public static void MatrixCaplet()
{
#region Data
// We load a set of data (not real)
DataForCapletExample2 d = new DataForCapletExample2();
double[] df = d.df();
double[] yf = d.yf();
double[] T = d.T();
double[] avT = d.avT();
List <double[]> VolArr = d.VolArr();
double[] fwd = d.fwd();
double[] strike = d.strike();
List <double[]> VolSilos = new List <double[]>();
foreach (double[] cVol in VolArr)
{
LinearInterpolator LinearInt = new LinearInterpolator(avT, cVol);
VolSilos.Add(LinearInt.Curve(T));
}
#endregion
// Here you can change the MonoStrikeCaplet Builder
CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderPWC> B = new CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderPWC>(T, df, fwd, yf, avT, VolSilos, strike);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth> B = new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth>(T, df, fwd, yf, avT, VolSilos, strike);
// and more...
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>();
foreach (double myD in strike)
{
labels.Add(myD.ToString());
}
;
List <Vector <double> > yarrs = new List <Vector <double> >();
foreach (double[] arr in B.CapletVolMatrix)
{
yarrs.Add(new Vector <double>(arr, 1));
}
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
public static void MatrixCapletWithRateCurve()
{
#region Inputs
// We load a set of data (not real)
DataForCapletExample2 d = new DataForCapletExample2();
RateSet rs = d.GetRateSet();
double[] T = d.T();
string[] avT = d.avTString();
List <double[]> VolArr = d.VolArr();
double[] strike = d.strike();
// We build our multi curve
SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator> Curve = new SingleCurveBuilderStandard <OnLogDf, SimpleCubicInterpolator>(rs, OneDimensionInterpolation.LogLinear); // discount curve
#endregion
#region Testing all available MonoStrikeCapletVolBuilder
// Uncomment one of these
CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear> B =
new CapletMatrixVolBuilder <MonoStrikeCapletVolBuilderInputInterpLinear>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderInputInterpCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitStd>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitSmooth>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitPWL>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitCubic>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderBestFitFunct>(avT, Curve, strike, VolArr);
// CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC> B =
// new CapletMatrixVolBuilder<MonoStrikeCapletVolBuilderPWC>(avT, Curve, strike, VolArr);
#endregion
List <double[]> VolSilos = B.CapletVolMatrix;
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>();
foreach (double myD in strike)
{
labels.Add(myD.ToString());
}
;
List <Vector <double> > yarrs = new List <Vector <double> >();
foreach (double[] arr in VolSilos)
{
yarrs.Add(new Vector <double>(arr, 1));
}
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}