/// <summary>
/// Create a full calibration model.This version uses the volatility grid to generate an engine
/// for each swap tenor (row values)
/// </summary>
/// <param name="volatilityGrid">The vols grid</param>
/// <param name="assetGrid">The asset grid</param>
/// <param name="settings">The SABR settings</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="optionExpiry">The ATM pointer</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SwaptionDataMatrix volatilityGrid,
ForwardRatesMatrix assetGrid, SABRCalibrationSettings settings, string calibrationEngineId, string optionExpiry)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
// Generate a new entry in the engineCollection for each row in the volatility grid
foreach (string tenor in volatilityGrid.GetTenors())
{
var assetPrice = assetGrid.GetAssetPrice(optionExpiry, tenor);
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Generate the Vols and Strikes lists for the engine
List <decimal> vols = volatilityGrid.GetVolatility(tenor).ToList();
List <decimal> strikes = volatilityGrid.GetStrikes().Select(strike => assetPrice + strike).ToList();
// Only add a new Calibration Engine (and Calibrate it) if the vols are greater than 0
if (!SABRHelper.ValidateData(vols))
{
continue;
}
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, strikes, vols, assetPrice, exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
}
return(engineCollection);
}
/// <summary>
/// A method to generate values for the fast lookup grid
/// This is a fire once method
/// </summary>
private void Populate()
{
_grid = new Dictionary <SABRKey, GridParameters>(new SABRKey());
foreach (var point in dataPoints.point)
{
var key = new SABRKey(((Period)point.coordinate[0].expiration[0].Items[0]).ToString(),
((Period)point.coordinate[0].term[0].Items[0]).ToString());
if (!_grid.ContainsKey(key))
{
_grid.Add(key, new GridParameters());
}
var param = _grid[key];
if (point.measureType.Value == ParameterType.Beta.ToString())
{
param.Beta = point.value;
}
else if (point.measureType.Value == ParameterType.Nu.ToString())
{
param.Nu = point.value;
}
else if (point.measureType.Value == ParameterType.Rho.ToString())
{
param.Rho = point.value;
}
_grid[key] = param;
}
}
public void ExpiryTest()
{
SABRKey target = new SABRKey(_expiry, _tenor);
string actual;
actual = target.Expiry;
Assert.AreEqual("6m", actual);
}
public void TenorTest()
{
SABRKey target = new SABRKey(_expiry, _tenor);
string actual;
actual = target.Tenor;
Assert.AreEqual("3yr", actual);
}
public void ExpiryAsDoubleTest()
{
SABRKey target = new SABRKey(_expiry, _tenor);
decimal actual = target.ExpiryAsDecimal;
Assert.AreEqual(0.5m, actual);
}
public void SABRKeyConstructorTest1()
{
string expiry = _expiry;
SABRKey target = new SABRKey(expiry);
string expected = _expiry;
Assert.AreEqual(expected, target.Expiry);
Assert.AreEqual("ATM", target.Tenor);
}
public void SABRKeyConstructorTest()
{
string expiry = _expiry;
string tenor = _tenor;
SABRKey target = new SABRKey(expiry, tenor);
Assert.AreEqual(expiry, target.Expiry);
Assert.AreEqual(tenor, target.Tenor);
}
public void GetHashCodeTest()
{
SABRKey target = new SABRKey();
SABRKey obj = target;
int expected = obj.GetHashCode();
int actual;
actual = target.GetHashCode(obj);
Assert.AreEqual(expected, actual);
}
public void EqualsTest()
{
string expiry = "2y";
string tenor = "5y";
string expiry1 = "6m";
string tenor1 = "1y";
SABRKey target = new SABRKey(); // TODO: Initialize to an appropriate value
bool expected = true;
bool actual;
// test ATM keys
SABRKey x = new SABRKey(expiry);
SABRKey y = new SABRKey(expiry);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
// x will remain constant
x = new SABRKey(expiry, tenor);
// test full keys
y = new SABRKey(expiry, tenor);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
// Each equality test should return false
expected = false;
// test keys with differing tenors
y = new SABRKey(expiry, tenor1);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
// test keys with differing expiries
y = new SABRKey(expiry1, tenor);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
// test keys with differing tenors/expiries
y = new SABRKey(expiry1, tenor1);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
// test ATM keys with differing expiry
x = new SABRKey(expiry);
y = new SABRKey(expiry1);
actual = target.Equals(x, y);
Assert.AreEqual(expected, actual);
}
/// <summary>
/// Get the Calibration status for the calibration engine using
/// the expiry/tenor pair
/// </summary>
/// <param name="engine">The calibration engine handle</param>
/// <param name="expiry">The exercise time of the option</param>
/// <param name="tenor">The asset Code of the swap (tenor)</param>
/// <returns></returns>
public bool IsSABRModelCalibrated(string engine, string expiry, string tenor)
{
if (_sabrEngines.ContainsKey(engine))
{
//SABREngineCollection SABREngines = _SABREngines[engine];
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(expiry), SABRHelper.GenerateTenorLabel(tenor));
if (sabrEngines.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
return(calibrationEngine.IsSABRModelCalibrated);
}
}
return(false);
}
/// <summary>
/// Calculate the SABR implied volatility for the strike value.
