/// <summary>
/// Use Direct SQL commands feature implementation based on EntityFramework Core
/// </summary>
/// <param name="conf">Channel configuration</param>
/// <param name="context">Lazy disposable wrapper around DbContext</param>
public static void UseEfCoreDirectSqlCommand(this ChannelConfiguration <CommandChannel <Tecture.Features.SqlStroke.Command> > conf, ILazyDisposable <DbContext> context, InterpolatorFactory fac = null)
{
if (fac == null)
{
fac = new InterpolatorFactory();
}
var fe = new EFCore_DirectSql_CommandFeature(context, conf.Channel, fac);
conf.ForCommand(fe, new EFCore_DirectSql_Saver(fe));
}
/// <summary>
/// Use Direct SQL aspect implementation based on EntityFramework Core
/// </summary>
/// <param name="conf">Channel configuration</param>
/// <param name="context">Lazy disposable wrapper around DbContext</param>
public static void UseEfCoreDirectSql(this ChannelBinding <CommandQueryChannel <Tecture.Aspects.DirectSql.DirectSql.Command, Tecture.Aspects.DirectSql.DirectSql.Query> > conf,
ILazyDisposable <DbContext> context, InterpolatorFactory fac = null)
{
if (fac == null)
{
fac = new InterpolatorFactory();
}
conf.UseEfCoreDirectSqlCommand(context, fac);
conf.UseEfCoreDirectSqlQuery(context, fac);
}
/// <summary>
/// Use Direct SQL commands aspect implementation based on EntityFramework Core
/// </summary>
/// <param name="conf">Channel configuration</param>
/// <param name="context">Lazy disposable wrapper around DbContext</param>
public static void UseEfCoreDirectSqlCommand(this ChannelBinding <CommandChannel <Tecture.Aspects.DirectSql.DirectSql.Command> > conf, ILazyDisposable <DbContext> context, InterpolatorFactory fac = null)
{
if (fac == null)
{
fac = new InterpolatorFactory();
}
var fe = new EFCore_DirectSql_CommandAspect(context, conf.Channel, fac);
conf.ForCommand(fe);
}
public void Build(DateTime originDate, double[] strikes, DateTime[] expiries, double[][] vols)
{
OriginDate = originDate;
Strikes = strikes;
Expiries = expiries;
Volatilities = vols;
ExpiriesDouble = Expiries.Select(t => TimeBasis.CalculateYearFraction(originDate, t)).ToArray();
_interpolators = vols.Select((v, ix) =>
InterpolatorFactory.GetInterpolator(Strikes, v, StrikeInterpolatorType)).ToArray();
}
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 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];
}
_alphaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Alphas, TimeInterpolatorType);
_betaInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Betas, TimeInterpolatorType);
_rhoInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Rhos, TimeInterpolatorType);
_nuInterp = InterpolatorFactory.GetInterpolator(ExpiriesDouble, Nus, TimeInterpolatorType);
}
public void CanInterpolateFact()
{
var xs = new double[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var ys = new double[] { 0.32, 0.32, 0.34, 0.36, 0.38 };
var interp = InterpolatorFactory.GetInterpolator(xs, ys, Interpolator1DType.GaussianKernel);
//test pillar values are returned
for (var i = 0; i < xs.Length; i++)
{
Assert.Equal(ys[i], interp.Interpolate(xs[i]), 10);
}
}
public static IInterpolator1D GenerateCDF(this IVolSurface surface, int numSamples, DateTime expiry, double fwd, bool returnInverse = false)
{
var deltaKLow = 0.0000001;
var deltaKHi = 0.9999999;
var kStepD = (deltaKHi - deltaKLow) / (numSamples + 3);
var deltaKBump = deltaKLow / 10;
var t = surface.OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var x = new double[numSamples + 2];
var y = new double[numSamples + 2];
for (var i = 0; i < x.Length; i++)
{
var deltaKNew = deltaKLow + i * kStepD;
var mStrike = deltaKNew - deltaKBump / 2;
var pStrike = deltaKNew + deltaKBump / 2;
var mStrikeVol = surface.GetVolForDeltaStrike(mStrike, t, fwd);
var mk = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -mStrike, 0, t, mStrikeVol);
var pStrikeVol = surface.GetVolForDeltaStrike(pStrike, t, fwd);
var pk = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -pStrike, 0, t, pStrikeVol);
if (i == 0)
{
x[0] = mk / 2.0;
y[0] = 0;
continue;
}
if (i == x.Length - 1)
{
x[i] = pk * 2;
y[i] = 1;
continue;
}
var dkAbs = (pk - mk);
var pPut = BlackFunctions.BlackPV(fwd, pk, 0, t, pStrikeVol, OptionType.P);
var mPut = BlackFunctions.BlackPV(fwd, mk, 0, t, mStrikeVol, OptionType.P);
var digital = (pPut - mPut) / dkAbs;
y[i] = digital;
x[i] = (mk + pk) / 2.0;
}
return(returnInverse ?
