/// <summary>
/// Get a point from the implied vol surface
/// </summary>
/// <param name="t">date in double</param>
/// <param name="k">strike</param>
/// <returns></returns>
public double GetValue(double t, double k)
{
//check if the point is out of range
var axisX1InDouble = RowGrid.Select(item => _dayCount.CalcDayCountFraction(ValuationDate, item)).ToList();
if (t < axisX1InDouble.Min() || t > axisX1InDouble.Max() || k < ColGrid.Min() || k > ColGrid.Max())
{
throw new PricingLibraryException(String.Format("Date - strike pair ({0},{1}) is out of range. Extrapolation is not implemented yet", t, k));
}
//find the two indices which on the two sides of the input date. If cannot find in the for loop, then i = 0 automatically.
int i = 0;
for (int j = 0; j < axisX1InDouble.Count - 1; j++)
{
if ((axisX1InDouble[j] < t) && (t <= axisX1InDouble[j + 1]))
{
i = j;
}
}
// get the left and right value of the sabr interpolated vol with the same strike s
var leftValue = SABRVolFineTune(
OptimizerResults[i].BestAlpha,
OptimizerResults[i].BestBeta,
OptimizerResults[i].BestRho,
OptimizerResults[i].BestNu,
_spotPrice,
k,
OptimizerResults[i].Maturity,
_useFineTune);
var rightValue = SABRVolFineTune(
OptimizerResults[i + 1].BestAlpha,
OptimizerResults[i + 1].BestBeta,
OptimizerResults[i + 1].BestRho,
OptimizerResults[i + 1].BestNu,
_spotPrice,
k,
OptimizerResults[i + 1].Maturity,
_useFineTune);
var w = Weight((OptimizerResults[i + 1].Maturity - t) / (OptimizerResults[i + 1].Maturity - OptimizerResults[i].Maturity));
return(w * leftValue + (1 - w) * rightValue);
}
public override double MinY()
{
return(ColGrid.Min());
}