public double GetVolForAbsoluteStrike(double strike, double maturity, double forward)
{
var expiry = OriginDate.AddYearFraction(maturity, DayCountBasis.Act365F);
var pair = FundingModel.FxMatrix.GetFxPair(AssetSurface.Currency, Currency);
var fxFwd = FundingModel.GetFxRate(pair.SpotDate(expiry), pair.Domestic, pair.Foreign);
double vA, vF;
switch (CalculationType)
{
case CompositeVolType.Black:
vA = AssetSurface.GetVolForAbsoluteStrike(forward / fxFwd, expiry, forward / fxFwd);
vF = FundingModel.GetVolSurface(pair.ToString()).GetVolForAbsoluteStrike(fxFwd, expiry, fxFwd);
break;
case CompositeVolType.AssetSkewOnly:
vA = AssetSurface.GetVolForAbsoluteStrike(strike / fxFwd, expiry, forward / fxFwd);
vF = FundingModel.GetVolSurface(pair.ToString()).GetVolForAbsoluteStrike(fxFwd, expiry, fxFwd);
break;
default:
throw new Exception($"Unable to handle calc type {CalculationType}");
}
var vC = System.Math.Sqrt(vA * vA + vF * vF + 2.0 * Correlation * vA * vF);
return(vC);
}
public Dictionary <string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime?LastSensitivityDate)
{
var aDict = AssetSurface.GetATMVegaScenarios(bumpSize, LastSensitivityDate);
var oDict = aDict.ToDictionary(kv => kv.Key, kv => (IVolSurface) new CompositeVolSurface(Name, AssetId, Currency, kv.Value, FundingModel, Correlation, CalculationType));
var fDict = FundingModel.GetVolSurface(_Pair.ToString()).GetATMVegaScenarios(bumpSize, LastSensitivityDate);
foreach (var kv in fDict)
{
var fModel = FundingModel.DeepClone(null);
fModel.VolSurfaces[_Pair.ToString()] = kv.Value;
oDict.Add(kv.Key, new CompositeVolSurface(Name, AssetId, Currency, AssetSurface, fModel, Correlation, CalculationType));
}
return(oDict);
}
public DateTime PillarDatesForLabel(string label) => AssetSurface.PillarDatesForLabel(label);