InterpolatorFactory.GetInterpolator(y, x, Interpolator1DType.LinearFlatExtrap) :
InterpolatorFactory.GetInterpolator(x, y, Interpolator1DType.LinearFlatExtrap));
}
public static IInterpolator1D GeneratePDF(this IVolSurface surface, int numSamples, DateTime expiry, double fwd)
{
var deltaK = fwd * 0.0001;
var t = surface.OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var lowStrikeVol = surface.GetVolForDeltaStrike(0.0001, t, fwd);
var lowStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.0001, 0, t, lowStrikeVol);
var hiStrikeVol = surface.GetVolForDeltaStrike(0.9999, t, fwd);
var hiStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.9999, 0, t, hiStrikeVol);
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 = surface.GetVolForAbsoluteStrike(k - deltaK, t, fwd);
var callLow = BlackFunctions.BlackPV(fwd, k - deltaK, 0, t, volLow, OptionType.C);
var volMid = surface.GetVolForAbsoluteStrike(k, t, fwd);
var callMid = BlackFunctions.BlackPV(fwd, k, 0, t, volMid, OptionType.C);
var volHi = surface.GetVolForAbsoluteStrike(k + deltaK, t, fwd);
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));
}
private double GetAbsStrikeForDelta(double fwd, double deltaStrike, double maturity)
{
var cp = deltaStrike < 0 ? OptionType.Put : OptionType.Call;
Func <double, double> testFunc = (absK =>
{
var interpForStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble, ExpiriesDouble.Select(e => GetVolForAbsoluteStrike(absK, e, fwd)).ToArray(), TimeInterpolatorType);
var vol2 = interpForStrike.Interpolate(maturity);
var deltaK = BlackFunctions.BlackDelta(fwd, absK, 0, maturity, vol2, cp);
return(deltaK - deltaStrike);
});
var solvedStrike = Math.Solvers.Brent.BrentsMethodSolve(testFunc, 0.000000001, 50 * fwd, 1e-8);
return(solvedStrike);
}
public double GetVolForDeltaStrike(double deltaStrike, double maturity, double forward)
{
if (deltaStrike > 1.0 || deltaStrike < -1.0)
{
throw new ArgumentOutOfRangeException($"Delta strike must be in range -1.0 < x < 1.0 - value was {deltaStrike}");
}
var key = $"{deltaStrike:f6}~{maturity:f3}~{forward:f6}";
if (_allowCaching && _deltaVolCache.TryGetValue(key, out var vol))
{
return(vol);
}
if (StrikeType == StrikeType.ForwardDelta)
{
var interpForStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble,
_interpolators.Select(x => x.Interpolate(deltaStrike)).ToArray(),
TimeInterpolatorType);
vol = interpForStrike.Interpolate(maturity);
}
else
{
var fwd = forward;
var cp = deltaStrike < 0 ? OptionType.Put : OptionType.Call;
Func <double, double> testFunc = (absK =>
{
var interpForStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble,
_interpolators.Select(x => x.Interpolate(absK)).ToArray(),
TimeInterpolatorType);
var vol2 = interpForStrike.Interpolate(maturity);
var deltaK = BlackFunctions.BlackDelta(fwd, absK, 0, maturity, vol2, cp);
return(deltaK - Abs(deltaStrike));
});
var solvedStrike = Math.Solvers.Brent.BrentsMethodSolve(testFunc, 0.000000001, 10 * fwd, 1e-8);
var interpForSolvedStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble,
_interpolators.Select(x => x.Interpolate(solvedStrike)).ToArray(),
TimeInterpolatorType);
vol = interpForSolvedStrike.Interpolate(maturity);
}
if (_allowCaching)
{
_deltaVolCache[key] = vol;
}
return(vol);
}
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;
}
}
public void CanInterpolateFact()
{
var xs = new double[] { 0.1, 0.25, 0.5, 0.75, 0.9 };
var ys = new double[] { 0.32, 0.32, 0.34, 0.36, 0.38 };
var interp = InterpolatorFactory.GetInterpolator(xs, ys, Interpolator1DType.GaussianKernel);
//test pillar values are returned
for (var i = 0; i < xs.Length; i++)
{
Assert.Equal(ys[i], interp.Interpolate(xs[i]), 10);
}
var gk = new GaussianKernelInterpolator();
Assert.Throws <NotImplementedException>(() => interp.Bump(0, 0));
Assert.Throws <NotImplementedException>(() => interp.UpdateY(0, 0));
Assert.Throws <NotImplementedException>(() => interp.Sensitivity(0));
}
public void Finish(FeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//drifts and vols...
