public static double[,] FwdVolInstantCovariance(Bergomi2FModel b2F, double[] fwdVolStart, double[] fwdVolEnd)
{
Debug.Assert(fwdVolStart.Length == fwdVolEnd.Length);
var correl = Correl(b2F);
var varSwapDeformations = VarSwapDeformation(b2F, fwdVolStart, fwdVolEnd);
return(ArrayUtils.CartesianProd(varSwapDeformations, varSwapDeformations,
(varSwapDef1, varSwapDef2) => correl.BilinearProd(varSwapDef1, varSwapDef2)));
}
public static object LocalVolSurface(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var maturities = ObjectConverters.ConvertDateArray(dates, assetMarket.RefDate);
return ArrayUtils.CartesianProd(maturities, strikes, volSurface.LocalVol);
}));
}
