public void ValueTest()
{
double[] xValues = { 0.00273972602739726,
0.0191780821917808,
0.0383561643835616,
0.0821917808219178,
0.16986301369863,
0.252054794520547,
0.265753424657534,
0.506849315068493,
0.753424657534246,
1.01369863013698,
1.26301369863013,
1.50410958904109,
1.75068493150684,
2.01369863 };
double[] yValues = { 0.000198610398037118,
0.00144115280642265,
0.00292486360387681,
0.00631290829444216,
0.0129485443009048,
0.0191542839259883,
0.0203498757471952,
0.0391594113610678,
0.0585407323615074,
0.0789041494478555,
0.0982464310004563,
0.116728055717234,
0.135405191240189,
0.154521506325593 };
var plc = new LinearInterpolation(xValues, yValues);
// Test the actual nodes
double actual = plc.ValueAt(0.00273972602739726);
var expected = 0.000198610398037118;
Assert.AreEqual(expected, actual);
actual = plc.ValueAt(2.01369863);
expected = 0.154521506325593;
Assert.AreEqual(expected, actual);
actual = plc.ValueAt(1.75068493150684);
expected = 0.135405191240189;
Assert.AreEqual(expected, actual);
// Test mid point
actual = plc.ValueAt(1.882191780822);
expected = 0.14496334878289;
AssertExtension.LessOrEqual(Math.Abs(actual - expected), 10E-12);
}
/// <summary>
/// Verifies that the interpolation supports the linear case appropriately
/// </summary>
/// <param name="samples">Samples array.</param>
public void SupportsLinearCase(int samples)
{
double[] x, y, xtest, ytest;
LinearInterpolationCase.Build(out x, out y, out xtest, out ytest, samples);
var ip = new LinearInterpolation(x, y);
for (int i = 0; i < xtest.Length; i++)
{
Assert.AreEqual(ytest[i], ip.ValueAt(xtest[i]), 1e-15, "Linear with {0} samples, sample {1}", samples, i);
}
}
/// <summary>
/// Bootstraps the specified priceable assets, where the assets
/// are simple commodity asset with single cash flows on a
/// single index observation.
/// </summary>
/// <param name="priceableAssets">The priceable assets.</param>
/// <param name="referenceCurve">The reference curve.</param>
/// <param name="baseDate">The base date.</param>
/// <param name="extrapolationPermitted">The extrapolationPermitted flag.</param>
/// <param name="tolerance">The tolerance for the solver</param>
/// <param name="spreadXArray">THe spread interpolator produced in the bootstrapper</param>
/// <param name="spreadYArray">THe spread interpolator produced in the bootstrapper</param>
/// <returns></returns>
public static TermPoint[] Bootstrap(IEnumerable <IPriceableCommoditySpreadAssetController> priceableAssets,
ICommodityCurve referenceCurve, DateTime baseDate, bool extrapolationPermitted, double tolerance, ref IList <double> spreadXArray, ref IList <double> spreadYArray)
{
//only works for linear on zero.
//InterpolationMethod interp = InterpolationMethodHelper.Parse("LinearInterpolation");
// Add the first element (date : discount factor) to the list
var points = new Dictionary <DateTime, double>();
var items
= new SortedDictionary <DateTime, Pair <string, decimal> >();
var dayCounter = new Actual365();
foreach (var priceableAsset in priceableAssets)
{
DateTime assetMaturityDate = priceableAsset.GetRiskMaturityDate();
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
//This now should automatically extrapolate the required discount factor on a flat rate basis.
if (IsSpreadAsset(priceableAsset))
{
//These are simple assts so the solver is unnecessary.