/// This method uses the calibration engine indexed by the exerciseTime/assetCode pair
/// When an ATM engine is used then the assetCode is ignored.
/// </summary>
/// <param name="engineHandle">The CalibrationEngine to use</param>
/// <param name="exerciseTime">Option Expiry index</param>
/// <param name="assetCode">Swap Tenor index</param>
/// <param name="strikes">The strikes to calculate Volatility for</param>
/// <returns></returns>
public decimal[] SABRInterpolateVolatilities(string engineHandle, string exerciseTime, string assetCode,
decimal[] strikes)
{
// Only process if the engine object holder holds the engine for this exercise/asset key
if (!_sabrEngines.ContainsKey(engineHandle))
{
throw new System.Exception("Calibration Engine " + engineHandle + " not found.");
}
// Extract the information we need from this engine holder
SortedDictionary <SABRKey, SABRCalibrationEngine> engine = _sabrEngines[engineHandle];
var key = new SABRKey(GenerateTenorLabel(exerciseTime), GenerateTenorLabel(assetCode));
// Check that the engine for this exercise/asset key exists
if (!engine.ContainsKey(key))
{
throw new System.Exception("The Calibration Engine with Key(" + exerciseTime + "," + assetCode + ") not found.");
}
SABRCalibrationEngine calibrationEngine = engine[key];
if (!calibrationEngine.IsSABRModelCalibrated)
{
throw new ArgumentException(string.Format(CultureInfo.CurrentCulture,
"SABR Engine with key: {0}:{1} is not calibrated",
new object[] { key.Expiry, key.Tenor }));
}
// Create SABRImpliedVolatility parameters
decimal assetPrice = _engineRatesGrid.ContainsKey(engineHandle)
? _engineRatesGrid[engineHandle].GetAssetPrice(exerciseTime, assetCode)
: calibrationEngine.AssetPrice;
decimal expiry = GenerateDayValue(exerciseTime, 365.0m);
// build an ImpliedVolatility object
SABRParameters parameters = calibrationEngine.GetSABRParameters;
var vol = new SABRImpliedVolatility(parameters, true);
// value the strike (interpolate as necessary)
var results = new List <decimal>(strikes.Length);
foreach (decimal strike in strikes)
{
string errmsg = "";
decimal result = 0;
if (!vol.SABRInterpolatedVolatility(assetPrice, expiry, strike, ref errmsg, ref result, true))
{
throw new System.Exception(errmsg);
}
results.Add(result);
}
return(results.ToArray());
}
/// <summary>
/// Get the Calibration Engine Calibration Error the expiry/tenor pair
/// </summary>
/// <param name="engine">The calibration engine handle</param>
/// <param name="expiry">The exercise time of the option</param>
/// <param name="tenor">The asset Code of the swap (tenor)</param>
/// <returns></returns>
public decimal SABRCalibrationError(string engine, string expiry, string tenor)
{
if (_sabrEngines.ContainsKey(engine))
{
//SABREngineCollection SABREngines = _SABREngines[engine];
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(expiry), SABRHelper.GenerateTenorLabel(tenor));
if (sabrEngines.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
return(calibrationEngine.CalibrationError);
}
throw new ArgumentException("The Calibration Engine with Key(" + expiry + "," + tenor + ") not found.");
}
throw new ArgumentException("Calibration Engine " + engine + " not found.");
}
/// <summary>
/// Create an Interpolated calibration engine. Such an engine is designed for a single value
/// derived from a set of base engines.
