k = lowStrike;

            var kStep = (hiStrike - lowStrike) / numSamples;

            for (var i = 0; i < x.Length; i++)
            {
                if (i == 0)
                {
                    x[0] = lowStrike / 2.0;
                    y[0] = 0;
                    continue;
                }
                if (i == x.Length - 1)
                {
                    x[i] = k * 2;
                    y[i] = 0;
                    continue;
                }

                var volLow    = smile.Interpolate(k - deltaK);
                var callLow   = BlackFunctions.BlackPV(fwd, k - deltaK, 0, t, volLow, OptionType.C);
                var volMid    = smile.Interpolate(k);
                var callMid   = BlackFunctions.BlackPV(fwd, k, 0, t, volMid, OptionType.C);
                var volHi     = smile.Interpolate(k + deltaK);
                var callHi    = BlackFunctions.BlackPV(fwd, k + deltaK, 0, t, volHi, OptionType.C);
                var digitalLo = (callLow - callMid) / deltaK;
                var digitalHi = (callMid - callHi) / deltaK;
                y[i] = (digitalLo - digitalHi) / deltaK;
                x[i] = k;
                k   += kStep;
            }

            var firstPass = InterpolatorFactory.GetInterpolator(x, y, Interpolator1DType.LinearFlatExtrap);
            var totalY    = ((IIntegrableInterpolator)firstPass).DefiniteIntegral(x.First(), x.Last());

            y = y.Select(v => v / totalY).ToArray();
            return(InterpolatorFactory.GetInterpolator(x, y, Interpolator1DType.LinearFlatExtrap));
        }
Exemplo n.º 9
0
        private void Initialize()
        {
            var pillarsAsDoubles = _pillarDates.Select(x => x.ToOADate()).ToArray();

            switch (_curveType)
            {
            case SparsePriceCurveType.Coal:
                _interpA = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, _prices, Interpolator1DType.LinearFlatExtrap);
                var allDates       = _pillarDates.First().CalendarDaysInPeriod(_pillarDates.Last());
                var monthlyDates   = allDates.Select(x => x.NthLastSpecificWeekDay(DayOfWeek.Friday, 1)).Distinct();
                var monthlyPillars = monthlyDates.Select(x => x.ToOADate()).ToArray();
                var monthlyPrices  = _interpA.Many(monthlyPillars).ToArray();
                _interpB = InterpolatorFactory.GetInterpolator(monthlyPillars, monthlyPrices, Interpolator1DType.NextValue);
                break;
            }
        }
Exemplo n.º 10
0
        private void ComputeJacobian()
        {
            _jacobian = Math.Matrix.DoubleArrayFunctions.MatrixCreate(_numberOfPillars, _numberOfPillars);

            for (var i = 0; i < _numberOfPillars; i++)
            {
                _currentCurve = new LinearHazzardInterpolator(_pillarsT, _currentGuess.Select((g, ix) => ix == i ? g + JacobianBump : g).ToArray());
                var bumpedPVs = ComputePVs();

                for (var j = 0; j < bumpedPVs.Length; j++)
                {
                    _jacobian[i][j] = (bumpedPVs[j] - _currentPVs[j]) / JacobianBump;
                }
            }

            _currentCurve = new LinearHazzardInterpolator(_pillarsT, _currentGuess);
        }
Exemplo n.º 11
0
        public IrCurve(DateTime[] pillars, double[] rates, DateTime buildDate, string name, Interpolator1DType interpKind)
        {
            _interpKind = interpKind;
            _pillars    = new DateTime[pillars.Length];
            pillars.CopyTo(_pillars, 0);
            _rates = new double[_pillars.Length];

            var pillarsD = new double[_pillars.Length];

            _buildDate = buildDate;

            for (var i = 0; i < pillars.Length; i++)
            {
                pillarsD[i] = buildDate.CalculateYearFraction(pillars[i], _basis);
                _rates[i]   = rates[i];
            }

            _interpolator = InterpolatorFactory.GetInterpolator(pillarsD.ToArray(), _rates.ToArray(), interpKind, isSorted: true, noCopy: true);
            _name         = name;
        }
Exemplo n.º 12
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        public static double InverseCDF(IInterpolator1D putPremiumInterp, double t, double fwd, double p)
        {
            var deltaK     = fwd * 1e-8;
            var targetFunc = new Func <double, double>(k =>
            {
                var digi = putPremiumInterp.FirstDerivative(k);
                return(p - digi);
            });
            var targetFunc2 = new Func <double, double>(k => - putPremiumInterp.SecondDerivative(k));

