/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="nameSpace"></param>
/// <param name="expiryTenors"></param>
/// <param name="strikes"></param>
/// <param name="volSurface"></param>
/// <param name="surfaceId"></param>
/// <param name="logger"></param>
/// <param name="cache">The cache.</param>
/// <param name="forwards">The array of forwards. The first element is the spot value. Conseuently, the length of this array is expiryTenors.Length + 1.</param>
protected ExtendedExpiryTermStrikeVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, String[] expiryTenors, Double[] strikes, Double[] forwards, Double[,]
volSurface, VolatilitySurfaceIdentifier surfaceId)
{
Algorithm = surfaceId.Algorithm;
PricingStructureIdentifier = surfaceId;
//Build the parameteric adjustment set from th3e forwards.
var parametricAdjustment = GenerateForwards(forwards);
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var xDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("xDimensionInterpolation"));
var yDimensionInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("yDimensionInterpolation"));
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiryTenors, strikes, volSurface, surfaceId.StrikeQuoteUnits, surfaceId.UnderlyingAssetReference);
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
currency = surfaceId.Currency,
asset = new AnyAssetReference {
href = surfaceId.Instrument
},
};
var datapoints = new MultiDimensionalPricingData {
point = points
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints
,
adjustment = parametricAdjustment
,
objectReference = new AnyAssetReference {
href = surfaceId.Instrument
}
,
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
}
, buildDateTime = DateTime.Now
, buildDateTimeSpecified = true
};
var expiries = new double[expiryTenors.Length];
var index = 0;
foreach (var term in expiryTenors)//TODO include business day holidays and roll conventions.
{
expiries[index] = PeriodHelper.Parse(term).ToYearFraction();
index++;
}
// Record the row/column sizes of the inputs
_matrixRowCount = expiryTenors.Length;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strikes.Length + 1;
// Generate an interpolator to use
Interpolator = new ExtendedVolatilitySurfaceInterpolator(expiries, strikes, forwards, new Matrix(volSurface), xDimensionInterpolationMethod.Value, yDimensionInterpolationMethod.Value);
}
/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="logger"></param>
/// <param name="cache"></param>
/// <param name="nameSpace"></param>
/// <param name="expiryTenors"></param>
/// <param name="strikes"></param>
/// <param name="volSurface"></param>
/// <param name="surfaceId"></param>
public ExpiryTermTenorStrikeVolatilityCube(ILogger logger, ICoreCache cache, String nameSpace, String[] expiryTenors, Double[] strikes, Double[,] volSurface,
VolatilitySurfaceIdentifier surfaceId)
{
Algorithm = surfaceId.Algorithm;
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var curveInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("CurveInterpolation"));
var points = ProcessRawSurface(expiryTenors, strikes, volSurface);
PricingStructure = new VolatilityRepresentation {
name = surfaceId.Name,
id = surfaceId.Id,
asset = new AnyAssetReference {
href = "Unknown"
},
};
var datapoints = new MultiDimensionalPricingData {
point = points
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints
, objectReference = new AnyAssetReference {
href = PricingStructure.id
}
,
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
}
, buildDateTime = DateTime.Now
, buildDateTimeSpecified = true
};
var expiries = new double[expiryTenors.Length];
var index = 0;
foreach (var term in expiryTenors)//TODO include business day holidays and roll conventions.
{
expiries[index] = PeriodHelper.Parse(term).ToYearFraction();
index++;
}
// Generate an interpolator to use
Interpolator = new VolSurfaceInterpolator(expiries, strikes, new Matrix(volSurface), curveInterpolationMethod, true);
}
/// <summary>
/// Construct a VolatilityCube from points
/// </summary>
/// <param name="properties"></param>
/// <param name="points"></param>
public VolatilityCube(NamedValueSet properties, PricingStructurePoint[] points)
{
properties.Set(EnvironmentProp.Function, FunctionProp.Market.ToString());
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var surfaceId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
PricingStructureData = new PricingStructureData(CurveType.Parent, Constants.AssetClass.Rates);//TODO Need to set for the different underlyers.
