std::vector<std::vector<double> > qlMatrixToVv(const QuantLib::Matrix &m) {
std::vector<std::vector<double> > vv;
for(unsigned int r=0; r<m.rows(); ++r) {
std::vector<double> v;
for(unsigned int c=0; c<m.columns(); ++c) {
v.push_back(m[r][c]);
}
vv.push_back(v);
}
return vv;
}
boost::shared_ptr<VolatilityRateSource> VolatilitySurfaceMoneyness::parallelBump(double spread)
{
vector<Date> newDates;
QuantLib::Matrix volatilitySubset;
getRolledVariables(anchorDate, newDates, volatilitySubset);
Matrix spreadMatrix = Matrix(volatilitySubset.rows(), volatilitySubset.columns(), spread);
Matrix bumpedVolMatrix = volatilitySubset + spreadMatrix;
return boost::shared_ptr<VolatilityRateSource>(new VolatilitySurfaceMoneyness(anchorDate,
newDates,
strikeDimension,
bumpedVolMatrix,
interpolatorType,
allowExtrapolation));
}
//! YY TODO: Now prefer to keep the algorithm clear, so it is highly inefficient. To improve latter.
QuantLib::Matrix PCA::doPCA(const QuantLib::Matrix& originalMatrix, size_t reducedRank, bool normalizeDiagonal) // YY TODO: change it to boost::optional<bool>
{
size_t fullRank = originalMatrix.rows();
assert(fullRank > reducedRank);
//! decompose the original matrix
QuantLib::SymmetricSchurDecomposition ssd(originalMatrix); // here it check if the matrix is squared, symetric.
QuantLib::Array eigenvalues = ssd.eigenvalues();
QuantLib::Matrix eigenvectors = ssd.eigenvectors();
assert(checkEigenvalue(eigenvalues, reducedRank));
//! construct the reducedRank matrix
QuantLib::Array D(reducedRank);
for(size_t i=0; i<D.size(); ++i)
{
D[i] = std::sqrt(eigenvalues[i]);
}
//! normalize the diagonal of the reducedRank matrix.
QuantLib::Array diagonalNormalizeFactor(fullRank);
if(normalizeDiagonal)
{
for(size_t i=0; i<fullRank; ++i)
{
diagonalNormalizeFactor[i] = 0.0;
for(size_t j=0; j<reducedRank; ++j)
{
diagonalNormalizeFactor[i] += eigenvalues[j]*eigenvectors[i][j]*eigenvectors[i][j];
}
diagonalNormalizeFactor[i] = sqrt(diagonalNormalizeFactor[i]);
}
}
else
{
for(size_t i=0; i<fullRank; ++i)
{
diagonalNormalizeFactor[i] = 1.0;
}
}
QuantLib::Matrix U(fullRank,reducedRank,0.0);
for(size_t i=0; i<fullRank; ++i)
{
for(size_t j=0; j<reducedRank; ++j)
{
U[i][j] = eigenvectors[i][j]*D[j]/diagonalNormalizeFactor[i];
}
}
return U;
}
void VolatiltiySurfaceRateSource::setInputs(Date anchorDateInput,
vector<Date> observationDatesInput,
vector<double> strikeDimensionInput,
QuantLib::Matrix volatilityInput,
SurfaceInterpolatorType interpolatorTypeInput,
bool extrapolateInput)
{
if (observationDatesInput.size() == 0 ||
strikeDimensionInput.size() == 0 ||
volatilityInput.rows() * volatilityInput.columns() == 0)
{
observationDates = vector<Date>();
strikeDimension = vector<double>();
volatility = Matrix(0,0);
return;
}
anchorDate = anchorDateInput;
dayCounter = boost::shared_ptr<DayCounter>(new Actual365Fixed());
allowExtrapolation = extrapolateInput;
strikeDimension = strikeDimensionInput;
observationDates = observationDatesInput;
if (observationDates[0] > anchorDate)
{
observationDates.insert(observationDates.begin(), anchorDate);
volatility = QuantLib::Matrix(volatilityInput.rows(), volatilityInput.columns()+1);
for (size_t i = 0; i < volatilityInput.rows(); ++i)
{
volatility[i][0] = volatilityInput[i][0];
for (size_t j = 0; j < volatilityInput.columns(); ++j)
{
volatility[i][j+1] = volatilityInput[i][j];
}
}
}
else
{
volatility = volatilityInput;
}
time.clear();
for (size_t i = 0; i < observationDates.size(); ++i)
{
double yf = dayCounter->yearFraction(anchorDate, observationDates[i]);
time.push_back(yf);
}
if (observationDates.size() > 0)
{
finalDate = observationDates.back();
}
else
{
finalDate = Date(01,Jan,1901);
}
setInterpolatorType(interpolatorTypeInput);
}
void matrixToOper(const QuantLib::Matrix &m, OPER &xMatrix) {
if (m.empty()) {
xMatrix.xltype = xltypeErr;
xMatrix.val.err = xlerrNA;
return;
}
xMatrix.val.array.rows = m.rows();
xMatrix.val.array.columns = m.columns();
xMatrix.val.array.lparray = new OPER[xMatrix.val.array.rows * xMatrix.val.array.columns];
xMatrix.xltype = xltypeMulti | xlbitDLLFree;
for (unsigned int i=0; i<m.rows(); ++i)
for (unsigned int j=0; j<m.columns(); ++j)
scalarToOper(m[i][j], xMatrix.val.array.lparray[i * m.columns() + j]);
}