/// <summary>
/// Constructor for <see cref="ExpiryInterpolatedVolatility"/>
/// class.
/// </summary>
/// <param name="bootstrapEngine">The Bootstrap Engine
/// that contains the results of the bootstrap.
/// Precondition: IsCapletBootstrapSuccessful method applied to the
/// Caplet bootstrap engine returns "true".</param>
/// <param name="expiryInterpolationType">Type of one dimensional
/// interpolation that will be applied to the expiry.</param>
public ExpiryInterpolatedVolatility
(VolatilityCurve bootstrapEngine,
ExpiryInterpolationType expiryInterpolationType)
{
ValidateConstructorArguments(bootstrapEngine);
InitialisePrivateFields
(bootstrapEngine, expiryInterpolationType);
}
/// <summary>
/// Constructor for <see cref="CapletExpiryInterpolatedVolatility"/>
/// class.
/// </summary>
/// <param name="capletBootstrapEngine">The Caplet Bootstrap Engine
/// that contains the results of the bootstrap.
/// Precondition: IsCapletBootstrapSuccessful method applied to the
/// Caplet bootstrap engine returns "true".</param>
/// <param name="expiryInterpolationType">Type of one dimensional
/// interpolation that will be applied to the expiry.</param>
public CapletExpiryInterpolatedVolatility
(CapVolatilityCurve capletBootstrapEngine,
ExpiryInterpolationType expiryInterpolationType)
{
ValidateConstructorArguments(capletBootstrapEngine);
InitialisePrivateFields
(capletBootstrapEngine, expiryInterpolationType);
}
/// <summary>
/// Constructor for the class <see cref="CapletSmileCalibrationSettings"/>.
/// </summary>
/// <param name="beta">SABR parameter Beta used to calibrate the Caplet
/// smile at each expiry.</param>
/// <param name="expiryInterpolationType">Interpolation type applied in
/// the expiry dimension.</param>
/// <param name="handle">Unique name used to identify the settings
/// object that will be instantiated.</param>
public CapletSmileCalibrationSettings
(decimal beta,
ExpiryInterpolationType expiryInterpolationType,
string handle)
{
// Map arguments to the correct private field.
Beta = beta;
ExpiryInterpolationType = expiryInterpolationType;
Handle = handle;
}
/// <summary>
/// Helper function used to initialise the private fields.
/// </summary>
/// <param name="volatilityCurve">The Bootstrap engine
/// that contains the results of the bootstrap.</param>
/// <param name="expiryInterpolationType">Type of the expiry
/// interpolation.
/// Example: Linear interpolation.</param>
private void InitialisePrivateFields
(VolatilityCurve volatilityCurve,
ExpiryInterpolationType expiryInterpolationType)
{
// Initialise the Calculation Date.
_calculationDate =
volatilityCurve.GetBaseDate();
// Set the x and y arrays for the one dimensional interpolation.
var results
= volatilityCurve.BootstrapResults.Results;
IDayCounter dayCountObj = Actual365.Instance;
var tempXArray = new List <double>();
var tempYArray = new List <double>();
var count = 1;
foreach (var expiry in results.Keys)
{
var timeToExpiry = dayCountObj.YearFraction
(_calculationDate, expiry);
tempXArray.Add(timeToExpiry);
tempYArray.Add(decimal.ToDouble(results[expiry]));
// Record the first and last time to expiry and available
// bootstrap Caplet volatility.
if (count == 1)
{
_firstExpiry = (decimal)timeToExpiry;
_firstVolatility = results[expiry];
}
_lastVolatility = results[expiry];
_lastExpiry = (decimal)timeToExpiry;
++count;
}
double[] xArray = tempXArray.ToArray();
double[] yArray = tempYArray.ToArray();
// Initialise the one dimensional interpolation object.
switch (expiryInterpolationType)
{
case ExpiryInterpolationType.CubicHermiteSpline:
_expiryInterpolationObj =
new CubicHermiteSplineInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
default: // Linear interpolation
_expiryInterpolationObj = new LinearInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
}
}
/// <summary>
/// Process a CapFloor ATM parvVols structure.
/// The process Bootstraps the parVols using the supplied ratecurve
/// </summary>
/// <param name="logger">The logger</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace"></param>
/// <param name="rateCurve"></param>
/// <param name="capFloor"></param>
/// <returns></returns>
private static Market ProcessCapFloorATM(ILogger logger, ICoreCache cache, string nameSpace, Market rateCurve, CapFloorATMMatrix capFloor)
{
var id = capFloor.id;
var expiry = capFloor.GetExpiries();
var vols = capFloor.GetVolatilities();
var mkt = rateCurve;
var curve = new SimpleRateCurve(mkt);
var discountFactorDates = curve.GetDiscountFactorDates();
var discountFactors = curve.GetDiscountFactors();
var volType = capFloor.GetVolatilityTypes();
var atmVols = new Dictionary <string, decimal>();
var settings = CreateCapFloorProperties(capFloor.GetVolatilitySettings());
// Create an internal matrix object from the raw data
var matrix = new CapFloorVolatilityMatrix(id, expiry, volType, vols, null,
discountFactorDates, ArrayUtilities.ArrayToDecimal(discountFactors));
// Create an ATM engine from the matrix
var engines = CreateEngines(logger, cache, nameSpace, id, matrix, settings);
// Add the default interpolation to use
const ExpiryInterpolationType volatilityInterpolation = ExpiryInterpolationType.Linear;
if (engines != null)
{
var vol = new CapletExpiryInterpolatedVolatility(engines[0], volatilityInterpolation);
// List the values so we can build our ATM vols
var keys = ExpiryKeys.Split(',');
// Create a calendar to use to modify the date
var businessCalendar = settings.GetValue("BusinessCalendar", "AUSY");
var bc = BusinessCenterHelper.ToBusinessCalendar(cache, new[] { businessCalendar }, nameSpace);
// Use some logic to get the spot date to use
// LPM Spot lag is 2 days (modfollowing)
var spotDate = curve.GetSpotDate();
var rollConvention = settings.GetValue("RollConvention", BusinessDayConventionEnum.FOLLOWING);
spotDate = spotDate == curve.GetBaseDate() ? bc.Roll(spotDate.Add(new TimeSpan(2, 0, 0, 0)), rollConvention) : spotDate;
//// Extract each surface and build an ATM engine therefrom
//// Build a list of all possible engines
foreach (var key in keys)
{
// Calculate the volatility for each target key
var tv = PeriodHelper.Parse(key);
var target = tv.period == PeriodEnum.D ? bc.Roll(spotDate.AddDays(Convert.ToInt32(tv.periodMultiplier)), rollConvention) :
bc.Roll(spotDate.AddMonths(Convert.ToInt32(tv.periodMultiplier)), rollConvention);
atmVols.Add(key, vol.ComputeCapletVolatility(target));
}
}
var outputVols = new object[atmVols.Count + 1, 2];
var i = 1;
//Expiry 0
outputVols[0, 0] = "Expiry";
outputVols[0, 1] = "0";
foreach (var key in atmVols.Keys)
{
outputVols[i, 0] = key;
outputVols[i, 1] = atmVols[key];
i++;
}
DateTime buildDateTime = rateCurve.Items1[0].buildDateTime;
var volSurface = new VolatilitySurface(outputVols, new VolatilitySurfaceIdentifier(id), curve.BaseDate, buildDateTime);
return(CreateMarketDocument(volSurface.GetFpMLData()));
}
