public Dictionary <string, IVolSurface> GetSegaScenariosOuterWing(double bumpSize, DateTime?LastSensitivityDate)
{
var o = new Dictionary <string, IVolSurface>();
var lastExpiry = LastIx(LastSensitivityDate);
var highDeltaFirst = WingDeltas.First() > WingDeltas.Last();
var outerWingIx = WingDeltas.Length - 1;
for (var i = 0; i < lastExpiry; i++)
{
var volsBumped = (double[][])Flies.Clone();
if (highDeltaFirst)
{
volsBumped[i][outerWingIx] += bumpSize;
}
else
{
volsBumped[i][0] += bumpSize;
}
o.Add(PillarLabels[i], new RiskyFlySurface(OriginDate, ATMs, Expiries, WingDeltas, Riskies, volsBumped, Forwards, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, PillarLabels));
}
return(o);
}
public Dictionary <string, IVolSurface> GetSegaScenarios(double bumpSize, DateTime?LastSensitivityDate)
{
var o = new Dictionary <string, IVolSurface>();
var lastExpiry = LastIx(LastSensitivityDate);
var highDeltaFirst = WingDeltas.First() > WingDeltas.Last();
for (var i = 0; i < lastExpiry; i++)
{
var volsBumped = (double[][])Flies.Clone();
if (highDeltaFirst)
{
var ratios = volsBumped[i].Select(x => x / volsBumped[i][0]).ToArray();
volsBumped[i] = ratios.Select(r => (volsBumped[i][0] + bumpSize) * r).ToArray();
}
else
{
var ratios = volsBumped[i].Select(x => x / volsBumped[i].Last()).ToArray();
volsBumped[i] = ratios.Select(r => (volsBumped[i].Last() + bumpSize) * r).ToArray();
}
o.Add(PillarLabels[i], new RiskyFlySurface(OriginDate, ATMs, Expiries, WingDeltas, Riskies, volsBumped, Forwards, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, PillarLabels));
}
return(o);
}
