/// <summary>
/// Initializes a new instance of the <see cref="Strike"/> class.
/// </summary>
/// <param name="moneyness">The moneyness.</param>
/// <param name="fwdPrice">The FWD price.</param>
/// <param name="callPosition">The call position.</param>
/// <param name="putPosition">The put position.</param>
public Strike(Double moneyness, double fwdPrice, OptionPosition callPosition, OptionPosition putPosition)
{
VolatilityHasBeenSet = false;
Volatility = null;
Moneyness = 0;
PriceUnits = Units.Cents;
InputValidator.NotZero("StrikePrice", moneyness, true);
StrikePrice = moneyness * fwdPrice;
_strikePositions = new Pair <OptionPosition, OptionPosition>(callPosition, putPosition);
//this.InterpModel = new SABRInterp();
InterpModel = new WingInterp();
}
/// <summary>
/// Initializes a new instance of the <see cref="Strike"/> class.
/// </summary>
/// <param name="strikePrice">The strike price.</param>
/// <param name="callPosition">The call position.</param>
/// <param name="putPosition">The put position.</param>
/// <param name="units">The units.</param>
public Strike(Double strikePrice, OptionPosition callPosition, OptionPosition putPosition, Units units)
{
VolatilityHasBeenSet = false;
Volatility = null;
Moneyness = 0;
InputValidator.NotZero("StrikePrice", strikePrice, true);
StrikePrice = strikePrice;
_strikePositions = new Pair <OptionPosition, OptionPosition>(callPosition, putPosition);
// this.InterpModel = new SABRInterp();
InterpModel = new WingInterp();
PriceUnits = units;
}
/// <summary>
/// Calibrates this instance.
/// </summary>
public void Calibrate()
{
SetInterpolatedCurve();
foreach (ForwardExpiry fwdExp in NodalExpiries)
{
foreach (Strike strike in fwdExp.Strikes)
{
var wingModel = new WingInterp();
InterpCurve.Forward = Convert.ToDouble(fwdExp.FwdPrice);
InterpCurve.Spot = Convert.ToDouble(SpotPrice);
wingModel.Fit(this, strike.StrikePrice, fwdExp.ExpiryDate);
strike.InterpModel = wingModel;
}
}
}
/// <summary>
/// Values at.
/// </summary>
/// <param name="stock"></param>
/// <param name="expiries">The expiries.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="?">Cache to vol object</param>
/// <param name="cache"></param>
/// <returns></returns>
public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache)
{
var forwardExpiries = new List <ForwardExpiry>();
foreach (DateTime exp in expiries)
{
var fwdExpiry = new ForwardExpiry();
foreach (double str in strikes)
{
var wingModel = new WingInterp();
double forward = stock.GetForward(stock.Date, exp.Date);
double spot = Convert.ToDouble(stock.Spot);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
double y = str;
double x = (exp.Subtract(Date)).Days / 365.0;
IPoint point = new Point2D(x, y);
InterpCurve.Forward = forward;
InterpCurve.Spot = spot;
var val = InterpCurve.Value(point);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
fwdExpiry.ExpiryDate = exp;
bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries);
// copy model used to return ForwardExpiry object
var newstrike = new Strike {
StrikePrice = str
};
var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction();
//SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction();
wingModel.WingParams = wing.WingParameters;
newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
newstrike.SetVolatility(vp);
}
forwardExpiries.Add(fwdExpiry);
}
return(forwardExpiries);
}
