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volDF2CubeK <- function(params, tbl, source = "CME") {
strikes <- levels(tbl$Spread)<-c(-200,-150,-100,-75,-50,-25,0,25,50,75,100,150,200)
matYears <- as.numeric(params$maturity-params$tradeDate)/365
expYears <- as.numeric(params$expiryDate-params$tradeDate)/365
expLvl <- c( "1M","3M","6M","1Y","2Y","3Y","4Y", "5Y", "6Y", "7Y", "8Y", "9Y","10Y")
tbl$Expiry <- factor(tbl$Expiry, levels <- expLvl)
expiries <- c(1/12,.25,.5,1,2,3,4,5,6,7,8,9,10)
tenorLvl <- c( "1Y", "2Y", "5Y", "10Y","15Y","20Y","30Y")
tbl$Tenor <- factor(tbl$Tenor, levels = tenorLvl)
tenors <- c(1,2,5,10,15,20,30)
tenorIDX <- max(findInterval(matYears-expYears,tenors),1)
tenorIDX <- min(tenorIDX,length(tenors)-3)
expiryIDX <- findInterval(expYears,expiries)
expiryIDX <- min(expiryIDX,length(expiries)-3)
strikeIDX <- 1
expire <- expLvl[expiryIDX]
tenor <- tenorLvl[tenorIDX]
for(strike in levels(tbl$Spread)){
if(!is.na(tbl[tbl$Expiry==expire & tbl$Spread==strike &tbl$Tenor==tenor,]$LogNormalVol))break;
strikeIDX <- strikeIDX+1
}
strikes <- strikes[strikeIDX:length(strikes)]
expLvl <- expLvl[expiryIDX:length(expLvl)]
expiries <- expiries[expiryIDX:length(expiries)]
tenorLvl <- tenorLvl[tenorIDX:length(tenorLvl)]
tenors <- tenors[tenorIDX:length(tenors)]
tbl <- tbl[tbl$Expiry%in%expLvl,]
tbl <- tbl[tbl$Tenor%in%tenorLvl,]
tbl <- tbl[tbl$Spread%in%strikes,]
tbl <- tbl[with(tbl,order(Expiry,Tenor,Spread)),]
tbl3 <- tbl[tbl$Spread==0,]
# atm vol matrix
atmMat=acast(tbl3,Expiry~Tenor,value.var = "LogNormalVol")
#atmMat=matrix(data=NA,nrow=length(expLvl),ncol=length(tenorLvl),dimnames=list(expLvl,tenorLvl))
# for(i in 1:length(expLvl)){
# for(j in 1:length(tenorLvl)){
# atmMat[i,j]=tbl[tbl$Expiry==expLvl[i]& tbl$Tenor==tenorLvl[j] & tbl$Spread==0,]$LogNormalVol
# }
# }
smirk=matrix(ncol=length(strikes),nrow=length(expLvl)*length(tenorLvl))
tmp3=acast(tbl,Expiry~Tenor~Spread,value.var="LogNormalVol")
k=0
for(i in 1:length(expLvl)){
for(j in 1:length(tenorLvl)){
k=k+1
#for(n in 1:length(strikes)){
smirk[k,]=tmp3[i,j,]-tmp3[i,j,"0"]
#smirk[k,n]=tbl[tbl$Expiry==expLvl[i]& tbl$Tenor==tenorLvl[j] & tbl$Spread==strikes[n],]$LogNormalVol -
# tbl[tbl$Expiry==expLvl[i]& tbl$Tenor==tenorLvl[j] & tbl$Spread==0,]$LogNormalVol
#}
}
}
smirk <- na.spline(smirk,method="natural")
tmp <- list(atmVol=atmMat,tenors=tenors,expiries=expiries,smirk=smirk,strikes=strikes/10000)
class(tmp) <- "volcube"
return(tmp)
}
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