var value = (double)priceableAsset.CalculateImpliedQuoteWithSpread(referenceCurve);
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
spreadXArray.Add(dayCount);
spreadYArray.Add((double)priceableAsset.MarketQuote.value); //TODO Get the marketquote
points.Add(assetMaturityDate, value);
items.Add(assetMaturityDate,
new Pair <string, decimal>(priceableAsset.Id, (decimal)points[assetMaturityDate]));
}
}
if (spreadXArray.Count > 2)
{
var spreadCurveInterpolator = new LinearInterpolation(spreadXArray.ToArray(),
spreadYArray.ToArray());
var index = 0;
foreach (var assetMaturityDate in referenceCurve.GetTermCurve().GetListTermDates())
{
if (points.Keys.Contains(assetMaturityDate))
{
continue;
}
var dayCount = dayCounter.YearFraction(baseDate, assetMaturityDate);
double spreadValue = spreadCurveInterpolator.ValueAt(dayCount, true);
var value = referenceCurve.GetForward(baseDate, assetMaturityDate);
points.Add(assetMaturityDate, value + spreadValue);
items.Add(assetMaturityDate,
new Pair <string, decimal>("RefCurvePillar_" + index, (decimal)points[assetMaturityDate]));
index++;
}
return(TermPointsFactory.Create(items));
}
return(null);
}
public void TestInterpolate()
{
//// Degenerate case of a single point.
double[] xArray1 = { 0.1 };
double[] yArray1 = { -3.45 };
LinearInterpolation interpObj1 =
new LinearInterpolation(xArray1, yArray1);
Assert.AreNotEqual(interpObj1, null);
double target1 = 10;
var val = interpObj1.ValueAt(target1, true);
Assert.AreEqual(val, yArray1[0]);
// Generic case.
double[] xArray2 = { 0.0028, 0.0250, 0.0444 };
double[] yArray2 = { 3.3285, 3.3174, 3.3222 };//3.3285
double[] expectedArray = { 3.829899999999995, 3.3174, 3.8060597938144243 };
LinearInterpolation interpObj2 =
new LinearInterpolation(xArray2, yArray2);
Assert.AreNotEqual(interpObj2, null);
double target2 = -1; // left end extrapolation
val = interpObj2.ValueAt(target2, true);
Assert.AreEqual(val, expectedArray[0]);
double target3 = 2; // right end extrapolation
val = interpObj2.ValueAt(target3, true);
Assert.AreEqual(val, expectedArray[2]);
double target4 = 0.0250; // nodal point
val = interpObj2.ValueAt(target4, true);
Assert.AreEqual(val, expectedArray[1]);
double target5 = 0.0347;
val = interpObj2.ValueAt(target5, true);
double expected = 3.3198;
double tolerance = 1.0E-10;
AssertExtension.Less(Math.Abs(val - expected), tolerance);
}
/// <summary>
/// Calcs the forward vols.
/// </summary>
/// <param name="times">The times.</param>
/// <param name="vols">The vols.</param>
/// <returns></returns>
double[] CalcForwardVariance(double[] times, double[] vols)
{
int n = times.Length;
double[] quadvar = new double[n];
List <double> quadvar0 = new List <double>();
List <double> quadt0 = new List <double>();
double[] quadvar1 = new double[n];
double[] fwdvols = new double[n];
for (int idx = 0; idx < n; idx++)
{
quadvar[idx] = vols[idx] * vols[idx] * times[idx];
}
//create List quadvar0 of quadratic variations and associated times,
//dropping negative fwd vols
int jdx = 1;
quadvar0.Add(quadvar[0]);
quadt0.Add(times[0]);
for (int idx = 1; idx < n; idx++)
{
if (quadvar[idx] > quadvar[idx - 1])
{
quadvar0.Add(quadvar[idx]);
quadt0.Add(times[idx]);
jdx++;
}
}
//interpolate cut down list to original time vector
for (int idx = 0; idx < n; idx++)
{
double time1 = times[idx];
var li = new LinearInterpolation();
li.Initialize(quadt0.ToArray(), quadvar0.ToArray());
double y = li.ValueAt(time1, false);
quadvar1[idx] = y;
}
