public Dictionary <string, IrCurve> ImplyContainedCurves(DateTime buildDate, Interpolator1DType interpType)
{
var o = new Dictionary <string, IrCurve>();
foreach (var curveName in SolveCurves)
{
var pillars = this.Where(x => x.SolveCurve == curveName)
.Select(x => x.PillarDate)
.OrderBy(x => x)
.ToArray();
if (pillars.Distinct().Count() != pillars.Count())
{
throw new Exception($"More than one instrument has the same solve pillar on curve {curveName}");
}
var dummyRates = pillars.Select(x => 0.05).ToArray();
var ccy = _currencyProvider.GetCurrency(curveName.Split('.')[0]);
var colSpec = (curveName.Contains("[")) ? curveName.Split('[').Last().Trim("[]".ToCharArray()) : curveName.Split('.').Last();
if (o.Values.Any(v => v.CollateralSpec == colSpec))
{
colSpec = colSpec + "_" + curveName;
}
var irCurve = new IrCurve(pillars, dummyRates, buildDate, curveName, interpType, ccy, colSpec);
o.Add(curveName, irCurve);
}
return(o);
}
public SabrVolSurface(DateTime originDate, double[][] strikes, DateTime[] expiries, double[][] vols, Func <double, double> forwardCurve,
Interpolator1DType timeInterpType, DayCountBasis timeBasis)
{
TimeInterpolatorType = timeInterpType;
TimeBasis = timeBasis;
Build(originDate, strikes, expiries, vols, forwardCurve);
}
public CorrelationTimeVector(string labelX, string[] labelsY, double[][] correlations, double[] times, Interpolator1DType interpKind = Interpolator1DType.LinearFlatExtrap)
: this()
{
LabelsX = new[] { labelX };
LabelsY = labelsY;
Correlations = correlations;
_times = times;
_interpType = interpKind;
_interps = correlations.Select(c => InterpolatorFactory.GetInterpolator(times, c, interpKind)).ToArray();
}
public static IInterpolator1D GetInterpolator(double[] x, double[] y, Interpolator1DType kind, bool noCopy = false, bool isSorted = false)
{
if (!noCopy)
{
var newx = new double[x.Length];
var newy = new double[y.Length];
Buffer.BlockCopy(x, 0, newx, 0, x.Length * 8);
Buffer.BlockCopy(y, 0, newy, 0, y.Length * 8);
x = newx;
y = newy;
}
if (!isSorted)
{
Array.Sort(x, y);
}
switch (kind)
{
case Interpolator1DType.LinearFlatExtrap:
if (x.Length < 50)
{
return(new LinearInterpolatorFlatExtrapNoBinSearch(x, y));
}
else
{
return(new LinearInterpolatorFlatExtrap(x, y));
}
case Interpolator1DType.Linear:
return(new LinearInterpolator(x, y));
case Interpolator1DType.LinearInVariance:
return(new LinearInVarianceInterpolator(x, y));
case Interpolator1DType.GaussianKernel:
return(new GaussianKernelInterpolator(x, y));
case Interpolator1DType.NextValue:
return(new NextInterpolator(x, y));
case Interpolator1DType.PreviousValue:
return(new PreviousInterpolator(x, y));
case Interpolator1DType.CubicSpline:
return(new CubicHermiteSplineInterpolator(x, y));
case Interpolator1DType.MonotoneCubicSpline:
return(new CubicHermiteSplineInterpolator(x, y, true));
case Interpolator1DType.DummyPoint:
return(new DummyPointInterpolator(y.First()));
default:
throw new InvalidOperationException($"We don't have a way of making a {kind} interpolator");
}
}
public GridVolSurface(DateTime originDate, double[] strikes, DateTime[] expiries, double[][] vols,
StrikeType strikeType, Interpolator1DType strikeInterpType, Interpolator1DType timeInterpType,
DayCountBasis timeBasis)
{
StrikeType = strikeType;