_drifts = new double[_timesteps.TimeStepCount];
_lvInterps = new IInterpolator1D[_timesteps.TimeStepCount - 1];
var strikes = new double[_timesteps.TimeStepCount][];
for (var t = 0; t < strikes.Length; t++)
{
strikes[t] = new double[98];
var fwd = _forwardCurve(_timesteps.Times[t]);
var atmVol = _surface.GetVolForDeltaStrike(fwd, _timesteps.Times[t], fwd);
for (var k = 0; k < strikes[t].Length; k++)
{
var deltaK = -(0.01 + 0.01 * k);
strikes[t][k] = Options.BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, deltaK, 0, _timesteps.Times[t], atmVol);
}
}
var lvSurface = Options.LocalVol.ComputeLocalVarianceOnGrid(_surface, strikes, _timesteps.Times, _forwardCurve);
for (var t = 0; t < _lvInterps.Length; t++)
{
_lvInterps[t] = InterpolatorFactory.GetInterpolator(strikes[t], lvSurface[t], t == 0 ? Interpolator1DType.DummyPoint : Interpolator1DType.LinearFlatExtrap);
}
var prevSpot = _forwardCurve(0);
for (var t = 1; t < _drifts.Length; t++)
{
var spot = _forwardCurve(_timesteps.Times[t]);
_drifts[t] = System.Math.Log(spot / prevSpot) / _timesteps.TimeSteps[t];
prevSpot = spot;
}
_isComplete = true;
}
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 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));
}
public static object Create1dInterpolatorSafe(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Array of X values")] object[] X,
[ExcelArgument(Description = "Array of Y values")] object[] Y,
[ExcelArgument(Description = "Type of interpolator, e.g. Linear")] string InterpolatorType)
{
return(ExcelHelper.Execute(_logger, () =>
{
var interpType = InterpolatorType.OptionalExcel <string>("Linear");
if (!Enum.TryParse(interpType, out Interpolator1DType iType))
{
return $"Could not parse 1d interpolator type - {interpType}";
}
if (X.Length != Y.Length)
{
throw new Exception("Input vectors must be same length");
}
var xList = new List <double>();
var yList = new List <double>();
for (var i = 0; i < X.Length; i++)
{
if (X[i] is double && Y[i] is double)
{
xList.Add((double)X[i]);
yList.Add((double)Y[i]);
}
}
var iObj = InterpolatorFactory.GetInterpolator(xList.ToArray(), yList.ToArray(), iType);
var cache = ContainerStores.GetObjectCache <IInterpolator1D>();
cache.PutObject(ObjectName, new SessionItem <IInterpolator1D> {
Name = ObjectName, Value = iObj
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public static object Create1dInterpolator(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Array of X values")] double[] X,
[ExcelArgument(Description = "Array of Y values")] double[] Y,
[ExcelArgument(Description = "Type of interpolator, e.g. Linear")] string InterpolatorType)
{
return(ExcelHelper.Execute(_logger, () =>
{
var interpType = InterpolatorType.OptionalExcel <string>("Linear");
if (!Enum.TryParse(interpType, out Interpolator1DType iType))
{
return $"Could not parse 1d interpolator type - {interpType}";
}
var iObj = InterpolatorFactory.GetInterpolator(X, Y, iType);
var cache = ContainerStores.GetObjectCache <IInterpolator1D>();
cache.PutObject(ObjectName, new SessionItem <IInterpolator1D> {
Name = ObjectName, Value = iObj
});
return ObjectName + '¬' + cache.GetObject(ObjectName).Version;
}));
}
public double Dvdk(double strike, DateTime expiry, double fwd)
{
if (StrikeType == StrikeType.ForwardDelta)
{
var t = TimeBasis.CalculateYearFraction(OriginDate, expiry);
var pillarIx = Array.BinarySearch(Expiries, expiry);
var interpForMaturity = pillarIx > 0 ?
