public static RiskyFlySurface ToRiskyFlySurfaceStepFlat(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, IPriceCurve priceCurve, List <DateTime> allExpiries, ICurrencyProvider currencyProvider)
{
var wingDeltas = new[] { 0.25, 0.1 };
var expiries = smiles.Keys.ToArray();
var expiriesDouble = expiries.Select(e => e.ToOADate()).ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x =>
wingDeltas.Select(w => x.Value.Interpolate(1.0 - w) - x.Value.Interpolate(w))
.ToArray())
.ToArray();
var flies = smiles.Select((x, ix) =>
wingDeltas.Select(w => (x.Value.Interpolate(1.0 - w) + x.Value.Interpolate(w)) / 2.0 - atmVols[ix])
.ToArray())
.ToArray();
SmoothSmiles(wingDeltas, smiles, ref riskies, ref flies);
var fwds = allExpiries.Select(x => priceCurve.GetPriceForDate(x)).ToArray();
var atmInterp = InterpolatorFactory.GetInterpolator(expiriesDouble, atmVols, Interpolator1DType.LinearInVariance);
var riskyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, riskies.Select(r => r[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var flyInterps = wingDeltas.Select((w, ixw) => InterpolatorFactory.GetInterpolator(expiriesDouble, flies.Select(f => f[ixw]).ToArray(), Interpolator1DType.LinearFlatExtrap)).ToArray();
var expandedRiskies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => riskyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedFlies = allExpiries.Select(e => wingDeltas.Select((w, ixw) => flyInterps[ixw].Interpolate(e.ToOADate())).ToArray()).ToArray();
var expandedAtms = allExpiries.Select(e => atmInterp.Interpolate(e.ToOADate())).ToArray();
var expandedFwds = allExpiries.Select(e => priceCurve.GetPriceForDate(e)).ToArray();
var o = new RiskyFlySurface(valDate, expandedAtms, allExpiries.ToArray(), wingDeltas, expandedRiskies, expandedFlies, expandedFwds, WingQuoteType.Arithmatic,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.CubicSpline, Interpolator1DType.NextValue)
{
Currency = currencyProvider.GetCurrency("USD")
};
return(o);
}
public static object SurfaceFromCube(
[ExcelArgument(Description = "Output Surface name")] string SurfaceName,
[ExcelArgument(Description = "Cube name")] string CubeName,
[ExcelArgument(Description = "Build date")] DateTime BuildDate,
[ExcelArgument(Description = "Currency")] string Currency,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Stike Interpolation - default GaussianKernel")] object StrikeInterpolation,
[ExcelArgument(Description = "Time Interpolation - default LinearInVariance")] object TimeInterpolation)
{
return(ExcelHelper.Execute(_logger, () =>
{
var cube = ContainerStores.GetObjectCache <ICube>().GetObjectOrThrow(CubeName, $"Cube {CubeName} not found");
var strikeInterpType = StrikeInterpolation.OptionalExcel("GaussianKernel");
var timeInterpType = TimeInterpolation.OptionalExcel("LinearInVariance");
if (!Enum.TryParse(strikeInterpType, out Interpolator1DType siType))
{
return $"Could not parse strike interpolator type - {strikeInterpType}";
}
if (!Enum.TryParse(timeInterpType, out Interpolator1DType tiType))
{
return $"Could not parse time interpolator type - {timeInterpType}";
}
var rrbf = RiskyFlySurface.FromCube(cube.Value, BuildDate, siType, tiType);
rrbf.AssetId = AssetId;
rrbf.Name = AssetId;
if (!string.IsNullOrWhiteSpace(Currency))
{
rrbf.Currency = ContainerStores.CurrencyProvider.GetCurrency(Currency);
}
return ExcelHelper.PushToCache <IVolSurface>(rrbf, SurfaceName);
}));
}
public void SABRSurfaceRRBF()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddYears(1);
var t = (expiry - origin).TotalDays / 365.0;
var fwd = 1.5;
var vol = 0.32;
var rr = new[] { new[] { 0.02, 0.03 } };
var bf = new[] { new[] { 0.005, 0.007 } };
Func <double, double> fwdCurve = (tt => { return(fwd); });
var surface = new SabrVolSurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
var gSurface = new RiskyFlySurface(origin, new[] { vol }, new[] { expiry }, new[] { 0.25, 0.1 }, rr, bf, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear, Interpolator1DType.Linear);
var atmK = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.5, 0.0, t, vol);
Assert.Equal(vol, surface.GetVolForAbsoluteStrike(atmK, expiry, fwd), 2);
var v25c = gSurface.GetVolForDeltaStrike(0.75, expiry, fwd);
var v25p = gSurface.GetVolForDeltaStrike(0.25, expiry, fwd);
var k25c = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, 0.25, 0.0, t, v25c);
var k25p = BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, -0.25, 0.0, t, v25p);
var t25c = surface.GetVolForAbsoluteStrike(k25c, expiry, fwd);
var t25p = surface.GetVolForAbsoluteStrike(k25p, expiry, fwd);
Assert.Equal(rr[0][0], t25c - t25p, 2);
}