            //var b = Math.Solvers.Brent.BrentsMethodSolve(targetFunc, lowGuess, highGuess, 1e-6);
            var b = Math.Solvers.Newton1D.MethodSolve(targetFunc, targetFunc2, fwd, 1e-6, 1000);

            if (double.IsInfinity(b) || double.IsNaN(b))
            {
                throw new Exception("Invalid strike found");
            }

            return(b);
        }
Exemplo n.º 13
0
        public static IInterpolator1D GenerateCDF(this IInterpolator1D smile, int numSamples, double t, double fwd)
        {
            var deltaK = fwd * 0.0001;

            var atmVol    = smile.Interpolate(fwd);
            var lowStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.0001, 0, t, atmVol);
            var hiStrike  = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.9999, 0, t, atmVol);

            var x = new double[numSamples + 2];
            var y = new double[numSamples + 2];

            var k = lowStrike;

            var kStep = (hiStrike - lowStrike) / numSamples;

            for (var i = 0; i < x.Length; i++)
            {
                if (i == 0)
                {
                    x[0] = k / 2.0;
                    y[0] = 0;
                    continue;
                }
                if (i == x.Length - 1)
                {
                    x[i] = k * 2;
                    y[i] = 1;
                    continue;
                }
                var volLow  = smile.Interpolate(k - deltaK / 2.0);
                var putLow  = BlackFunctions.BlackPV(fwd, k - deltaK / 2.0, 0, t, volLow, OptionType.P);
                var volHi   = smile.Interpolate(k + deltaK / 2.0);
                var putHi   = BlackFunctions.BlackPV(fwd, k + deltaK / 2.0, 0, t, volHi, OptionType.P);
                var digital = (putHi - putLow) / deltaK;
                y[i] = digital;
                x[i] = k;
                k   += kStep;
            }

            return(InterpolatorFactory.GetInterpolator(x, y, Interpolator1DType.Linear));
        }
Exemplo n.º 14
0
        public IrCurve(DateTime[] pillars, double[] rates, DateTime buildDate, string name, Interpolator1DType interpKind, Currency ccy, string collateralSpec = null, RateType rateStorageType = RateType.Exponential)
        {
            _interpKind      = interpKind;
            _rateStorageType = rateStorageType;
            _pillars         = new DateTime[pillars.Length];
            pillars.CopyTo(_pillars, 0);
            _rates = new double[_pillars.Length];

            var pillarsD = new double[_pillars.Length];

            _buildDate = buildDate;

            for (var i = 0; i < pillars.Length; i++)
            {
                pillarsD[i] = buildDate.CalculateYearFraction(pillars[i], _basis);
                _rates[i]   = rates[i];
            }

            _interpolator  = InterpolatorFactory.GetInterpolator(pillarsD.ToArray(), _rates.ToArray(), interpKind, isSorted: true, noCopy: true);
            _name          = name;
            Currency       = ccy;
            CollateralSpec = collateralSpec ?? (string.IsNullOrWhiteSpace(_name) ? null :
                                                (_name.Contains("[")) ? _name.Split('[').Last().Trim("[]".ToCharArray()) : _name.Split('.').Last());
        }
Exemplo n.º 15
0
        public SVIVolSurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
                             double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
                             Interpolator1DType timeInterpType, SviType sviType = SviType.Raw, string[] pillarLabels = null) : base()
        {
            if (pillarLabels == null)
            {
                PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
            }
            else
            {
                PillarLabels = pillarLabels;
            }

            if (ATMVols.Length != expiries.Length || expiries.Length != riskies.Length || riskies.Length != flies.Length)
            {
                throw new Exception("Inputs do not have consistent time dimensions");
            }

            if (wingDeltas.Length != riskies[0].Length || riskies[0].Length != flies[0].Length)
            {
                throw new Exception("Inputs do not have consistent strike dimensions");
            }

            var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
            {
                ATMVolType = atmVolType,
                MarketVol  = a
            }).ToArray();

            var needsFlip = wingDeltas.First() > wingDeltas.Last();
            var strikes   = new double[2 * wingDeltas.Length + 1];

            if (needsFlip)
            {
                for (var s = 0; s < wingDeltas.Length; s++)
                {
                    strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
                    strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
                }
            }
            else
            {
                for (var s = 0; s < wingDeltas.Length; s++)
                {
                    strikes[s] = wingDeltas[s];
                    strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[s];
                }
            }
            strikes[wingDeltas.Length] = 0.5;

            var wingConstraints = new RRBFConstraint[expiries.Length][];

