private double GetVolForAbsoluteStrike(double strike, IInterpolator1D interp)
{
var cp = strike < 0 ? OptionType.Put : OptionType.Call;
Func <double, double> testFunc = (deltaK =>
{
var vol = interp.Interpolate(-deltaK);
var absK = AbsoluteStrikefromDeltaKAnalytic(_fwd, deltaK, 0, _tExp, vol);
return(absK - strike);
});
var solvedStrike = -Brent.BrentsMethodSolve(testFunc, -0.999999999, -0.000000001, 1e-8);
return(interp.Interpolate(solvedStrike));
}
