public KahaleSmileSection(SmileSection source, double atm) : this(NQuantLibcPINVOKE.new_KahaleSmileSection__SWIG_7(SmileSection.getCPtr(source), atm), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public KahaleSmileSection(SmileSection source, double atm, bool interpolate, bool exponentialExtrapolation) : this(NQuantLibcPINVOKE.new_KahaleSmileSection__SWIG_5(SmileSection.getCPtr(source), atm, interpolate, exponentialExtrapolation), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public KahaleSmileSection(SmileSection source, double atm, bool interpolate, bool exponentialExtrapolation, bool deleteArbitragePoints, DoubleVector moneynessGrid) : this(NQuantLibcPINVOKE.new_KahaleSmileSection__SWIG_3(SmileSection.getCPtr(source), atm, interpolate, exponentialExtrapolation, deleteArbitragePoints, DoubleVector.getCPtr(moneynessGrid)), true)
{
if (NQuantLibcPINVOKE.SWIGPendingException.Pending)
{
throw NQuantLibcPINVOKE.SWIGPendingException.Retrieve();
}
}
public AtmSmileSection(SmileSection source, double?atm = null)
{
source_ = source;
f_ = atm;
if (f_ == null)
{
f_ = source_.atmLevel();
}
}
public void testSpreadedCube()
{
// Testing spreaded swaption volatility cube
CommonVars vars = new CommonVars();
List <List <Handle <Quote> > > parametersGuess =
new InitializedList <List <Handle <Quote> > >(vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count);
for (int i = 0; i < vars.cube.tenors.options.Count * vars.cube.tenors.swaps.Count; i++)
{
parametersGuess[i] = new InitializedList <Handle <Quote> >(4);
parametersGuess[i][0] = new Handle <Quote>(new SimpleQuote(0.2));
parametersGuess[i][1] = new Handle <Quote>(new SimpleQuote(0.5));
parametersGuess[i][2] = new Handle <Quote>(new SimpleQuote(0.4));
parametersGuess[i][3] = new Handle <Quote>(new SimpleQuote(0.0));
}
List <bool> isParameterFixed = new InitializedList <bool>(4, false);
Handle <SwaptionVolatilityStructure> volCube = new Handle <SwaptionVolatilityStructure>(
new SwaptionVolCube1x(vars.atmVolMatrix,
vars.cube.tenors.options,
vars.cube.tenors.swaps,
vars.cube.strikeSpreads,
vars.cube.volSpreadsHandle,
vars.swapIndexBase,
vars.shortSwapIndexBase,
vars.vegaWeighedSmileFit,
parametersGuess,
isParameterFixed,
true));
SimpleQuote spread = new SimpleQuote(0.0001);
Handle <Quote> spreadHandle = new Handle <Quote>(spread);
SwaptionVolatilityStructure spreadedVolCube = new SpreadedSwaptionVolatility(volCube, spreadHandle);
List <double> strikes = new List <double>();
for (int k = 1; k < 100; k++)
{
strikes.Add(k * .01);
}
for (int i = 0; i < vars.cube.tenors.options.Count; i++)
{
for (int j = 0; j < vars.cube.tenors.swaps.Count; j++)
{
SmileSection smileSectionByCube = volCube.link.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
SmileSection smileSectionBySpreadedCube = spreadedVolCube.smileSection(vars.cube.tenors.options[i],
vars.cube.tenors.swaps[j]);
for (int k = 0; k < strikes.Count; k++)
{
double strike = strikes[k];
double diff = spreadedVolCube.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike)
- volCube.link.volatility(vars.cube.tenors.options[i], vars.cube.tenors.swaps[j], strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in volatility method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
diff = smileSectionBySpreadedCube.volatility(strike) - smileSectionByCube.volatility(strike);
if (Math.Abs(diff - spread.value()) > 1e-16)
{
QAssert.Fail("\ndiff!=spread in smile section method:" +
"\nexpiry time = " + vars.cube.tenors.options[i] +
"\nswap length = " + vars.cube.tenors.swaps[j] +
"\n atm strike = " + (strike) +
"\ndiff = " + diff +
"\nspread = " + spread.value());
}
}
}
}
//testing observability
Flag f = new Flag();
spreadedVolCube.registerWith(f.update);
volCube.link.update();
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
f.lower();
spread.setValue(.001);
if (!f.isUp())
{
QAssert.Fail("SpreadedSwaptionVolatilityStructure does not propagate notifications");
}
}
protected override SmileSection smileSectionImpl(double optionTime, double swapLength)
{
SmileSection baseSmile = baseVol_.link.smileSection(optionTime, swapLength, true);
return(new SpreadedSmileSection(baseSmile, spread_));
}
// SwaptionVolatilityStructure interface
protected override SmileSection smileSectionImpl(Date optionDate, Period swapTenor)
{
SmileSection baseSmile = baseVol_.link.smileSection(optionDate, swapTenor, true);
return(new SpreadedSmileSection(baseSmile, spread_));
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(SmileSection obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