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="engines">The array of engine handles to use</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="tenor">The tenor to create the new engine for. This must be a valid tenor</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings, string calibrationEngineId, IEnumerable <KeyValuePair <SABRKey, SABRCalibrationEngine> > engines, decimal atmVolatility, decimal assetPrice, string optionExpiry, string tenor)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
var indexTenor = (decimal)SABRHelper.GenerateDayValue(tenor, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, engines, atmVolatility, assetPrice, exerciseTime, indexTenor);
// Calibrate the engine
calibrationEngine.CalibrateInterpSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
/// <summary>
/// Get the Calibration Engine Calibration Error the expiry/tenor pair
/// </summary>
/// <param name="engine">The calibration engine handle</param>
/// <param name="expiry">The exercise time of the option</param>
/// <param name="tenor">The asset Code of the swap (tenor)</param>
/// <returns></returns>
public decimal CalibrationError(string engine, string expiry, string tenor)
{
if (!_sabrEngines.ContainsKey(engine))
{
throw new InvalidOperationException("Calibration Engine " + engine + " not found.");
}
SortedDictionary <SABRKey, SABRCalibrationEngine> engines = _sabrEngines[engine];
var key = new SABRKey(GenerateTenorLabel(expiry), GenerateTenorLabel(tenor));
if (!engines.ContainsKey(key))
{
throw new InvalidOperationException("The Calibration Engine with Key(" + expiry + "," + tenor + ") not found.");
}
SABRCalibrationEngine calibrationEngine = engines[key];
return(calibrationEngine.CalibrationError);
}
/// <summary>
/// Calculate the SABR implied volatility for the strike value.
/// This method uses the calibration engine indexed by the exerciseTime/assetCode pair
/// When an ATM engine is used then the assetCode is ignored.
/// </summary>
/// <param name="engineHandle">The CalibrationEngine to use</param>
/// <param name="exerciseTime">Option Expiry index</param>
/// <param name="assetCode">Swap Tenor index</param>
/// <param name="strike">The strike to calculate Volatility for</param>
/// <returns></returns>
public decimal SABRInterpolateVolatility(string engineHandle, string exerciseTime, string assetCode, decimal strike)
{
decimal result = 0;
string errmsg = "";
// Only process if the engine object holder holds the engine for this exercise/asset key
if (_sabrEngines.ContainsKey(engineHandle))
{
// Extract the information we need from this engine holder
var engine = _sabrEngines[engineHandle];
var key = new SABRKey(SABRHelper.GenerateTenorLabel(exerciseTime), SABRHelper.GenerateTenorLabel(assetCode));
// Check that the engine for this exercise/asset key exists
if (engine.ContainsKey(key))
{
SABRCalibrationEngine calibrationEngine = engine[key];
if (!calibrationEngine.IsSABRModelCalibrated)
{
throw new ArgumentException(string.Format(CultureInfo.CurrentCulture, "SABR Engine with key: {0}:{1} is not calibrated", new object[] { key.Expiry, key.Tenor }));
}
// Create SABRImpliedVolatility parameters
decimal assetPrice = _engineRatesGrid.ContainsKey(engineHandle) ? _engineRatesGrid[engineHandle].GetAssetPrice(exerciseTime, assetCode) : calibrationEngine.AssetPrice;
decimal strikeValue = strike;
var expiry = (decimal)SABRHelper.GenerateDayValue(exerciseTime, 365.0d);
//decimal strikeValue = strike / 100.0m;
// build an ImpliedVolatility object
SABRParameters parameters = calibrationEngine.GetSABRParameters;
var vol = new SABRImpliedVolatility(parameters, true);
// value the strike (interpolate as necessary)
if (!vol.SABRInterpolatedVolatility(assetPrice, expiry, strikeValue, ref errmsg, ref result, true))
{
throw new ArgumentException(errmsg);
}
}
else
{
throw new ArgumentException("The Calibration Engine with Key(" + exerciseTime + "," + assetCode + ") not found.");
}
}
else
{
throw new ArgumentException("Calibration Engine " + engineHandle + " not found.");
}
return(result);
}
public void CompareTest()
{
string expiryLess = "1yr";
string expiry = "3yr";
string expiryGreater = "5yr";
string tenorLess = "6mth";
string tenor = "1yr";
string tenorGreater = "3yr";
SABRKey target = new SABRKey(); // TODO: Initialize to an appropriate value
SABRKey x = new SABRKey(expiry, tenor);
// Equal tests
int expected = 0;
// Test that the Expiry/tenor pairs are equal
SABRKey y = new SABRKey(expiry, tenor);
int actual = target.Compare(x, y);
Assert.AreEqual(expected, actual);
// Test that the Expiry values (x is the target)
expected = -1;
y = new SABRKey(expiryGreater, tenor);
actual = target.Compare(x, y);
Assert.AreEqual(expected, actual);
expected = 1;
y = new SABRKey(expiryLess, tenor);
actual = target.Compare(x, y);
Assert.AreEqual(expected, actual);
// Test that the Tenor values (x is the target)
expected = -1;
y = new SABRKey(expiry, tenorGreater);
actual = target.Compare(x, y);
Assert.AreEqual(expected, actual);
expected = 1;
y = new SABRKey(expiry, tenorLess);
actual = target.Compare(x, y);
Assert.AreEqual(expected, actual);
}
/// <summary>
/// Create an ATM calibration engine. Such an engine is designed for a single value
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="nu">Nu value</param>
/// <param name="rho">Rho value</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="assetCode">The ATM identifiier (if used)</param>
private static SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, decimal nu, decimal rho, decimal atmVolatility, decimal assetPrice,
string optionExpiry, string assetCode)
{
// basic setup
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var exerciseTime = (decimal)SABRHelper.GenerateDayValue(optionExpiry, 365.0d);
// Create a new instance of the engine
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, nu, rho, atmVolatility, assetPrice,
exerciseTime);
// Calibrate the engine
calibrationEngine.CalibrateATMSABRModel();
// Add the new engine to our collection
SABRKey key = assetCode != null ? new SABRKey(optionExpiry, assetCode) : new SABRKey(optionExpiry);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
/// <summary>
/// Create an Interpolated calibration engine. Such an engine is designed for a single value
/// derived from a set of base engines.