//convert back from quadratic variatons to forward vols
fwdvols[0] = vols[0] * vols[0];
for (int idx = 0; idx < n - 1; idx++)
{
double vol0 = quadvar1[idx];
double vol1 = quadvar1[idx + 1];
double fwdvol = Math.Sqrt((vol1 - vol0) / (times[idx + 1] - times[idx]));
fwdvols[idx + 1] = fwdvol * fwdvol;
}
return(fwdvols);
}
/// <summary>
/// Update required extra points, using Linear interpolation and flat line extrapolation
/// </summary>
public void UpdateDiscountFactors(DateTime baseDate)
{
double[] zeroRateDays = _zeroRateSpreads.Select(a => (double)a.Key.Subtract(baseDate).Days).ToArray();
var values = _zeroRateSpreads.Values.ToArray();
LinearInterpolation interpolation = new LinearInterpolation(zeroRateDays, values);
foreach (KeyValuePair <DateTime, string> extraPoint in _extraPoints)
{
double day = extraPoint.Key.Subtract(baseDate).Days;
double zeroRateSpread = interpolation.ValueAt(day);
double df = RateBootstrapperNewtonRaphson.GetAdjustedDiscountFactor(baseDate, extraPoint.Key, _dayCounter, zeroRateSpread, _baseCurve);
_items[extraPoint.Key].Second = (decimal)df;
}
}
/// <summary>
/// Compute a one dimensional (piecewise) Linear interpolation. Extrapolation is flat-line.
/// </summary>
/// <param name="xValues">One dimensional array of x-values. Array is not required to be in ascending order.</param>
/// <param name="yValues">One dimensional array of known y-values. Length of the array must be equal to the length of the XArray parameter.</param>
/// <param name="target">Value at which to compute the interpolation.</param>
/// <returns></returns>
public double LinearInterpolate(Double[] xValues, Double[] yValues, double target)
{
if (xValues == null)
{
return(0);
}
if (yValues == null)
{
return(0);
}
var li = new LinearInterpolation();
li.Initialize(xValues, yValues);
return(li.ValueAt(target, true));
}
public void TestLinearInterpolation()
{
Random r = new Random(Environment.TickCount);
TearDown();
var interpolation = new LinearInterpolation();
interpolation.Initialize(_times, _rates);
for (int i = 0; i < 10; ++i)
{
double time = (i + r.Next(-10000, 10000) / 10000);
double interpRate = interpolation.ValueAt(time, true);
Debug.WriteLine($"interpolatedRate : {interpRate} Time: {time}");
}
}
public double Value(double trialAdjustment)
{
// Set the adjustments
// Adjust the rates with the answer
if (_spreadStartIndex == 0)
{
for (int i = 0; i <= _spreadEndIndex; i++)
{
_adjustments[i] = (decimal)trialAdjustment;
}
}
else
{
int startDays = _days[_spreadStartIndex - 1];
// if there is only one point then don't interpolate
if (_spreadDays == startDays)
{
_adjustments[_spreadStartIndex] = (decimal)trialAdjustment;
}
else
{
var x = new double[] { startDays, _spreadDays };
var y = new[] { (double)_adjustments[_spreadStartIndex - 1], trialAdjustment };
var interpolation = new LinearInterpolation();
interpolation.Initialize(x, y);
for (int i = _spreadStartIndex; i <= _spreadEndIndex; i++)
{
int days = _days[i];
_adjustments[i] = (decimal)interpolation.ValueAt(days, false);
}
}
}
double valueForAdjustment = RateCurve.CalculateImpliedQuote(_logger, _cache, _nameSpace, _baseDate, _properties, _instruments, _rates, _adjustments, _spreadAssetId,
_spreadAssetValuation, _fixingCalendar, _rollCalendar);
return(valueForAdjustment - _valueForZeroAdjustment - _spread);
}
/// <summary>
/// Verifies that at points other than the provided sample points, the interpolation matches the one computed by Maple as a reference.
