// private constructor
private SabrExtrapolationRightFunction(double forward, SabrFormulaData sabrData, double cutOffStrike, double timeToExpiry, double mu, VolatilityFunctionProvider <SabrFormulaData> volatilityFunction)
{
ArgChecker.notNull(sabrData, "sabrData");
ArgChecker.notNull(volatilityFunction, "volatilityFunction");
this.sabrFunction = volatilityFunction;
this.forward = forward;
this.sabrData = sabrData;
this.cutOffStrike = cutOffStrike;
this.timeToExpiry = timeToExpiry;
this.mu = mu;
if (timeToExpiry > SMALL_EXPIRY)
{
parameter = computesFittingParameters();
}
else
{ // Implementation note: when time to expiry is very small, the price above the cut-off strike and its derivatives should be 0 (or at least very small).
parameter = new double[] { SMALL_PARAMETER, 0.0, 0.0 };
parameterDerivativeForward = new double[3];
//JAVA TO C# CONVERTER NOTE: The following call to the 'RectangularArrays' helper class reproduces the rectangular array initialization that is automatic in Java:
//ORIGINAL LINE: parameterDerivativeSabr = new double[4][3];
parameterDerivativeSabr = RectangularArrays.ReturnRectangularDoubleArray(4, 3);
}
}
/// <summary>
/// Obtains an instance with volatility provider specified.
/// </summary>
/// <param name="forward"> the forward </param>
/// <param name="sabrData"> the SABR formula data </param>
/// <param name="cutOffStrike"> the cut-off-strike </param>
/// <param name="timeToExpiry"> the time to expiration </param>
/// <param name="mu"> the mu parameter </param>
/// <param name="volatilityFunction"> the volatility function </param>
/// <returns> the instance </returns>
public static SabrExtrapolationRightFunction of(double forward, SabrFormulaData sabrData, double cutOffStrike, double timeToExpiry, double mu, VolatilityFunctionProvider <SabrFormulaData> volatilityFunction)
{
return(new SabrExtrapolationRightFunction(forward, sabrData, cutOffStrike, timeToExpiry, mu, volatilityFunction));
}