/// </summary>
/// <param name="settings">The settings object to use</param>
/// <param name="calibrationEngineId">The id of this engine</param>
/// <param name="engines">The array of engine handles to use</param>
/// <param name="atmVolatility">The ATM volatility</param>
/// <param name="assetPrice">Asset Price to use</param>
/// <param name="optionExpiry">The ATM pointer</param>
/// <param name="tenor">The tenor to create the new engine for. This must be a valid tenor</param>
private SortedDictionary <SABRKey, SABRCalibrationEngine> BuildEngineCollection(SABRCalibrationSettings settings,
string calibrationEngineId, ref SortedDictionary <SABRKey, SABRCalibrationEngine> engines,
decimal atmVolatility, decimal assetPrice, string optionExpiry, string tenor)
{
var engineCollection = new SortedDictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
decimal exerciseTime = GenerateDayValue(optionExpiry, 365.0m);
decimal indexTenor = GenerateDayValue(tenor, 365.0m);
// Create a new instance of the engine
//(string handle, SABRCalibrationSettings calibrationSettings,
var calibrationEngine =
new SABRCalibrationEngine(calibrationEngineId, settings, engines,
atmVolatility, assetPrice, exerciseTime, indexTenor);
// Calibrate the engine
calibrationEngine.CalibrateInterpSABRModel();
// Add the new engine to our collection
var key = new SABRKey(optionExpiry, tenor);
engineCollection.Add(key, calibrationEngine);
return(engineCollection);
}
/// <summary>
/// Get the SABR Calibration engine parameter for the provided options
/// The exercise/tenor pair form the key to the correct calibration engine
/// from an underlying store.
/// </summary>
/// <param name="param">The parameter type to return</param>
/// <param name="engine">The engine to use</param>
/// <param name="pExercise">The exercise (option expiry) part of the key</param>
/// <param name="pTenor">The tenor (asset code) part of the key</param>
/// <returns></returns>
public decimal GetSABRParameter(CalibrationParameter param, string engine, string pExercise, string pTenor)
{
string exercise = SABRHelper.GenerateTenorLabel(pExercise);
string tenor = SABRHelper.GenerateTenorLabel(pTenor);
if (!_sabrEngines.ContainsKey(engine))
{
throw new ArgumentException("Calibration Engine " + engine + " not found.");
}
SortedDictionary <SABRKey, SABRCalibrationEngine> sabrEngines = _sabrEngines[engine];
var key = new SABRKey(exercise, tenor);
if (!sabrEngines.ContainsKey(key))
{
throw new ArgumentException("The Calibration Engine with Key(" + exercise + "," + tenor + ") not found.");
}
SABRCalibrationEngine calibrationEngine = sabrEngines[key];
SABRParameters parameters = calibrationEngine.GetSABRParameters;
switch (param)
{
case CalibrationParameter.Alpha:
return(parameters.Alpha);
case CalibrationParameter.Beta:
return(parameters.Beta);
case CalibrationParameter.Nu:
return(parameters.Nu);
case CalibrationParameter.Rho:
return(parameters.Rho);
default:
throw new ArgumentException("Unknown Calibration Parameter request");
}
}
public void SABRKeyConstructorTest2()
{
SABRKey target = new SABRKey();
Assert.IsNotNull(target);
}