_interpolators[pillarIx] :
InterpolatorFactory.GetInterpolator(Strikes, Strikes.Select(k => GetVolForDeltaStrike(k, expiry, fwd)).ToArray(), StrikeInterpolatorType);
var deltaK = GetDeltaStrikeForAbs(fwd, strike, t);
var vol = GetVolForAbsoluteStrike(strike, expiry, fwd);
var gamma = BlackFunctions.BlackGamma(fwd, strike, 0.0, t, vol);
return(interpForMaturity.FirstDerivative(deltaK) * gamma);
}
else
{
var interpForMaturity = InterpolatorFactory.GetInterpolator(Strikes,
Strikes.Select(k => GetVolForAbsoluteStrike(k, expiry, fwd)).ToArray(),
StrikeInterpolatorType);
return(interpForMaturity.FirstDerivative(strike));
}
}
public static IInterpolator1D GeneratePremiumInterpolator(this IVolSurface surface, int numSamples, double t, double fwd, OptionType cp)
{
var lowStrikeVol = surface.GetVolForDeltaStrike(0.001, t, fwd);
var lowStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.001, 0, t, lowStrikeVol);
var hiStrikeVol = surface.GetVolForDeltaStrike(0.999, t, fwd);
var hiStrike = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.999, 0, t, hiStrikeVol);
var x = new double[numSamples + 2];
var y = new double[numSamples + 2];
var k = lowStrike;
var kStep = (hiStrike - lowStrike) / (numSamples + 1.0);
var vol = surface.GetVolForAbsoluteStrike(k / 10, t, fwd);
var call = BlackFunctions.BlackPV(fwd, k / 10, 0, t, vol, cp);
y[0] = call;
x[0] = k / 10;
for (var i = 0; i < x.Length - 1; i++)
{
vol = surface.GetVolForAbsoluteStrike(k, t, fwd);
call = BlackFunctions.BlackPV(fwd, k, 0, t, vol, cp);
y[i + 1] = call;
x[i + 1] = k;
k += kStep;
}
vol = surface.GetVolForAbsoluteStrike(k * 10, t, fwd);
call = BlackFunctions.BlackPV(fwd, k * 10, 0, t, vol, cp);
y[x.Length - 1] = call;
x[x.Length - 1] = k * 10;
return(InterpolatorFactory.GetInterpolator(x, y, Interpolator1DType.MonotoneCubicSpline));
}
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 static IInterpolator1D GenerateCompositeSmileB(this IVolSurface surface, IVolSurface fxSurface, int numSamples, DateTime expiry, double fwdAsset, double fwdFx, double correlation, bool strikesInDeltaSpace = false)
{
var t = surface.OriginDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var fxInv = new InverseFxSurface("fxInv", fxSurface as IATMVolSurface, null);
var atmFx = fxSurface.GetVolForDeltaStrike(0.5, t, fwdFx);
var atmA = surface.GetVolForDeltaStrike(0.5, t, fwdAsset);
var compoFwd = fwdAsset * fwdFx;
var atmCompo = Sqrt(atmFx * atmFx + atmA * atmA + 2.0 * correlation * atmA * atmFx);
var lowK = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(compoFwd, -0.01, 0, t, atmCompo);
var hiK = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(compoFwd, -0.99, 0, t, atmCompo);
//var cdfInvFx = fxSurface.GenerateCDF2(numSamples * 10, expiry, fwdFx, true);
//var cdfInvAsset = surface.GenerateCDF2(numSamples * 10, expiry, fwdAsset, true);
//var yFx = new Func<double, double>(z => cdfInvFx.Interpolate(Statistics.NormSDist(z)));
//var yAsset = new Func<double, double>(z => cdfInvAsset.Interpolate(Statistics.NormSDist(z)));
var fxCDFCache = new Dictionary <double, double>();
var assetCDFCache = new Dictionary <double, double>();
