//-------------------------------------------------------------------------
public double volatility(CurrencyPair currencyPair, double expiryTime, double strike, double forward)
{
if (currencyPair.isInverse(this.currencyPair))
{
return(smile.volatility(expiryTime, 1d / strike, 1d / forward));
}
return(smile.volatility(expiryTime, strike, forward));
}
//-------------------------------------------------------------------------
public double volatility(CurrencyPair currencyPair, double expiry, double strike, double forward)
{
if (currencyPair.isInverse(this.currencyPair))
{
return(surface.zValue(expiry, 1d / strike));
}
return(surface.zValue(expiry, strike));
}
//-------------------------------------------------------------------------
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @ImmutableValidator private void validate()
private void validate()
{
CurrencyPair pair = observation.Index.CurrencyPair;
if (!pair.contains(settlementCurrencyNotional.Currency))
{
throw new System.ArgumentException("FxIndex and settlement notional currency are incompatible");
}
if (!(pair.Equals(agreedFxRate.Pair) || pair.isInverse(agreedFxRate.Pair)))
{
throw new System.ArgumentException("FxIndex and agreed FX rate are incompatible");
}
}