public void RiskyFlySimple()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var cube = surface.ToCube();
Assert.Equal(fwds[0], cube.GetAllRows().First().Value);
var recon = RiskyFlySurface.FromCube(cube, origin, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]), recon.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var quotes = surface.DisplayQuotes();
Assert.Equal(maturities[0], (DateTime)quotes[1, 0]);
}
public void RiskyFlySerialization()
{
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
var binSer = new BinarySerializer();
binSer.PrepareObjectGraph(surface);
var span = binSer.SerializeObjectGraph();
var binDeser = new BinaryDeserializer();
var surface2 = (ObjectWithLists)binDeser.DeserializeObjectGraph(span);
Assert.Equal(atms[1], surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
}
public static RiskyFlySurface ToATMSurface(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, double[] fwds)
{
var wingDeltas = new[] { 0.25 };
var expiries = smiles.Keys.ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x => new[] { 0.0 }).ToArray();
var flies = smiles.Select(x => new[] { 0.0 }).ToArray();
var o = new RiskyFlySurface(valDate, atmVols, expiries, wingDeltas, riskies, flies, fwds, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear, Interpolator1DType.LinearInVariance);
return(o);
}
public static RiskyFlySurface ToRiskyFlySurface(this Dictionary <DateTime, IInterpolator1D> smiles, DateTime valDate, double[] fwds)
{
var wingDeltas = new[] { 0.25, 0.1 };
var expiries = smiles.Keys.ToArray();
var atmVols = smiles.Select(x => x.Value.Interpolate(0.5)).ToArray();
var riskies = smiles.Select(x =>
wingDeltas.Select(w => x.Value.Interpolate(1.0 - w) - x.Value.Interpolate(w))
.ToArray())
.ToArray();
var flies = smiles.Select((x, ix) =>
wingDeltas.Select(w => (x.Value.Interpolate(1.0 - w) + x.Value.Interpolate(w)) / 2.0 - atmVols[ix])
.ToArray())
.ToArray();
var o = new RiskyFlySurface(valDate, atmVols, expiries, wingDeltas, riskies, flies, fwds, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.CubicSpline, Interpolator1DType.LinearInVariance);
return(o);
}
public void CompositeSmimleFacts_LocalVol()
{
var origin = new DateTime(2017, 02, 07);
var expiry = origin.AddMonths(2);
var tExp = origin.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var fwdCurveAsset = new Func <double, double>(t => { return(100); });
var fwdCurveFx = new Func <double, double>(t => { return(15); });
var volAsset = 0.32;
var volFx = 0.16;
var correl = 0.25;
var surfaceAsset = new RiskyFlySurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
var surfaceFx = new RiskyFlySurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.Linear)
{
FlatDeltaSmileInExtreme = true
};
//var surfaceAsset = new SabrVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SabrVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceAsset = new SVIVolSurface(origin, new[] { volAsset }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.02, 0.03 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 100.0 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
//var surfaceFx = new SVIVolSurface(origin, new[] { volFx }, new[] { expiry }, new[] { 0.25, 0.1 }, new[] { new[] { 0.015, 0.025 } }, new[] { new[] { 0.005, 0.007 } }, new[] { 0.1 }, WingQuoteType.Arithmatic, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear);
var invFx = new InverseFxSurface("inv", surfaceFx, TestProviderHelper.CurrencyProvider);
var surfaceCompo = surfaceAsset.GenerateCompositeSmile(invFx, 200, expiry, 100, 1.0 / 15, correl);
//setup MC
using var engine = new PathEngine(2.IntPow(IsCoverageOnly?5:15));
engine.AddPathProcess(
new Qwack.Random.MersenneTwister.MersenneTwister64
{
UseNormalInverse = true
});
var correlMatrix = new double[][]
{
new double[] { 1.0, correl },
new double[] { correl, 1.0 },
};
engine.AddPathProcess(new Cholesky(correlMatrix));
var asset1 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceAsset,
forwardCurve: fwdCurveAsset,
nTimeSteps: 1,
name: "Asset"
);
var asset2 = new TurboSkewSingleAsset
(
startDate: origin,
expiryDate: expiry,
volSurface: surfaceFx,
forwardCurve: fwdCurveFx,
nTimeSteps: 1,
name: "USD/ZAR"
);
engine.AddPathProcess(asset1);
engine.AddPathProcess(asset2);
var strike = 1500;
var product = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = strike,
FxConversionType = FxConversionType.ConvertThenAverage
};
var productAsset = new EuropeanOption
{
AssetId = "Asset",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["USD"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 100,
FxConversionType = FxConversionType.None
};
var productFx = new EuropeanOption
{
AssetId = "USD/ZAR",