var yFx = new Func <double, double>(z =>
{
if (fxCDFCache.TryGetValue(z, out var K))
{
return(K);
}
K = fxInv.InverseCDF(expiry, 1.0 / fwdFx, Statistics.NormSDist(z));
fxCDFCache.Add(z, K);
return(K);
});
var yAsset = new Func <double, double>(z =>
{
if (assetCDFCache.TryGetValue(z, out var K))
{
return(K);
}
K = surface.InverseCDF(expiry, fwdAsset, Statistics.NormSDist(z));
assetCDFCache.Add(z, K);
return(K);
});
//var fxCDFCache = new Dictionary<double, double>();
//var assetCDFCache = new Dictionary<double, double>();
//var putFx = fxInv.GeneratePremiumInterpolator(numSamples * 10, expiry, 1.0/fwdFx, OptionType.P);
//var putAsset = surface.GeneratePremiumInterpolator(numSamples * 10, expiry, fwdAsset, OptionType.P);
//var yFx = new Func<double, double>(z =>
//{
// if (fxCDFCache.TryGetValue(z, out var K)) return K;
// K = InverseCDF(putFx, t, 1.0/fwdFx, Statistics.NormSDist(z));
// fxCDFCache.Add(z, K);
// return K;
//});
//var yAsset = new Func<double, double>(z =>
//{
// if (assetCDFCache.TryGetValue(z, out var K)) return K;
// K = InverseCDF(putAsset, t, fwdAsset, Statistics.NormSDist(z));
// var kl = assetCDFCache.Keys.ToList();
// var closerIx = kl.BinarySearch(z);
// var keyIx = ~closerIx;
// if (closerIx < 0 && z < 0 && kl.Count > keyIx)
// {
// if (assetCDFCache[kl[keyIx]] < K)
// K = assetCDFCache[kl[keyIx]];
// }
// assetCDFCache.Add(z, K);
// return K;
//});
var payoff = new Func <double, double, double, double>((z1, z2, kQ) => Max(kQ * yFx(z2) - yAsset(z1), 0));
var integrand = new Func <double, double, double, double>((z1, z2, kQ) => payoff(z1, z2, kQ) * BivariateNormal.PDF(z1, z2, -correlation));
var kStep = (hiK - lowK) / numSamples;
var ks = Enumerable.Range(0, numSamples).Select(kk => lowK + kk * kStep).ToArray();
var premiums = new double[ks.Length];
var vols = new double[ks.Length];
for (var i = 0; i < ks.Length; i++)
{
var ik = new Func <double, double, double>((z1, z2) => integrand(z1, z2, ks[i]));
var pk = Integration.TwoDimensionalGaussLegendre(ik, -5, 5, -5, 5, 16);
//var pk = Integration.TwoDimensionalSimpsons(ik, -5, 5, -5, 5, 100);
pk *= fwdFx;
var volK = BlackFunctions.BlackImpliedVol(compoFwd, ks[i], 0.0, t, pk, OptionType.P);
vols[i] = volK;
premiums[i] = pk;
}
if (strikesInDeltaSpace)
{
ks = ks.Select((ak, ix) => - BlackFunctions.BlackDelta(compoFwd, ak, 0.0, t, vols[ix], OptionType.P)).ToArray();
}
return(InterpolatorFactory.GetInterpolator(ks, vols, Interpolator1DType.CubicSpline));
}
private void UpdateInterpolator() => _interp = InterpolatorFactory.GetInterpolator(_strikes, _currentGuess, _interpType);
/// <summary>
/// Use Direct SQL query aspect implementation based on EntityFramework Core
/// </summary>
/// <param name="conf">Channel configuration</param>
/// <param name="context">Lazy disposable wrapper around DbContext</param>
public static void UseEfCoreDirectSqlQuery(this ChannelBinding <QueryChannel <Tecture.Aspects.DirectSql.DirectSql.Query> > conf, ILazyDisposable <DbContext> context, InterpolatorFactory fac = null)
{
if (fac == null)
{
fac = new InterpolatorFactory();
}
conf.ForQuery(new EFCore_DirectSql_QueryAspect(context, conf.Channel, fac));
}