/// </summary>
/// <param name="t">Sample point.</param>
/// <param name="x">Sample value.</param>
/// <param name="maxAbsoluteError">Maximum absolute error.</param>
/// <remarks>
/// Maple:
/// f := x -> piecewise(x<-1,3+x,x<0,-1-3*x,x<1,-1+x,-1+x);
/// f(x)
/// </remarks>
public void FitsAtArbitraryPoints(double t, double x, double maxAbsoluteError)
{
var ip = new LinearInterpolation(_t, _y);
Assert.AreEqual(x, ip.ValueAt(t), maxAbsoluteError, "Interpolation at {0}", t);
}
/// <summary>
/// Parse the raw assets grid to create the labels and values arrays
/// required by a <see cref="SwaptionDataMatrix"/> used to store the data
/// for use by the SABR calibration/calulation routines
/// This version uses Interpolation to include Swap Tenors that are not
/// included as part of the grid but fall within the minimum and maximum tenor
/// values of the grid.
/// </summary>
/// <param name="expiry">An array of expiries.</param>
/// <param name="rawAsset">The raw volatility data</param>
/// <param name="tenors">An array of tenors.</param>
/// <returns>The rawdata as a SwaptionDataGrid</returns>
private static ForwardRatesMatrix ParseAssetInputWithInterpolation(String[] tenors, String[] expiry,
Decimal[,] rawAsset)
{
// Set the upper/lower bounds of the converted array
//var lo1D = rawAsset.GetLowerBound(0);
int hi1D = rawAsset.GetUpperBound(0) + 1;
//var lo2D = rawAsset.GetLowerBound(1);
int hi2D = rawAsset.GetUpperBound(1) + 1;
// Add arrays for the values
var values = new decimal[hi1D][];
for (int idx = 0; idx < hi1D; idx++)
{
values[idx] = new decimal[hi2D];
for (int jdx = 0; jdx < hi2D; jdx++)
{
values[idx][jdx] = rawAsset[idx, jdx];
}
}
// Set up the lists we shall use to insert any interpolated column entries
var fullTenors = new List <string>();
var fullValues = new List <List <decimal> >();
// Convert the tenors to doubles
var tenorsAsDouble = new decimal[tenors.Length];//Tenor must be years.
for (int idx = 0; idx < tenors.Length; idx++)
{
tenorsAsDouble[idx] = (decimal)(PeriodHelper.Parse(tenors[idx]).ToYearFraction());
}
// Set up the min and max column (tenor) values
var min = (int)(tenorsAsDouble[0]);
var max = (int)(tenorsAsDouble[tenorsAsDouble.Length - 1]);
// Loop through the expiry values testing the tenor values
// Copy existing tenors or add new tenor values using interpolation
for (int expiryIdx = 0; expiryIdx < expiry.Length; expiryIdx++)
{
int tenorIdx = 0;
var inner = new List <decimal>();
var lin = new LinearInterpolation(tenorsAsDouble, values[expiryIdx]);
// Loop from the min to the max testing for valid tenor entries
// and inserting new values where necessary
for (int idx = min; idx <= max; idx++)
{
if (idx == int.Parse(PeriodHelper.Parse(tenors[tenorIdx]).periodMultiplier))
{
// Add an existing tenor and its values array - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(tenors[tenorIdx]);
}
inner.Add(values[expiryIdx][tenorIdx++]);
}
else
{
// Add the interpolated tenor and its value - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(idx.ToString(CultureInfo.InvariantCulture) + 'Y');
}
inner.Add(lin.ValueAt((decimal)idx));
}
}
fullValues.Add(inner);
}
// Regenerate the arrays to use in the grid
string[] interpolatedTenors = fullTenors.ToArray();
var interpolatedValues = new decimal[fullValues.Count][];
for (int idx = 0; idx < fullValues.Count; idx++)
{
interpolatedValues[idx] = fullValues[idx].ToArray();
}
// Create the grid
var grid = new ForwardRatesMatrix(expiry, interpolatedTenors, interpolatedValues);
return(grid);
}
/// <summary>
/// Parse the raw assets grid to create the labels and values arrays
/// required by a SwaptionDataGrid{T,U} used to store the data
/// for use by the SABR calibration/calulation routines
/// This version uses Interpolation to include Swap Tenors that are not
/// included as part of the grid but fall within the minimum and maximum tenor
/// values of the grid.