StrikeInterpolatorType = strikeInterpType;
TimeInterpolatorType = timeInterpType;
TimeBasis = timeBasis;
Build(originDate, strikes, expiries, vols);
}
public Generic2dInterpolator(double[][] x, double[] y, double[][] z, Interpolator1DType xType, Interpolator1DType yType)
{
_y = y;
_xType = xType;
_yType = yType;
_yInterps = new IInterpolator1D[_y.Length];
for (var i = 0; i < _yInterps.Length; i++)
{
_yInterps[i] = InterpolatorFactory.GetInterpolator(x[i], z[i], _yType);
}
}
public Generic2dInterpolator(double[] x, double[] y, double[,] z, Interpolator1DType xType, Interpolator1DType yType)
{
_x = x;
_y = y;
_z = z;
_xType = xType;
_yType = yType;
_yInterps = new IInterpolator1D[_y.Length];
for (var i = 0; i < _yInterps.Length; i++)
{
_yInterps[i] = InterpolatorFactory.GetInterpolator(_x, _z.GetRow(i), _yType);
}
}
public double[] Solve(ATMStraddleConstraint atmConstraint, RRBFConstraint[] smileConstraints, DateTime buildDate,
DateTime expiry, double fwd, double[] strikesToFit, Interpolator1DType interpType)
{
_atmConstraint = atmConstraint;
_smileConstraints = smileConstraints;
_numberOfConstraints = smileConstraints.Length * 2 + 1;
if (strikesToFit.Length != _numberOfConstraints)
{
throw new Exception($"{_numberOfConstraints} constraints provided to fit {strikesToFit.Length} strikes");
}
_fwd = fwd;
_buildDate = buildDate;
_tExp = (expiry - buildDate).TotalDays / 365.0;
_interpType = interpType;
_strikes = strikesToFit;
if (TrivialSolution(out var vols))
{
return(vols);
}
_currentGuess = Enumerable.Repeat(atmConstraint.MarketVol, _numberOfConstraints).ToArray();
SetupConstraints();
_currentErrors = ComputeErrors(_currentGuess);
ComputeJacobian();
for (var i = 0; i < MaxItterations; i++)
{
ComputeNextGuess();
NaNCheck();
_currentErrors = ComputeErrors(_currentGuess);
if (_currentErrors.Max(x => Abs(x)) < Tollerance)
{
UsedItterations = i + 1;
break;
}
ComputeJacobian();
}
return(_currentGuess);
}
public GridVolSurface(DateTime originDate, double[] strikes, DateTime[] expiries, double[][] vols,
StrikeType strikeType, Interpolator1DType strikeInterpType, Interpolator1DType timeInterpType,
DayCountBasis timeBasis, string[] pillarLabels = null) : base()
{
StrikeType = strikeType;
StrikeInterpolatorType = strikeInterpType;
TimeInterpolatorType = timeInterpType;
TimeBasis = timeBasis;
if (pillarLabels == null)
{
PillarLabels = expiries.Select(x => x.ToString("yyyy-MM-dd")).ToArray();
}
else
{
PillarLabels = pillarLabels;
}
Build(originDate, strikes, expiries, vols);
}
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;
}
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());
}
public CorrelationTimeVector(string labelX, string labelY, double[] correlations, double[] times, Interpolator1DType interpKind = Interpolator1DType.LinearFlatExtrap) :
this(labelX, new[] { labelY }, new[] { correlations }, times, interpKind)
{
}
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);
}
public RiskyFlySurface(DateTime originDate, double[] ATMVols, DateTime[] expiries, double[] wingDeltas,
double[][] riskies, double[][] flies, double[] fwds, WingQuoteType wingQuoteType, AtmVolType atmVolType,
Interpolator1DType strikeInterpType, 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 strikes = new double[2 * wingDeltas.Length + 1];
