/// <summary>
/// Create a Sortedlist of volatility curves from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurveCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, rawVolatilityGrid, null);
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var volatilityCurve = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet);
// Add engine
if (volatilityCurve is VolatilityCurve vCurve)
{
engines.Add(0, vCurve);
}
return(engines);
}
/// <summary>
/// Create a Sortedlist of bootstrap engines from the data matrix
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="nameSpace">The client namespace</param>
/// <param name="properties">The properties, including the engine handle.</param>
/// <param name="instruments">An array of instrument types.</param>
/// <param name="strikes">The strike array.</param>
/// <param name="rawVolatilityGrid">The raw grid used to build the engines. Assume that all volatility and strike values are 100x true</param>
/// <returns></returns>
private SortedList <decimal, VolatilityCurve> VolatilityCurvesCreate(ILogger logger, ICoreCache cache, string nameSpace,
NamedValueSet properties, String[] instruments,
Decimal[] strikes, Decimal[,] rawVolatilityGrid)
{
var clonedProperties = properties.Clone();
// Check there are valid strikes
if (strikes != null && rawVolatilityGrid != null)
{
//The matrix is zero based, but the upper bound returns the last column index.
var volColumns = rawVolatilityGrid.GetUpperBound(1) + 1;
var columns = Math.Min(strikes.Length, volColumns);
var engines = new SortedList <decimal, VolatilityCurve>();
// Loop through the strikes to create each new engine
for (var i = 0; i < columns; i++)
{
decimal[] adjustedRates = GenerateVolatilityMatrix(instruments, i, rawVolatilityGrid);
clonedProperties.Set("Strike", strikes[i]);
clonedProperties.Set("StrikeQuoteUnits", StrikeQuoteUnitsEnum.DecimalRate.ToString());
// Create engine
var quotedAssetSet = AssetHelper.Parse(instruments, adjustedRates, null);
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties, quotedAssetSet) as VolatilityCurve;
// Add engine
engines.Add(strikes[i], engine);
}
return(engines);
}
{
var engines = new SortedList <decimal, VolatilityCurve>();
// Create a new ATM CapletBootstrap engine. The default decimal should be 0
var engine = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, null, null, clonedProperties,
instruments, null, null) as VolatilityCurve;
// Add engine
engines.Add(0, engine);
return(engines);
}
}
/// <summary>
/// Create intial Curve
/// store it in _initialCurve
/// </summary>
private void SetInitialCurve(ILogger logger, ICoreCache cache, string nameSpace, IBusinessCalendar fixingCalendar, IBusinessCalendar rollCalendar,
NamedValueSet properties, string[] instruments, decimal[] rates)
{
_initialCurve = PricingStructureFactory.CreateCurve(logger, cache, nameSpace, fixingCalendar, rollCalendar, properties, instruments, rates, null) as RateCurve;
}