CallPut = OptionType.C,
ExpiryDate = expiry,
PaymentCurrency = TestProviderHelper.CurrencyProvider["ZAR"],
PaymentDate = expiry,
Notional = 1.0,
SpotLag = new Frequency("0b"),
Strike = 0.1,
FxConversionType = FxConversionType.None
};
var pathProduct = new AssetPathPayoff(product, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductAsset = new AssetPathPayoff(productAsset, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
var pathProductFx = new AssetPathPayoff(productFx, TestProviderHelper.CurrencyProvider, TestProviderHelper.CalendarProvider, TestProviderHelper.CurrencyProvider["ZAR"]);
engine.AddPathProcess(pathProduct);
engine.AddPathProcess(pathProductAsset);
engine.AddPathProcess(pathProductFx);
engine.SetupFeatures();
engine.RunProcess();
var q = pathProduct.ResultsByPath;
var qq = q.Average();
var productIv = BlackFunctions.BlackImpliedVol(1500, strike, 0.0, tExp, pathProduct.AverageResult, OptionType.C);
var productAssetIv = BlackFunctions.BlackImpliedVol(100, 100, 0.0, tExp, pathProductAsset.AverageResult, OptionType.C);
var productFxIv = BlackFunctions.BlackImpliedVol(10, 10, 0.0, tExp, pathProductFx.AverageResult, OptionType.C);
Assert.True(Abs(productIv - surfaceCompo.Interpolate(strike)) < 0.01);
}
public static object CreateRiskyFlyVolSurface(
[ExcelArgument(Description = "Object name")] string ObjectName,
[ExcelArgument(Description = "Asset Id")] string AssetId,
[ExcelArgument(Description = "Origin date")] DateTime OriginDate,
[ExcelArgument(Description = "Wing deltas")] double[] WingDeltas,
[ExcelArgument(Description = "Expiries")] double[] Expiries,
[ExcelArgument(Description = "ATM Volatilities")] double[] ATMVols,
[ExcelArgument(Description = "Risk Reversal quotes")] double[,] Riskies,
[ExcelArgument(Description = "Butterfly quotes")] double[,] Flies,
[ExcelArgument(Description = "Forwards or price curve object")] object FwdsOrCurve,
[ExcelArgument(Description = "ATM vol type - default zero-delta straddle")] object ATMType,
[ExcelArgument(Description = "Wing quote type - Simple or Market")] object WingType,
[ExcelArgument(Description = "Stike Interpolation - default GaussianKernel")] object StrikeInterpolation,
[ExcelArgument(Description = "Time Interpolation - default LinearInVariance")] object TimeInterpolation,
[ExcelArgument(Description = "Pillar labels (optional)")] object PillarLabels,
[ExcelArgument(Description = "Currency - default USD")] object Currency,
[ExcelArgument(Description = "Override spot lag - default none")] object SpotLag)
{
return(ExcelHelper.Execute(_logger, () =>
{
var labels = (PillarLabels is ExcelMissing) ? null : ((object[, ])PillarLabels).ObjectRangeToVector <string>();
var ccyStr = Currency.OptionalExcel("USD");
ContainerStores.SessionContainer.GetService <ICalendarProvider>().Collection.TryGetCalendar(ccyStr, out var ccyCal);
var atmType = ATMType.OptionalExcel("ZeroDeltaStraddle");
var wingType = WingType.OptionalExcel("Simple");
var strikeInterpType = StrikeInterpolation.OptionalExcel("GaussianKernel");
var timeInterpType = TimeInterpolation.OptionalExcel("LinearInVariance");
var expiries = ExcelHelper.ToDateTimeArray(Expiries);
var rr = Riskies.SquareToJagged <double>();
var bf = Flies.SquareToJagged <double>();
if (!Enum.TryParse(wingType, out WingQuoteType wType))
{
return $"Could not parse wing quote type - {wingType}";
}
if (!Enum.TryParse(atmType, out AtmVolType aType))
{
return $"Could not parse atm quote type - {atmType}";
}
if (!Enum.TryParse(strikeInterpType, out Interpolator1DType siType))
{
return $"Could not parse strike interpolator type - {strikeInterpType}";
}
if (!Enum.TryParse(timeInterpType, out Interpolator1DType tiType))
{
return $"Could not parse time interpolator type - {timeInterpType}";
}
double[] fwds = null;
if (FwdsOrCurve is double)
{
fwds = new double[] { (double)FwdsOrCurve };
}
else if (FwdsOrCurve is string)
{
if (!ContainerStores.GetObjectCache <IPriceCurve>().TryGetObject(FwdsOrCurve as string, out var curve))
{
return $"Could not find fwd curve with name - {FwdsOrCurve as string}";
}
fwds = expiries.Select(e => curve.Value.GetPriceForDate(e)).ToArray();
}
else
{
fwds = ((object[, ])FwdsOrCurve).ObjectRangeToVector <double>();
}
var surface = new RiskyFlySurface(OriginDate, ATMVols, expiries, WingDeltas, rr, bf, fwds, wType, aType, siType, tiType, labels)
{
Currency = ContainerStores.CurrencyProvider[ccyStr],
Name = AssetId ?? ObjectName,
AssetId = AssetId ?? ObjectName,
};
if (SpotLag != null && !(SpotLag is ExcelMissing))
{
surface.OverrideSpotLag = new Frequency((string)SpotLag);
}
return ExcelHelper.PushToCache <IVolSurface>(surface, ObjectName);
}));
}