/// </summary>
/// <param name="rawAsset">The raw volatility data</param>
/// <returns>The rawdata as a SwaptionDataGrid</returns>
private static ForwardRatesMatrix ParseAssetInputWithInterpolation(object[,] rawAsset)
{
// Set the upper/lower bounds of the converted array
int hi1D = rawAsset.GetUpperBound(0);
int hi2D = rawAsset.GetUpperBound(1);
// Create and populate the data arrays used to build the SwaptionDataGrid
// The columns represent tenors, the rows option expiries
var tenors = new string[hi2D];
var expiry = new string[hi1D];
for (int idx = 1; idx <= hi2D; idx++)
{
tenors[idx - 1] = rawAsset[0, idx].ToString();
}
for (int idx = 1; idx <= hi1D; idx++)
{
expiry[idx - 1] = rawAsset[idx, 0].ToString();
}
// Add arrays for the values
var values = new decimal[hi1D][];
for (int idx = 1; idx <= hi1D; idx++)
{
values[idx - 1] = new decimal[hi2D];
for (int jdx = 1; jdx <= hi2D; jdx++)
{
values[idx - 1][jdx - 1] = decimal.Parse(rawAsset[idx, jdx].ToString());
}
}
// Set up the lists we shall use to insert any interpolated column entries
var fullTenors = new List <string>();
var fullValues = new List <List <decimal> >();
// Convert the tenors to doubles
var tenorsAsDouble = new decimal[tenors.Length];
for (int idx = 0; idx < tenors.Length; idx++)
{
tenorsAsDouble[idx] = decimal.Parse(tenors[idx]);
}
// Set up the min and max column (tenor) values
int min = int.Parse(tenors[0]);
int max = int.Parse(tenors[tenors.Length - 1]);
// Loop through the expiry values testing the tenor values
// Copy existing tenors or add new tenor values using interpolation
for (int expiryIdx = 0; expiryIdx < expiry.Length; expiryIdx++)
{
int tenorIdx = 0;
var inner = new List <decimal>();
var lin = new LinearInterpolation(tenorsAsDouble, values[expiryIdx]);
// Loop from the min to the max testing for valid tenor entries
// and inserting new values where necessary
for (int idx = min; idx <= max; idx++)
{
if (idx == int.Parse(tenors[tenorIdx]))
{
// Add an existing tenor and its values array - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(tenors[tenorIdx]);
}
inner.Add(values[expiryIdx][tenorIdx++]);
}
else
{
// Add the interpolated tenor and its value - Remember to check we haven't already added the tenor
if (!fullTenors.Contains(tenors[tenorIdx]))
{
fullTenors.Add(idx.ToString(CultureInfo.InvariantCulture));
}
inner.Add(lin.ValueAt((decimal)idx));
}
}
fullValues.Add(inner);
}
// Regenerate the arrays to use in the grid
string[] interpolatedTenors = fullTenors.Select(a => a.Last() == 'y' ? a : a + "y").ToArray();
var interpolatedValues = new decimal[fullValues.Count][];
for (int idx = 0; idx < fullValues.Count; idx++)
{
interpolatedValues[idx] = fullValues[idx].ToArray();
}
// Create the grid
var grid = new ForwardRatesMatrix(expiry, interpolatedTenors, interpolatedValues);
return(grid);
}