private double SABRValue(IPoint point)
{
var surface = (DiscreteSurface)GetDiscreteSpace();
var x = point.GetX();
var y = (double)point.Coords[1];
//int nstrikes = surface.YArray.Length;
var unsorted = new Dictionary <SABRKey, SABRCalibrationEngine>(new SABRKey());
var allEngineHandles = new SortedDictionary <SABRKey, SABRCalibrationEngine>(unsorted, new SABRKey());
foreach (var column in _interpolatedColumns)
{
var sabr = (SABRModelInterpolation)column.GetInterpolatingFunction();
foreach (SABRKey key in sabr.EngineHandles.Keys)
{
allEngineHandles.Add(key, sabr.EngineHandles[key]);
}
}
//Now build expiry interpolated curve
var interp = new SABRModelInterpolation();
interp.InitHandles(x);
interp.EngineHandles = allEngineHandles;
//interpolate ATM point in strike
List <IPoint> points = surface.GetClosestValues(new Point2D(x, 1.0));
var yList = new List <double>();
var vList = new List <double>();
foreach (var pt in points)
{
if (!yList.Contains(pt.GetX()))
{
yList.Add(pt.GetX());
vList.Add(pt.FunctionValue);
}
}
if (yList.Count == 1)
{
interp.AtmVolatility = Convert.ToDecimal(vList[0]);
}
else
{
var xDiscCurve = new DiscreteCurve(yList.ToArray(), vList.ToArray());
var xInterp = new InterpolatedCurve(xDiscCurve, XInterpolation, true);
IPoint atmpt = new Point1D(x);
double temp = xInterp.Value(atmpt);
interp.AtmVolatility = Convert.ToDecimal(temp);
}
if (Forward != null && Spot != null)
{
interp.AssetPrice = Convert.ToDecimal(Forward);
}
else
{
var fwd = ForwardCurve.ValueAt(interp.ExpiryTime, true);
interp.AssetPrice = Convert.ToDecimal(fwd);
}
return(interp.ValueAt(y, true));
}
/// <summary>
/// Main ctor.
/// </summary>
/// <param name="discreteSurface">The discrete surface ie 2 dimensional.</param>
/// <param name="forwards">The forwards to be used for calibration.</param>
/// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
/// <param name="yInterpolation">The interpolation type for the y axis</param>
/// <param name="allowExtrapolation">Not implemented in EO.</param>
protected ExtendedInterpolatedSurface(DiscreteSurface discreteSurface, ParametricAdjustmentPoint[] forwards, IInterpolation xInterpolation,
IInterpolation yInterpolation, bool allowExtrapolation)
: base(discreteSurface, xInterpolation, yInterpolation, allowExtrapolation)
{
var values = discreteSurface.GetMatrixOfValues();
var x = discreteSurface.XArray;
var width = values.ColumnCount;
if (forwards != null)
{
SpotValue = (double)forwards[0].parameterValue;
var length = forwards.Length;
var fwds = new double[length - 1];
for (var index = 1; index < length; index++)
{
fwds[index - 1] = (double)forwards[index].parameterValue;
}
var fwdcurve = new LinearInterpolation();
fwdcurve.Initialize(x, fwds);
ForwardCurve = fwdcurve;
}
if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
{
var y = discreteSurface.YArray;
var length = values.RowCount;
for (int i = 0; i < length; i++)
{
//interpolate each maturity first (in strike) with SABR
var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
yinterp.ExpiryTime = x[i];
if (Forward != null && Spot != null)
{
yinterp.AssetPrice = Convert.ToDecimal(Forward);
}
else
{
var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
yinterp.AssetPrice = Convert.ToDecimal(fwd);
}
yinterp.Initialize(y, values.Row(i).Data);
var curve = new DiscreteCurve(y, values.Row(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
else //o.w interpolate at each strike point (in time)
{
for (int i = 0; i < width; i++)
{
var interp = xInterpolation.Clone();
interp.Initialize(x, values.Column(i).Data);
var curve = new DiscreteCurve(x, values.Column(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, interp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
}
/// <summary>
/// Main ctor.
