public double GetFxVolForDeltaStrikeAndDate(string name, DateTime expiry, double strike)
{
var pair = FundingModel.FxMatrix.GetFxPair(name);
var fwd = FundingModel.GetFxRate(expiry.SpotDate(pair.SpotLag, pair.PrimaryCalendar, pair.PrimaryCalendar), pair.Domestic, pair.Foreign); //needs to account for spot/fwd offset
var vol = FundingModel.VolSurfaces[name].GetVolForDeltaStrike(strike, expiry, fwd);
return(vol);
}
public double GetCompositeVolForStrikeAndDate(string assetId, DateTime expiry, double strike, Currency ccy)
{
var curve = GetPriceCurve(assetId);
var fxId = $"{curve.Currency.Ccy}/{ccy.Ccy}";
var fxPair = FundingModel.FxMatrix.GetFxPair(fxId);
var fxSpotDate = fxPair.SpotDate(expiry);
var fxFwd = FundingModel.GetFxRate(fxSpotDate, fxId);
var fxVol = FundingModel.GetVolSurface(fxId).GetVolForDeltaStrike(0.5, expiry, fxFwd);
var tExpC = BuildDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var correl = CorrelationMatrix.GetCorrelation(fxId, assetId, tExpC);
var sigma = GetVolForStrikeAndDate(assetId, expiry, strike / fxFwd);
sigma = System.Math.Sqrt(sigma * sigma + fxVol * fxVol + 2 * correl * fxVol * sigma);
return(sigma);
}