            RawParams = new SviRawParameters[expiries.Length];
            var f = new AssetSmileSolver();

            if (needsFlip)
            {
                for (var i = 0; i < wingConstraints.Length; i++)
                {
                    var offset = wingDeltas.Length - 1;
                    wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
                    for (var j = 0; j < wingConstraints[i].Length; j++)
                    {
                        wingConstraints[i][j] = new RRBFConstraint
                        {
                            Delta         = wingDeltas[offset - j],
                            FlyVol        = flies[i][offset - j],
                            RisykVol      = riskies[i][offset - j],
                            WingQuoteType = wingQuoteType,
                        };
                    }
                    RawParams[i] = f.SolveSviRaw(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], true);
                }
            }
            else
            {
                for (var i = 0; i < wingConstraints.Length; i++)
                {
                    wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
                    for (var j = 0; j < wingConstraints[i].Length; j++)
                    {
                        wingConstraints[i][j] = new RRBFConstraint
                        {
                            Delta         = wingDeltas[j],
                            FlyVol        = flies[i][j],
                            RisykVol      = riskies[i][j],
                            WingQuoteType = wingQuoteType,
                        };
                    }
                    RawParams[i] = f.SolveSviRaw(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], true);
                }
            }

            OriginDate           = originDate;
            TimeInterpolatorType = timeInterpType;
            Expiries             = expiries;
            ExpiriesDouble       = expiries.Select(x => originDate.CalculateYearFraction(x, TimeBasis)).ToArray();

            _interps    = new IInterpolator1D[5];
            _interps[0] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.A).ToArray(), TimeInterpolatorType);
            _interps[1] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.B).ToArray(), TimeInterpolatorType);
            _interps[2] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.M).ToArray(), TimeInterpolatorType);
            _interps[3] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.Rho).ToArray(), TimeInterpolatorType);
            _interps[4] = InterpolatorFactory.GetInterpolator(ExpiriesDouble, RawParams.Select(x => x.Sigma).ToArray(), TimeInterpolatorType);
            _fwdsInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, fwds, Interpolator1DType.Linear);
        }
Exemplo n.º 16
0
        private void Initialize()
        {
            var pillarsAsDoubles = PillarDates.Select(x => x.ToOADate()).ToArray();

            _interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, Contangos, Interpolator1DType.Linear);
        }
Exemplo n.º 17
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        public SabrVolSurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
                              double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
                              Interpolator1DType timeInterpType, string[] pillarLabels = null)
        {
            if (pillarLabels == null)
            {
                PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
            }
            else
            {
                PillarLabels = pillarLabels;
            }

            if (ATMVols.Length != expiries.Length || expiries.Length != riskies.Length || riskies.Length != flies.Length)
            {
                throw new Exception("Inputs do not have consistent time dimensions");
            }

            if (wingDeltas.Length != riskies[0].Length || riskies[0].Length != flies[0].Length)
            {
                throw new Exception("Inputs do not have consistent strike dimensions");
            }

            var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
            {
                ATMVolType = atmVolType,
                MarketVol  = a
            }).ToArray();

            var needsFlip = wingDeltas.First() > wingDeltas.Last();
            var strikes   = new double[2 * wingDeltas.Length + 1];

            if (needsFlip)
            {
                for (var s = 0; s < wingDeltas.Length; s++)
                {
                    strikes[s] = wingDeltas[wingDeltas.Length - 1 - s];
                    strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[wingDeltas.Length - 1 - s];
                }
            }
            else
            {
                for (var s = 0; s < wingDeltas.Length; s++)
                {
                    strikes[s] = wingDeltas[s];
                    strikes[strikes.Length - 1 - s] = 1.0 - wingDeltas[s];
                }
            }
            strikes[wingDeltas.Length] = 0.5;

            var wingConstraints = new RRBFConstraint[expiries.Length][];
            var parameters      = new SABRParameters[expiries.Length];
            var f = new AssetSmileSolver();

