/// <summary> /// Values at. /// </summary> /// <param name="stock"></param> /// <param name="expiries">The expiries.</param> /// <param name="strikes">The strikes.</param> /// <param name="?">Cache to vol object</param> /// <param name="cache"></param> /// <returns></returns> public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache) { var forwardExpiries = new List <ForwardExpiry>(); foreach (DateTime exp in expiries) { var fwdExpiry = new ForwardExpiry(); foreach (double str in strikes) { var wingModel = new WingInterp(); double forward = stock.GetForward(stock.Date, exp.Date); double spot = Convert.ToDouble(stock.Spot); fwdExpiry.FwdPrice = Convert.ToDecimal(forward); double y = str; double x = (exp.Subtract(Date)).Days / 365.0; IPoint point = new Point2D(x, y); InterpCurve.Forward = forward; InterpCurve.Spot = spot; var val = InterpCurve.Value(point); IVolatilityPoint vp = new VolatilityPoint(); vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default()); fwdExpiry.ExpiryDate = exp; bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries); // copy model used to return ForwardExpiry object var newstrike = new Strike { StrikePrice = str }; var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction(); //SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction(); wingModel.WingParams = wing.WingParameters; newstrike.InterpModel = wingModel; fwdExpiry.AddStrike(newstrike, node); newstrike.SetVolatility(vp); } forwardExpiries.Add(fwdExpiry); } return(forwardExpiries); }
public Spline(ExportEntry component, PathingGraphEditor g, ExportEntry nextActor) { Pickable = false; NextActor = nextActor; StructProperty splineInfoProp = component.GetProperty <StructProperty>("SplineInfo"); if (splineInfoProp != null) { SplineInfo = InterpCurve <Vector3> .FromStructProperty(splineInfoProp); var reparamProp = component.GetProperty <StructProperty>("SplineReparamTable"); if (reparamProp != null) { ReparamTable = InterpCurve <float> .FromStructProperty(reparamProp); } else { ReparamTable = new InterpCurve <float>(); RegenerateReparamTable(); } Draw(g); } }