public static Dictionary <DateTime, IInterpolator1D> ToDeltaSmiles(this List <ListedOptionSettlementRecord> optionSettlements, Dictionary <string, double> futuresPrices, SmileOrderOfPrecedence orderOfP = SmileOrderOfPrecedence.UseOTM)
{
var output = new Dictionary <DateTime, IInterpolator1D>();
var byExpiry = optionSettlements.GroupBy(r => r.ExpiryDate).OrderBy(o => o.Key);
foreach (var expGroup in byExpiry)
{
var expiry = expGroup.Key;
if (expGroup.Select(x => x.UnderlyingFuturesCode).Distinct().Count() != 1)
{
throw new Exception($"Inconsistent underlying contracts for expiry {expiry}");
}
if (expGroup.Select(x => x.ValDate).Distinct().Count() != 1)
{
throw new Exception($"Inconsistent value dates for expiry {expiry}");
}
var t = expGroup.First().ValDate.CalculateYearFraction(expiry, DayCountBasis.ACT365F);
var futCode = expGroup.First().UnderlyingFuturesCode;
if (!futuresPrices.TryGetValue(futCode, out var fut))
{
throw new Exception($"No future price found for contract {futCode}");
}
var filtered = new List <SmilePoint>();
var byStrike = expGroup.GroupBy(e => e.Strike).OrderBy(o => o.Key);
foreach (var strikeGrp in byStrike)
{
var k = strikeGrp.Key;
if (strikeGrp.Count() > 2)
{
throw new Exception($"Did not expect more than two options at strike {k}");
}
switch (orderOfP)
{
case SmileOrderOfPrecedence.Average:
{
var v = strikeGrp.Average(s => s.ImpliedVol);
filtered.Add(
new SmilePoint
{
Strike = -BlackFunctions.BlackDelta(fut, k, 0.0, t, v, OptionType.P),
ImpliedVol = v
});
break;
}
case SmileOrderOfPrecedence.UseOTM:
{
ListedOptionSettlementRecord r;
if (fut > k)
{
r = strikeGrp.Where(sg => sg.CallPut == OptionType.P).SingleOrDefault();
}
else
{
r = strikeGrp.Where(sg => sg.CallPut == OptionType.C).SingleOrDefault();
}
if (r != null && r.ImpliedVol > 1e-8)
{
filtered.Add(
new SmilePoint
{
Strike = -BlackFunctions.BlackDelta(fut, k, 0.0, t, r.ImpliedVol, OptionType.P),
ImpliedVol = r.ImpliedVol
});
}
break;
}
}
}
//now we have filtered to a single vol per-strike...
if (filtered.Any())
{
output[expiry] = InterpolatorFactory.GetInterpolator(filtered.Select(f => f.Strike).ToArray(), filtered.Select(f => f.ImpliedVol).ToArray(), Interpolator1DType.CubicSpline);
}
}
return(output);
}
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);
}
private void Initialize()
{
var pillarsAsDoubles = PillarDates.Select(x => x.ToOADate()).ToArray();
_interp = InterpolatorFactory.GetInterpolator(pillarsAsDoubles, Contangos, Interpolator1DType.Linear);
}
public EFCore_DirectSql_CommandAspect(ILazyDisposable <DbContext> context, Type channel, InterpolatorFactory fac)
: base(new EfCoreStokeRuntime(context, channel, fac))
{
Context = context;
}
public HazzardCurve(TO_HazzardCurve transportObject) : this(transportObject.OriginDate, transportObject.Basis, InterpolatorFactory.GetInterpolator(transportObject.HazzardCurve))
{
if (transportObject.ConstantPD.HasValue)
{
ConstantPD = transportObject.ConstantPD.Value;
}
}
public EFCore_DirectSql_QueryFeature(ILazyDisposable <DbContext> context, Type channel, InterpolatorFactory fac) : base(new EfCoreStokeRuntime(context, channel, fac))
{
_dbContext = context;
}