            if (needsFlip)
            {
                for (var i = 0; i < wingConstraints.Length; i++)
                {
                    var offset = wingDeltas.Length - 1;
                    wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
                    for (var j = 0; j < wingConstraints[i].Length; j++)
                    {
                        wingConstraints[i][j] = new RRBFConstraint
                        {
                            Delta         = wingDeltas[offset - j],
                            FlyVol        = flies[i][offset - j],
                            RisykVol      = riskies[i][offset - j],
                            WingQuoteType = wingQuoteType,
                        };
                    }
                    parameters[i] = f.SolveSABR(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], 1.0);
                }
            }
            else
            {
                for (var i = 0; i < wingConstraints.Length; i++)
                {
                    wingConstraints[i] = new RRBFConstraint[wingDeltas.Length];
                    for (var j = 0; j < wingConstraints[i].Length; j++)
                    {
                        wingConstraints[i][j] = new RRBFConstraint
                        {
                            Delta         = wingDeltas[j],
                            FlyVol        = flies[i][j],
                            RisykVol      = riskies[i][j],
                            WingQuoteType = wingQuoteType,
                        };
                    }
                    parameters[i] = f.SolveSABR(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], 1.0);
                }
            }

            OriginDate           = originDate;
            TimeInterpolatorType = timeInterpType;
            Expiries             = expiries;
            ExpiriesDouble       = expiries.Select(x => originDate.CalculateYearFraction(x, TimeBasis)).ToArray();

            Alphas = parameters.Select(x => x.Alpha).ToArray();
            Betas  = parameters.Select(x => x.Beta).ToArray();
            Nus    = parameters.Select(x => x.Nu).ToArray();
            Rhos   = parameters.Select(x => x.Rho).ToArray();

            _alphaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Alphas, TimeInterpolatorType);
            _betaInterp  = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Betas, TimeInterpolatorType);
            _rhoInterp   = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Rhos, TimeInterpolatorType);
            _nuInterp    = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Nus, TimeInterpolatorType);
            _fwdsInterp  = InterpolatorFactory.GetInterpolator(ExpiriesDouble, fwds, TimeInterpolatorType);
        }
Exemplo n.º 18
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 public static double Average(this IInterpolator1D interp, IEnumerable <double> Xs)
 => Xs.Average(x => interp.Interpolate(x));
Exemplo n.º 19
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 public HazzardCurve(DateTime originDate, DayCountBasis basis, IInterpolator1D hazzardRateInterpolator)
 {
     OriginDate    = originDate;
     Basis         = basis;
     _hazzardCurve = hazzardRateInterpolator;
 }
Exemplo n.º 20
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 public static double MinY(this IInterpolator1D interp, IEnumerable <double> Xs)
 => Xs.Min(x => interp.Interpolate(x));
Exemplo n.º 21
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 public static double Sum(this IInterpolator1D interp, IEnumerable <double> Xs)
 => Xs.Sum(x => interp.Interpolate(x));
Exemplo n.º 22
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 private void UpdateInterpolator() => _interp = InterpolatorFactory.GetInterpolator(_strikes, _currentGuess, _interpType);
Exemplo n.º 23
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        public static double VanillaPV(double T, double S, double K, IInterpolator1D r_interp, double sigma, OptionType CP, IInterpolator1D fwd_interp, int n, bool isAmerican)
        {
            var deltaT = T / (double)n;
            var u      = System.Math.Exp(sigma * System.Math.Sqrt(2.0 * deltaT));
            var d      = System.Math.Exp(-sigma * System.Math.Sqrt(2.0 * deltaT));

            var Z = sigma * System.Math.Sqrt(deltaT / 2.0);

            var    p = new double[n * 2 + 1];
            double exercise, spot;

            double cp = CP == OptionType.Call ? 1 : -1;

            //initial values at time T
            for (var i = 0; i <= 2 * n; i++)
            {
                spot = S * System.Math.Pow(d, n - i);
                p[i] = System.Math.Max(0, cp * (S * System.Math.Pow(u, System.Math.Max(i - n, 0)) * System.Math.Pow(d, System.Math.Max(n - i, 0)) - K));
            }

