public static void CapletVol20Y_InputInterp()
{
#region Data
// We load a set of data (not real)
DataForCapletExample1 d = new DataForCapletExample1();
double[] df = d.df();
double[] yf = d.yf();
double[] T = d.T();
double[] fwd = d.fwd();
double[] atmfwd = d.atmfwd();
double[] capVol = d.capVol();
double[] avT = d.avT();
double[] avcapVol = d.avcapVol();
#endregion
// All Data available
double[] CapletVol = Formula.CapletVolBootstrapping(T, df, fwd, yf, capVol, atmfwd);
// Cubic input
SimpleCubicInterpolator CubicInt = new SimpleCubicInterpolator(avT, avcapVol);
double[] cubicInterpCapVol = CubicInt.Curve(T);
double[] CapletVolCubicInput = Formula.CapletVolBootstrapping(T, df, fwd, yf, cubicInterpCapVol, atmfwd);
// Linear Input
LinearInterpolator LinearInt = new LinearInterpolator(avT, avcapVol);
double[] linearInterpCapVol = LinearInt.Curve(T);
double[] CapletVolLinearInput = Formula.CapletVolBootstrapping(T, df, fwd, yf, linearInterpCapVol, atmfwd);
#region print results
ExcelMechanisms exl = new ExcelMechanisms();
Vector <double> CapletVol_ = new Vector <double>(CapletVol, 1);
Vector <double> CapletVolCubicInput_ = new Vector <double>(CapletVolCubicInput, 1);
Vector <double> CapletVolLinearInput_ = new Vector <double>(CapletVolLinearInput, 1);
Vector <double> xarr = new Vector <double>(T, 1);
List <string> labels = new List <string>()
{
"CapletVol All input", "CapVol Cubic Input", "CapVol Linear Input"
};
List <Vector <double> > yarrs = new List <Vector <double> >()
{
CapletVol_, CapletVolCubicInput_, CapletVolLinearInput_
};
exl.printInExcel <double>(xarr, labels, yarrs, "Caplet Vol Input Interpolation", "Term", "Volatility");
#endregion
}
// Target function to be minimised
public void function_fvec(double[] VolGuess, double[] fi, object obj)
{
// Uncomment to change interpolator
// LinearInterpolator interp = new LinearInterpolator(x, VolGuess);
SimpleCubicInterpolator interp = new SimpleCubicInterpolator(x, VolGuess);
double[] Vols = interp.Curve(T); // interpolated caplet vols
double cP = 0.0;
// Calculate Cap price using Caplet volatility
for (int i = 0; i < x.Length; i++)
{
int maxJ = Array.IndexOf(T, x[i]); // right index
cP = 0.0;
for (int j = 0; j <= maxJ; j++)
{
cP += Formula.CapletBlack(T[j], yf[j], 1, atmfwd[maxJ], Vols[j], df[j], fwd[j]);
}
fi[i] = (capPremium[i] - cP) * 10000000; // minimise it!
}
}
// Calculate cubic interpolated rate for each starting time in T
public double[] AllFwd_Cubic(double[] knownRatesStart, double[] knownFwd)
{
SimpleCubicInterpolator CU = new SimpleCubicInterpolator(knownRatesStart, knownFwd);
return(CU.Curve(T)); // getting Cubic interpolated data
}
