/// <summary>
/// Gets the Wing volatility
/// </summary>
/// <param name="volSurface">The vol surface.</param>
/// <param name="time">The time.</param>
/// <param name="strike">The strike.</param>
/// <param name="wingParameterList"></param>
/// <returns></returns>
public static double GetWingValue(List <OrcWingParameters> wingParameterList, IInterpolation xInterp, double time, double strike)
{
double eps = 0.0001;
IPoint pt1 = new Point2D(time, strike * (1 + eps));
IPoint pt2 = new Point2D(time, strike * (1 - eps));
double[] _years = new double[wingParameterList.Count];
for (int idx = 0; idx < wingParameterList.Count; idx++)
{
_years[idx] = wingParameterList[idx].TimeToMaturity;
}
var volArray = new double[wingParameterList.Count];
for (int idx = 0; idx < wingParameterList.Count; idx++)
{
volArray[idx] = OrcWingVol.Value(strike, wingParameterList[idx]);
}
double res = 0;
if (volArray.Length > 1)
{
xInterp.Initialize(_years, volArray);
res = xInterp.ValueAt(time, false);
}
else
{
res = volArray[0];
}
return(res);
}
/// <summary>
/// Values at, overriding calibrated Wing Model with supplied parms
/// </summary>
/// <param name="stock"></param>
/// <param name="expiry">The expiry.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="parms">The parms.</param>
/// <param name="oride"></param>
/// <param name="cache">if set to <c>true</c> [cache].</param>
/// <returns></returns>
public ForwardExpiry ValueAt(Stock stock, DateTime expiry, List <Double> strikes, OrcWingParameters parms, bool oride, bool cache)
{
var fwdExpiry = new ForwardExpiry {
ExpiryDate = expiry
};
double forward = stock.GetForward(stock.Date, expiry);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
foreach (double strike in strikes)
{
double val = OrcWingVol.Value(strike, parms);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
bool node = VolatilitySurfaceHelper.IsMatch(strike, expiry, NodalExpiries);
Strike newstrike;
if (node & oride)
{
newstrike = VolatilitySurfaceHelper.GetStrike(strike, expiry, NodalExpiries);
//new data points, derefernce fitting model
newstrike.InterpModel = null;
}
else
{
//var wingModel = new WingInterp {WingParams = parms};
newstrike = new Strike {
StrikePrice = strike, InterpModel = null
};
//newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
}
newstrike.SetVolatility(vp);
}
return(fwdExpiry);
}
/// <summary>
/// Perform a wing model interpolation on a vector of values
/// We must assume the points are arranged x0 <=x <= x1 for this to work/>
/// </summary>
/// <param name="axisValue">The axis value</param>
/// <param name="extrapolation">This is not currently implemented.</param>
/// <returns></returns>
public double ValueAt(double axisValue, bool extrapolation)
{
var result = OrcWingVol.Value(axisValue, WingParameters);
return(result);
}