            //move back to earlier times
            for (var j = n - 1; j >= 0; j--)
            {
                var t_step     = T * (double)j / (double)n;
                var t_stepPrev = T * (double)(j + 1) / (double)n;
                var r          = System.Math.Log(System.Math.Exp(r_interp.Interpolate(t_stepPrev) * t_stepPrev) / System.Math.Exp(r_interp.Interpolate(t_step) * t_step)) / deltaT;
                var q          = r - System.Math.Log(fwd_interp.Interpolate(t_stepPrev) / fwd_interp.Interpolate(t_step)) / deltaT;
                var df1p       = System.Math.Exp(-r * deltaT);

                var pu = (System.Math.Exp((r - q) * deltaT / 2.0) - System.Math.Exp(-Z)) / (System.Math.Exp(Z) - System.Math.Exp(-Z));
                var pd = (System.Math.Exp(Z) - System.Math.Exp((r - q) * deltaT / 2.0)) / (System.Math.Exp(Z) - System.Math.Exp(-Z));
                pu *= pu;
                pd *= pd;
                var pm = 1 - (pu + pd);


                for (var i = 0; i <= j * 2; i++)
                {
                    spot = S * System.Math.Pow(u, i - j);
                    p[i] = df1p * (pd * p[i] + pm * p[i + 1] + pu * p[i + 2]);

                    if (isAmerican)
                    {
                        if (CP == OptionType.Put)
                        {
                            exercise = K - spot; //exercise value
                        }
                        else
                        {
                            exercise = spot - K; //exercise value
                        }
                        if (p[i] < exercise)
                        {
                            p[i] = exercise;
                        }
                    }
                }
            }


            return(p[0]);
        }
Exemplo n.º 24
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 public static double[] Many(this IInterpolator1D interp, IEnumerable <double> Xs)
 => Xs.Select(x => interp.Interpolate(x)).ToArray();
Exemplo n.º 25
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 public LinearHazzardInterpolator(double[] xs, double[] hs)
 {
     _xs           = xs;
     _hs           = hs;
     _linearInterp = InterpolatorFactory.GetInterpolator(xs, hs, Interpolator1DType.LinearFlatExtrap);
 }
Exemplo n.º 26
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        public static TO_Interpolator1d ToTransportObject(this IInterpolator1D interp)
        {
            switch (interp)
            {
            case LinearInterpolatorFlatExtrap i1:
                return(new TO_Interpolator1d
                {
                    Xs = i1.Xs,
                    Ys = i1.Ys,
                    Type = Interpolator1DType.LinearFlatExtrap
                });

            case LinearInterpolator i2:
                return(new TO_Interpolator1d
                {
                    Xs = i2.Xs,
                    Ys = i2.Ys,
                    Type = Interpolator1DType.Linear
                });

            case LinearInVarianceInterpolator i3:
                return(new TO_Interpolator1d
                {
                    Xs = i3.Xs,
                    Ys = i3.Ys,
                    Type = Interpolator1DType.LinearInVariance
                });

            case GaussianKernelInterpolator i4:
                return(new TO_Interpolator1d
                {
                    Xs = i4.Xs,
                    Ys = i4.Ys,
                    Type = Interpolator1DType.GaussianKernel
                });

            case NextInterpolator i5:
                return(new TO_Interpolator1d
                {
                    Xs = i5.Xs,
                    Ys = i5.Ys,
                    Type = Interpolator1DType.NextValue
                });

            case PreviousInterpolator i6:
                return(new TO_Interpolator1d
                {
                    Xs = i6.Xs,
                    Ys = i6.Ys,
                    Type = Interpolator1DType.PreviousValue
                });

            case CubicHermiteSplineInterpolator i7:
                return(new TO_Interpolator1d
                {
                    Xs = i7.Xs,
                    Ys = i7.Ys,
                    Type = Interpolator1DType.CubicSpline
                });

            case DummyPointInterpolator i8:
                return(new TO_Interpolator1d
                {
                    Xs = new[] { i8.Point },
                    Ys = new[] { i8.Point },
                    Type = Interpolator1DType.DummyPoint
                });

            case ConstantHazzardInterpolator i9:
                return(new TO_Interpolator1d
                {
                    Xs = new[] { i9.H },
                    Ys = new[] { i9.H },
                    Type = Interpolator1DType.ConstantHazzard
                });

            default:
                throw new InvalidOperationException($"We don't have a way of serializing a {interp.GetType().Name} interpolator");
            }
        }