SetInterpolator();
foreach (PricingStructurePoint point in points)
{
point.underlyingAssetReference = surfaceId.UnderlyingAssetReference;
point.quoteUnits = surfaceId.StrikeQuoteUnits;
}
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
currency = surfaceId.Currency,
asset = new AnyAssetReference {
href = surfaceId.Instrument
},
};
var datapoints = new MultiDimensionalPricingData {
point = points
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints,
objectReference = new AnyAssetReference {
href = surfaceId.Instrument
},
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
},
buildDateTime = DateTime.Now,
buildDateTimeSpecified = true
};
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
ProcessVolatilityRepresentation();
}
/// <summary>
/// Unpack a raw surface and create a VolatilitySurface
/// The object array is assumed to be zero based when it is passed to the constructor
/// (That is any Excel idiosyncrasies have been expunged)
/// We'll test and modify if necessary to zero base the array
/// </summary>
/// <param name="rawSurface"></param>
/// <param name="surfaceId"></param>
/// <param name="date"></param>
/// <param name="buildDateTime"></param>
// /// <param name="algorithm">The algorithm for interpolation. Not implemented yet.</param>
public VolatilitySurface(object[,] rawSurface, VolatilitySurfaceIdentifier surfaceId, DateTime date, DateTime buildDateTime)
{
PricingStructureIdentifier = surfaceId;
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, date, dc);//TODO need to create a surfaceinterpolator.
var zeroedRawSurface = rawSurface.GetLowerBound(0) == 1 ? RedimensionRawSurface(rawSurface) : rawSurface;
_algorithm = "Linear";
// An ugly trick to find out if this is a cube or a surface
bool isCube = !double.TryParse(zeroedRawSurface[1, 1].ToString(), out _);
// Extract the strikes/tenors/expiries and build the surface
var expiry = ExtractExpiryFromRawSurface(zeroedRawSurface);
var term = ExtractTenorFromRawSurface(zeroedRawSurface, isCube);
var strike = ExtractStrikeFromRawSurface(zeroedRawSurface, isCube);
var volatility = ExtractVolatilitiesFromRawSurface(zeroedRawSurface, isCube);
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiry, term, strike, volatility);
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
asset = new AnyAssetReference {
href = "Unknown"
},
};
PricingStructureValuation
= new VolatilityMatrix
{
dataPoints = new MultiDimensionalPricingData {
point = points
},
objectReference = new AnyAssetReference {
href = PricingStructure.id
},
baseDate = new IdentifiedDate {
Value = date
},
buildDateTime = buildDateTime,
buildDateTimeSpecified = true
};
// Record the row/column sizes of the inputs
_matrixRowCount = expiry.Length;
_matrixRowCount *= term?.Length ?? 1;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strike.Length + 1;
_matrixColumnCount += term != null ? 1 : 0;
// Generate an interpolator to use
if (term == null || term.Length == 0)
{
_interpolation = new BilinearInterpolator();
}
else
{
_interpolation = new TrilinearInterpolator();
}
}
/// <summary>
/// The constructor
/// </summary>
/// <param name="assetRef">The Asset this volatility models</param>
/// <param name="name">The id to use with this matrix</param>
/// <param name="date">The value date relating to this surface</param>
/// <param name="expiry">An array of expiry definitions</param>
/// <param name="term">An array of tenors or null if there is no term dimension.</param>
/// <paparam name="strike">An array of strike descriptions</paparam>
/// <param name="strike">The strike array.</param>
/// <param name="volatility">A 2d array of volatilities.
/// This must be equal to (expiry.Count x (1 <= y <= term.Count) x strike.Count </param>
public VolatilitySurface(string assetRef, string name, DateTime date, string[] expiry, string[] term,
string[] strike, double[,] volatility)
{
IDayCounter dc = Actual365.Instance;
var termPoints = new List <TermPoint>
{
TermPointFactory.Create(1.0m, new DateTime()),
TermPointFactory.Create(0.99m, new DateTime().AddDays(10)),
TermPointFactory.Create(0.97m, new DateTime().AddDays(100))
};
var termCurve = TermCurve.Create(new DateTime(), new InterpolationMethod {
Value = "LinearInterpolation"
}, true, termPoints);
Interpolator = new TermCurveInterpolator(termCurve, date, dc);//TODO need to create a surfaceinterpolator.
