/// <summary>
/// Compute a Volatility using a bootstrapped engine and the set of identifying parameters
/// </summary>
/// <param name="engineHandle">The engine handle to the engines group to use</param>
/// <param name="strike">The strike at which to compute the volatility</param>
/// <param name="baseDate">The base date.</param>
/// <param name="targets">The target dates to compute the volatilities at</param>
/// <returns></returns>
public IList <decimal> BootstrapComputeVolatility(string engineHandle, decimal strike, DateTime baseDate, DateTime[] targets)
{
if (!_volCurveEngines.ContainsKey(engineHandle))
{
throw new ArgumentException(
$"The engine: {engineHandle} is not present. The volatility cannot be computed.");
}
//// Set up the parameters to use for this Computation
var engines = _volCurveEngines[engineHandle];
if (engines == null)
{
return(null);
}
// Isolate the correct engine from the engine group - fixed strike case
if (!engines.ContainsKey(strike))
{
throw new ArgumentException($"The strike value: {strike} is not valid for this Bootstrapper.");
}
var result = new List <Decimal>();
var engine = engines[strike];
if (engine != null)
{
foreach (var date in targets)
{
var time = new DateTimePoint1D(baseDate, date);
var value = (decimal)engine.GetValue(time.GetX());
result.Add(value);
}
return(result);
}
return(null);
}
///<summary>
///</summary>
///<param name="valuationDate"></param>
///<param name="expirationAsDate"></param>
///<param name="strike"></param>
///<returns></returns>
public double GetValueByExpiryDateAndStrike(DateTime valuationDate, DateTime expirationAsDate, double strike)
{
//IPoint time = new DateTimePoint1D(baseDate, expirationAsDate);
//IPoint point = new Point2D(time.GetX(), strike);
//return Interpolator.Value(point);
var value = 0d;
if (PricingStructureEvolutionType == PricingStructureEvolutionType.ForwardToSpot)
{
var time = new DateTimePoint1D(valuationDate, expirationAsDate);
IPoint point = new Point2D(time.GetX(), strike);
value = Value(point);
return(value);
}
if (PricingStructureEvolutionType == PricingStructureEvolutionType.SpotToForward)
{
var time = new DateTimePoint1D(GetBaseDate(), expirationAsDate);
IPoint point = new Point2D(time.GetX(), strike);
value = Value(point);
return(value);
}
return(value);
}
