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 double PV_LinearApprox(HazzardCurve hazzardCurve, IIrCurve discountCurve, double recoveryRate, bool payAccruedOnDefault = true)
{
var nodeDates = DatePeriodType.M.GenerateDateSchedule(hazzardCurve.OriginDate, FinalSensitivityDate);
var ts = nodeDates.Select(d => discountCurve.BuildDate.CalculateYearFraction(d, DayCountBasis.ACT365F)).ToArray();
var integrandD = new Func <DateTime, double> (d => discountCurve.GetDf(discountCurve.BuildDate, d) * -hazzardCurve.GetSurvivalProbabilitySlope(d));
var integrandT = new Func <double, double>(t => integrandD(OriginDate.AddYearFraction(t, DayCountBasis.ACT365F)));
//contingent leg
var pv = (1.0 - recoveryRate) * Notional * Integration.SimpsonsRuleExtended(integrandT, 0, ts.Last(), 100);
//fixed leg
foreach (var f in FixedSchedule.Flows)
{
pv -= f.Notional * f.YearFraction * Spread * discountCurve.GetDf(discountCurve.BuildDate, f.SettleDate) * hazzardCurve.GetSurvivalProbability(f.SettleDate);
if (payAccruedOnDefault)
{
pv -= 0.5 * f.Notional * f.YearFraction * Spread
* hazzardCurve.GetDefaultProbability(f.AccrualPeriodStart, f.AccrualPeriodEnd)
* discountCurve.GetDf(discountCurve.BuildDate, f.SettleDate);
}
}
return(pv);
}