public static VolatilitySurface BuildInterpol(VolatilityMatrix volMatrix, MoneynessProvider moneyness)
{
double[] timePillars = volMatrix.Time[volMatrix.Pillars];
var varianceSlices = EnumerableUtils.For(0, timePillars.Length, i =>
{
double t = timePillars[i];
double[] moneynessPillars = volMatrix.Strikes.Map(k => moneyness.Moneyness(t, k));
var varianceSlice = volMatrix.Vols.Row(i).Map(v => t * v * v);
return((RrFunction)SplineInterpoler.BuildCubicSpline(moneynessPillars, varianceSlice));
});
var varianceInterpol = new VarianceInterpoler(timePillars, varianceSlices);
return(new VolatilitySurface(volMatrix.Time, moneyness, varianceInterpol, varianceInterpol.BuildLocalVariance()));
}
public AssetMarket(AssetId asset, DateTime refDate, ITimeMeasure time,
double spot,
DiscountCurve riskFreeDiscount,
DiscountCurve repoCurve,
DividendQuote[] dividends,
VolatilityMatrix volMatrix)
{
Time = time;
Spot = spot;
RiskFreeDiscount = riskFreeDiscount;
RepoCurve = repoCurve;
Dividends = dividends;
VolMatrix = volMatrix;
RefDate = refDate;
Asset = asset;
if (refDate != repoCurve.RefDate || refDate != time.RefDate)
{
throw new Exception("AssetMarket : incompatible ref date !");
}
}