/// </summary>
/// <param name="columns">The column values.</param>
/// <param name="forwards">An array of forwards to the expiry dates. The length of this array is + 1, as the first element is the spot value.</param>
/// <param name="values">The discrete surface ie 2 dimensional.</param>
/// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
/// <param name="yInterpolation">The basic interpolation to be applied to the y axis.</param>
/// <param name="rows">The row values.</param>
public ExtendedInterpolatedSurface(double[] rows, double[] columns, double[] forwards, Matrix values, IInterpolation xInterpolation, IInterpolation yInterpolation)
: base(new DiscreteSurface(rows, columns, values), xInterpolation, yInterpolation, true)
{
var width = values.ColumnCount;
var discreteSurface = new DiscreteSurface(rows, columns, values);
var x = discreteSurface.XArray;
if (forwards != null)
{
SpotValue = forwards[0];
var n = forwards.Length;
var fwds = new double[n - 1];
for (var index = 1; index < n; index++)
{
fwds[index - 1] = forwards[index];
}
ForwardCurve = new LinearInterpolation();
ForwardCurve.Initialize(rows, fwds);
}
if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
{
var length = values.RowCount;
var y = discreteSurface.YArray;
for (int i = 0; i < length; i++)
{
//interpolate each maturity first (in strike) with SABR
var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
yinterp.ExpiryTime = x[i];
if (Forward != null && Spot != null)
{
yinterp.AssetPrice = Convert.ToDecimal(Forward);
}
else
{
var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
yinterp.AssetPrice = Convert.ToDecimal(fwd);
}
yinterp.Initialize(y, values.Row(i).Data);
var curve = new DiscreteCurve(y, values.Row(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
else //o.w interpolate at each strike point (in time)
{
for (int i = 0; i < width; i++)
{
var interp = xInterpolation.Clone();
interp.Initialize(x, values.Column(i).Data);
var curve = new DiscreteCurve(x, values.Column(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, interp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
}
/// <summary>
/// Main ctor.
/// </summary>
/// <param name="columns">The column values.</param>
/// <param name="values">The discrete surface ie 2 dimensional.</param>
/// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
/// <param name="yInterpolation">The basic interpolation to be applied to the y axis.</param>
/// <param name="rows">The row values.</param>
public ExtendedInterpolatedSurface(double[] rows, double[] columns, Matrix values, IInterpolation xInterpolation, IInterpolation yInterpolation)
: base(new DiscreteSurface(rows, columns, values), xInterpolation, yInterpolation, true)
{
var width = values.ColumnCount;
for (int i = 0; i < width; i++)
{
var interp = xInterpolation.Clone();
interp.Initialize(rows, values.Column(i).Data);
var curve = new DiscreteCurve(rows, values.Column(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, interp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
/// <summary>
/// For any point, there should exist a function value. The point can be multi-dimensional.
/// </summary>
/// <param name="point"><c>IPoint</c> A point must have at least one dimension.
/// <seealso cref="IPoint"/> The interface for a multi-dimensional point.</param>
/// <returns>The <c>double</c> function value at the point</returns>
public override double Value(IPoint point)
{
double result = 0.0;
if (YInterpolation.GetType() == typeof(SABRModelInterpolation))
{
result = SABRValue(point);
}
else
{
var x = point.GetX();
var y = (double)point.Coords[1];
var xArray = new double[Columns];
var index = 0;
var surface = (DiscreteSurface)GetDiscreteSpace();
// time dimension interp
foreach (var column in _interpolatedColumns)
{
var pt = new Point1D(x);
xArray[index] = column.Value(pt);
index++;
}
if (YInterpolation.GetType() == typeof(WingModelInterpolation))
{
if (Forward != null && Spot != null)
{
((WingModelInterpolation)YInterpolation).Forward = (double)Forward;
((WingModelInterpolation)YInterpolation).Spot = (double)Spot;
}
else
{
var fwd = ForwardCurve.ValueAt(x, true);
((WingModelInterpolation)YInterpolation).Forward = fwd;
((WingModelInterpolation)YInterpolation).Spot = SpotValue;
}
var discreteCurve = new DiscreteCurve(surface.YArray, xArray);
InterpolatedCurve = new InterpolatedCurve(discreteCurve, YInterpolation, true);
var ypt = new Point1D(y);
result = InterpolatedCurve.Value(ypt);
}
}
return(result);
}
/// <summary>
/// Creates the discrete curve.
/// </summary>
/// <param name="termCurve"></param>
/// <param name="baseDate"></param>
/// <param name="dayCounter"></param>
/// <returns></returns>
public static DiscreteCurve Converter(TermCurve termCurve, DateTime baseDate, IDayCounter dayCounter)
{
var curve = new DiscreteCurve(PointCurveHelper(termCurve, baseDate, dayCounter));
return(curve);
}