public static List <double> PriceSetting(InitialTerm.InitialParameter param)
{
var priceList = new List <double>();
var forward = ForwardCalculator.CalcForwardRate(param);
foreach (InitialTerm.VolatilityType volatilityType
in Enum.GetValues(typeof(InitialTerm.VolatilityType)))
{
var type = JudgeMaterial.JudgeOfCallPut.CallOrPut(volatilityType);
var volatility = JudgeMaterial.JudgeOfVolatility.Volatility(param, volatilityType);
var strike = StrikrCalcultor.CalcStrike(param, forward, volatility, param.deltaType, volatilityType);
var d1 = DFuncCalculator.CalcDValue(param, volatility, param.tau, forward, strike);
var d2 = d1 - volatility * Math.Sqrt(param.tau);
priceList.Add(FlyAdjustment.PriceCalculator.CalcOptionPrice(param, forward, strike, d1, d2, type));
}
return(priceList);
}
public static List <double> StrikeSetting(InitialTerm.InitialParameter param)
{
var strikeList = new List <double>();
var forward = ForwardCalculator.CalcForwardRate(param);
foreach (InitialTerm.VolatilityType volatilityType
in Enum.GetValues(typeof(InitialTerm.VolatilityType)))
{
var volatility = JudgeMaterial.JudgeOfVolatility.Volatility(param, volatilityType);
strikeList.Add(StrikrCalcultor.CalcStrike(
param,
forward,
volatility,
param.deltaType,
volatilityType));
}
return(strikeList);
}
static void CalcUSDJPY()
{
var spot = 106.925;
var rateOfDomestic = -0.00085034363976;
var rateOfForeign = 0.02216698493974;
var tau = 1.0;
var volAtm = 0.071;
var vol25MS = 0.002;
var vol10MS = 0.0105;
var vol25RR = -0.021;
var vol10RR = -0.042;
var deltaType = InitialTerm.DeltaType.PercentageSpotDelta;
var param = new InitialTerm.InitialParameter(
spot,
rateOfDomestic,
rateOfForeign,
tau,
volAtm,
vol25MS,
vol10MS,
vol25RR,
vol10RR,
deltaType
);
var forward = ForwardCalculator.CalcForwardRate(param);
var strikeList = InitialSetting.StrikeSetting(param);
//var interpolationName = "PolynomialInDelta";
var interpolationName = "SABR";
var vTarget = 4.5;
var Ans = Calibration.Solve(
interpolationName,
param,
forward,
vTarget,
strikeList);
Console.WriteLine(Ans);
}