var vols = new double[expiries.Length][];
if (riskies.SelectMany(x => x).All(x => x == 0) && flies.SelectMany(x => x).All(x => x == 0))
{
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];
}
for (var t = 0; t < expiries.Length; t++)
{
vols[t] = Enumerable.Repeat(ATMVols[t], strikes.Length).ToArray();
}
}
else
{
var atmConstraints = ATMVols.Select(a => new ATMStraddleConstraint
{
ATMVolType = atmVolType,
MarketVol = a
}).ToArray();
var needsFlip = wingDeltas.First() > wingDeltas.Last();
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 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,
};
}
vols[i] = f.Solve(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], strikes, strikeInterpType);
}
}
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,
};
}
vols[i] = f.Solve(atmConstraints[i], wingConstraints[i], originDate, expiries[i], fwds[i], strikes, strikeInterpType);
}
}
}
StrikeInterpolatorType = strikeInterpType;
TimeInterpolatorType = timeInterpType;
Expiries = expiries;
ExpiriesDouble = expiries.Select(x => x.ToOADate()).ToArray();
Strikes = strikes;
StrikeType = StrikeType.ForwardDelta;
ATMs = ATMVols;
Riskies = riskies;
Flies = flies;
WingDeltas = wingDeltas;
Forwards = fwds;
WingQuoteType = wingQuoteType;
AtmVolType = atmVolType;
base.Build(originDate, strikes, expiries, vols);
}
public static RiskyFlySurface FromCube(ICube cube, DateTime buildDate, Interpolator1DType strikeInterpType = Interpolator1DType.GaussianKernel, Interpolator1DType timeInterpType = Interpolator1DType.LinearInVariance)
{
var rows = cube.GetAllRows();
var deltas = cube.KeysForField("PointDelta")
.Where(x => (double)x != 0.5)
.Select(x => (double)x)
.OrderBy(x => x)
.ToList();
var fwds = new Dictionary <DateTime, double>();
var atms = new Dictionary <DateTime, double>();
var rrs = new Dictionary <DateTime, double[]>();
var bfs = new Dictionary <DateTime, double[]>();
var quoteType = WingQuoteType.Simple;
var atmType = AtmVolType.ZeroDeltaStraddle;
foreach (var row in rows)
{
var r = row.ToDictionary(cube.DataTypes.Keys.ToArray());
var d = (DateTime)r["PointDate"];
switch ((string)r["PointType"])
{
case "Forward":
fwds[d] = row.Value;
break;
case "ATM":
atms[d] = row.Value;
atmType = (AtmVolType)Enum.Parse(typeof(AtmVolType), (string)r["QuoteType"]);
break;
case "RR":
var delta = (double)r["PointDelta"];
if (!rrs.ContainsKey(d))
{
rrs[d] = new double[deltas.Count];
}
var dIx = deltas.IndexOf(delta);
rrs[d][dIx] = row.Value;
quoteType = (WingQuoteType)Enum.Parse(typeof(WingQuoteType), (string)r["QuoteType"]);
break;
case "BF":
var delta2 = (double)r["PointDelta"];
if (!bfs.ContainsKey(d))
{
bfs[d] = new double[deltas.Count];
}
var dIx2 = deltas.IndexOf(delta2);
bfs[d][dIx2] = row.Value;
break;
}
}
var expArr = atms.OrderBy(x => x.Key).Select(x => x.Key).ToArray();
var atmArr = atms.OrderBy(x => x.Key).Select(x => x.Value).ToArray();
var fwdArr = fwds.OrderBy(x => x.Key).Select(x => x.Value).ToArray();
var rrArr = rrs.OrderBy(x => x.Key).Select(x => x.Value).ToArray();
var bfArr = bfs.OrderBy(x => x.Key).Select(x => x.Value).ToArray();
return(new RiskyFlySurface(buildDate, atmArr, expArr, deltas.ToArray(), rrArr, bfArr, fwdArr, quoteType, atmType, strikeInterpType, timeInterpType));
}
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);
}
