public static object EquityImpliedVol(object mktObj, string assetName, object maturity, double strike, double price, string optionType)
{
return(FunctionRunnerUtils.Run("EquityImpliedVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMkt = market.AssetMarketFromName(assetName);
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot,
assetMkt.Dividends,
assetMkt.RiskFreeDiscount,
assetMkt.Time);
double q;
switch (optionType.Trim().ToLower())
{
case "call":
q = 1.0;
break;
case "put":
q = -1.0;
break;
default:
throw new Exception(string.Format("Unknow option type : {0}", optionType));
}
var matAsDate = ObjectConverters.ConvertDate(maturity, assetMkt.RefDate);
return pricer.ImpliedVol(assetMkt.Time[matAsDate], strike, price, q);
}));
}
public static object LocalVolDenominator(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var localVariance = volSurface.LocalVariance;
var moneyness = volSurface.Moneyness;
var time = volSurface.Time;
var result = new double[dates.Length, strikes.Length];
for (int i = 0; i < dates.Length; i++)
{
var date = ObjectConverters.ConvertDate(dates[i], assetMarket.RefDate);
double t = time[date];
var denomFunc = localVariance.Denominator(t);
var denoms = strikes.Map(k =>
{
var y = moneyness.Moneyness(t, k);
return denomFunc.Eval(y);
});
ArrayUtils.SetRow(ref result, i, denoms);
}
return result;
}));
}
public override IModelDescription Calibrate(BlackScholesModelCalibDesc bsDesc, Market market)
{
AssetMarket assetMkt = market.AssetMarketFromName(bsDesc.Asset);
var volSurface = assetMkt.VolSurface();
var forwardCurve = assetMkt.Forward();
var optionPricer = BlackScholesWithDividendOption.Build(assetMkt.Spot, assetMkt.Dividends, assetMkt.RiskFreeDiscount, assetMkt.Time);
var calibMaturities = bsDesc.CalibrationMaturities.Map(d => d.ToDate(assetMkt.RefDate));
var calibStrikes = bsDesc.CalibrationStrikes;
var calibDates = assetMkt.Time[calibMaturities];
double[] targetPrices = new double[calibDates.Length];
double[] optionTypes = new double[calibDates.Length];
for (int i = 0; i < calibMaturities.Length; i++)
{
var targetVol = volSurface.Volatility(calibDates[i], calibStrikes[i]);
var optionType = (calibStrikes[i] > forwardCurve.Fwd(calibMaturities[i])) ? 1.0 : -1.0;
targetPrices[i] = optionPricer.Price(calibDates[i], calibStrikes[i], targetVol, optionType);
optionTypes[i] = optionType;
}
var calibratedVols = optionPricer.CalibrateVol(calibDates, targetPrices, bsDesc.CalibrationStrikes, optionTypes);
var sigma = new MapRawDatas <DateOrDuration, double>(bsDesc.CalibrationMaturities, calibratedVols);
return(new BlackScholesModelDescription(bsDesc.Asset, sigma, bsDesc.WithDivs));
}
public override IModel Build(BlackScholesModelDescription bs, Market market)
{
var time = ModelFactoryUtils.DefaultTime(market.RefDate);
var assetMkt = market.AssetMarketFromName(bs.Asset);
var localDividends = bs.WithDivs
? assetMkt.Dividends.Map(div => div.DivModel())
: new DiscreteLocalDividend[0];
return(new BlackScholesModel(time, assetMkt.Asset, bs.Sigma.ToStepFunction(time), localDividends));
}
public override IModel Build(Bergomi2FModelDescription b2F, Market market)
{
ITimeMeasure time = ModelFactoryUtils.DefaultTime(market.RefDate);
var assetMkt = market.AssetMarketFromName(b2F.Asset);
var localDividends = b2F.WithDivs
? assetMkt.Dividends.Map(div => div.DivModel())
: new DiscreteLocalDividend[0];
return(new Bergomi2FModel(assetMkt.Asset, localDividends, time, BuildXi(b2F.Sigma, time),
b2F.K1, b2F.K2, b2F.Theta, b2F.Nu, b2F.RhoXY, b2F.RhoSX, b2F.RhoSY));
}
public static object LocalVolSurface(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var maturities = ObjectConverters.ConvertDateArray(dates, assetMarket.RefDate);
return ArrayUtils.CartesianProd(maturities, strikes, volSurface.LocalVol);
}));
}
public override IModel Build(LocalVolModelDescription lv, Market market)
{
AssetMarket assetMkt = market.AssetMarketFromName(lv.Asset);
DiscreteLocalDividend[] localDividends = lv.WithDivs
? assetMkt.Dividends.Map(div => div.DivModel())
: new DiscreteLocalDividend[0];
VolatilitySurface volSurface = VolatilitySurface.BuildInterpol(lv.VolMatrix, assetMkt.Moneyness);
return(new LocalVolatilityModel(lv.VolMatrix.Time, assetMkt.Asset, volSurface, assetMkt.Moneyness, localDividends));
}
public override IModelDescription Calibrate(LocalVolModelCalibDesc lvDesc, Market market)
{
AssetMarket assetMkt = market.AssetMarketFromName(lvDesc.Asset);
return(new LocalVolModelDescription(lvDesc.Asset, lvDesc.WithDivs, assetMkt.VolMatrix));
}