_algorithm = "Linear";
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiry, term, strike, volatility);
PricingStructure = new VolatilityRepresentation {
name = name
,
id = name + date.ToString("yyyyMMdd")
,
asset = new AnyAssetReference {
href = assetRef
}
};
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = new MultiDimensionalPricingData {
point = points
}
,
objectReference = new AnyAssetReference {
href = PricingStructure.id
}
,
baseDate = new IdentifiedDate {
Value = date
}
,
buildDateTime = DateTime.Now
,
buildDateTimeSpecified = true
};
// Record the row/column sizes of the inputs
_matrixRowCount = expiry.Length;
_matrixRowCount *= term?.Length ?? 1;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = strike.Length + 1;
_matrixColumnCount += term != null ? 1 : 0;
//TODO
// Generate an interpolator to use
if (term == null || term.Length == 0)
{
_interpolation = new BilinearInterpolator();
}
else
{
_interpolation = new TrilinearInterpolator();
}
}
/// <summary>
/// Takes a range of volatilities, an array of tenor expiries and an
/// array of strikes to create a VolatilitySurface
/// </summary>
/// <param name="logger">The logger.</param>
/// <param name="cache">The cache.</param>
/// <param name="expiryTenors">the expiry tenors.</param>
/// <param name="tenors">The tenors.</param>
/// <param name="volSurface">The vol surface.</param>
/// <param name="nameSpace">The namespace</param>
/// <param name="properties">The properties.</param>
protected ExpiryTermTenorATMVolatilitySurface(ILogger logger, ICoreCache cache, String nameSpace, NamedValueSet properties, String[] expiryTenors, String[] tenors, Double[,] volSurface)
{
Algorithm = PropertyHelper.ExtractAlgorithm(properties);
PricingStructureIdentifier = new VolatilitySurfaceIdentifier(properties);
var surfaceId = (VolatilitySurfaceIdentifier)PricingStructureIdentifier;
var holder = new PricingStructureAlgorithmsHolder(logger, cache, nameSpace, surfaceId.PricingStructureType, surfaceId.Algorithm);
var curveInterpolationMethod = InterpolationMethodHelper.Parse(holder.GetValue("CurveInterpolation"));
_matrixIndexHelper = new SortedList <ExpiryTenorStrikeKey, int>(new ExpiryTenorStrikeKey());
var points = ProcessRawSurface(expiryTenors, tenors, volSurface, surfaceId.UnderlyingAssetReference);
PricingStructure = new VolatilityRepresentation
{
name = surfaceId.Name,
id = surfaceId.Id,
currency = surfaceId.Currency,
asset = new AnyAssetReference {
href = surfaceId.Instrument
},
};
var datapoints = new MultiDimensionalPricingData {
point = points,
businessCenter = surfaceId.BusinessCenter,
timing = surfaceId.QuoteTiming,
currency = surfaceId.Currency,
cashflowType = surfaceId.CashflowType,
informationSource = surfaceId.InformationSources,
measureType = surfaceId.MeasureType,
quoteUnits = surfaceId.QuoteUnits
};
if (surfaceId.ExpiryTime != null)
{
datapoints.expiryTime = (DateTime)surfaceId.ExpiryTime;
datapoints.expiryTimeSpecified = true;
}
if (surfaceId.ValuationDate != null)
{
datapoints.valuationDate = (DateTime)surfaceId.ValuationDate;
datapoints.valuationDateSpecified = true;
}
if (surfaceId.Time != null)
{
datapoints.time = (DateTime)surfaceId.Time;
datapoints.timeSpecified = true;
}
if (surfaceId.QuotationSide != null)
{
datapoints.side = (QuotationSideEnum)surfaceId.QuotationSide;
datapoints.sideSpecified = true;
}
PricingStructureValuation = new VolatilityMatrix
{
dataPoints = datapoints,
objectReference = new AnyAssetReference {
href = surfaceId.Instrument
},
baseDate = new IdentifiedDate {
Value = surfaceId.BaseDate
},
buildDateTime = surfaceId.BuildDateTime,
buildDateTimeSpecified = true
};
var expiries = new double[expiryTenors.Length];
var index = 0;
foreach (var term in expiryTenors)//TODO include business day holidays and roll conventions.
{
expiries[index] = PeriodHelper.Parse(term).ToYearFraction();
index++;
}
var tenor = new double[tenors.Length];
index = 0;
foreach (var term in tenors)//TODO include business day holidays and roll conventions.
{
tenor[index] = PeriodHelper.Parse(term).ToYearFraction();
index++;
}
// Record the row/column sizes of the inputs
_matrixRowCount = expiryTenors.Length;
_matrixRowCount *= tenors.Length;
// Columns includes expiry and term (tenor) if it exists.
_matrixColumnCount = 1;
// Generate an interpolator to use
Interpolator = new VolSurfaceInterpolator(expiries, tenor, new Matrix(volSurface), curveInterpolationMethod, true);
}
