public static double pricingVol(IVolSurface volSurf, Date exerciseDate, IOption option, double spot)
{
return(option.IsMoneynessOption ?
//moneyness option , strike i.e. 120% of initialSpot
volSurf.GetValue(exerciseDate, option.Strike * option.InitialSpotPrice, spot):
volSurf.GetValue(exerciseDate, option.Strike, spot));
}
public override double Drift(double t, double x, double dt)
{
var sigma = Diffusion(t, x);
var sigmaX = _isConstantVol ? _fxVol : _fxVolSurf.GetValue(t, 0.0);
return(_isConstantRate
? (_r - _q - _correlation * sigma * sigmaX - 0.5 * sigma * sigma)
: _spotRateCurve.GetInstantaneousForwardRate(t)
- _dividendCurve.GetInstantaneousForwardRate(t)
- _correlation * sigma * sigmaX
- 0.5 * sigma * sigma);
}
public override double Diffusion(double t, double x)
{
return(_isConstantVol ? _vol : _volSurf.GetValue(t, x));
}