private double GetFirstDerivativeToStrike(double t, double k)
{
double forwardPrice = PriceBump.BumpForward(k);
double backwardPrice = PriceBump.BumpBackward(k);
return((ImpliedVol.GetValue(t, forwardPrice) - ImpliedVol.GetValue(t, backwardPrice)) / (forwardPrice - backwardPrice));
}
private double GetSecondDerivativeToStrike(double t, double k)
{
// there is possibility that the bump sizes are different between forward and backward.
// we use the minimum of them to calculate the second order derivative.
double bumpsize = PriceBump.MinBump(k);
return((ImpliedVol.GetValue(t, k + bumpsize) + ImpliedVol.GetValue(t, k - bumpsize) - 2 * ImpliedVol.GetValue(t, k)) /
(bumpsize * bumpsize));
}
private double MaxY()
{
var solidMaxY = ImpliedVol.MaxY();
return(PriceBump.BumpForwardInverse(solidMaxY));
}
private double MinY()
{
var solidMinY = ImpliedVol.MinY();
return(PriceBump.BumpBackwardInverse(solidMinY));
}
