/// <summary>
/// Sets the interpolated curve.
/// </summary>
public void SetInterpolatedCurve()
{
int n1 = NodalExpiries.Length;
if (n1 == 0)
{
return;
}
int n2 = NodalExpiries[0].Strikes.Length;
if (n2 <= 1)
{
return;
}
var rows = new double[n1];
var cols = new double[n2];
var vols = new double[n1, n2];
PopulateArrays(ref rows, ref cols, ref vols);
var mvols = new Matrix(vols);
var linInterp = new LinearInterpolation();
var qrWing = new WingModelInterpolation();
var interpCurve = new ExtendedInterpolatedSurface(rows, cols, mvols, linInterp, qrWing);
InterpCurve = interpCurve;
}
public void TestExtendedWingInterpolatedSurface2()
{
var interpCurve = new ExtendedInterpolatedSurface(_rows, _strikes, VVols, new LinearInterpolation(), new WingModelInterpolation())
{
Forward = 3.50,
Spot = 3.50
};
IPoint point2D = new Point2D(0.1, 0.2);
Console.WriteLine(interpCurve.Value(point2D));
point2D = new Point2D(0.2, 0.4);
Console.WriteLine(interpCurve.Value(point2D));
point2D = new Point2D(0.35, 0.6);
Console.WriteLine(interpCurve.Value(point2D));
}
/// <summary>
/// Fits this instance.
/// </summary>
public void Fit(VolatilitySurface surface, double strike, DateTime expiry)
{
// fit in expiry direction
double y = strike;
double x = (expiry.Subtract(surface.Date)).Days / 365.0;
ExtendedInterpolatedSurface interpCurve = surface.InterpCurve;
IPoint point = new Point2D(x, y);
interpCurve.Value(point);
IInterpolation model = interpCurve.GetYAxisInterpolatingFunction();
var wing = (WingModelInterpolation)model;
//Assign params;
WingParams = wing.WingParameters;
}
/// <summary>
/// Gets the vol at.
/// </summary>
/// <param name="stock"></param>
/// <param name="expiry">The expiry.</param>
/// <param name="moneyness">The moneyness.</param>
/// <returns></returns>
public double GetVolAt(IStock stock, DateTime expiry, double moneyness)
{
DateTime date0 = ((Stock)stock).Date;
double fwd = ((Stock)stock).GetForward(date0, expiry);
double y = fwd * moneyness;
double x = expiry.Subtract(date0).Days / 365.0;
IPoint point = new Point2D(x, y);
stock.VolatilitySurface.SetInterpolatedCurve();
ExtendedInterpolatedSurface interpCurve = stock.VolatilitySurface.GetInterpolatedCurve();
interpCurve.Forward = fwd;
interpCurve.Spot = Convert.ToDouble(((Stock)stock).Spot);
var vol = interpCurve.Value(point);
return(vol);
}
public void TestExtendedInterpolatedSurface2()
{
var interpCurve = new ExtendedInterpolatedSurface(_rows, _pointCoords, VMatrix, new LinearInterpolation(), new LinearInterpolation());
for (int i = 0; i < interpCurve.GetDiscreteSpace().GetPointList().Count; i++)
{
IPoint point = interpCurve.GetDiscreteSpace().GetPointList()[i];
var val = interpCurve.Value(point);
Console.WriteLine(point.FunctionValue);
}
IPoint point2d = new Point2D(0.1, 0.2);
Console.WriteLine(interpCurve.Value(point2d));
point2d = new Point2D(0.2, 0.4);
Console.WriteLine(interpCurve.Value(point2d));
point2d = new Point2D(0.35, 0.6);
Console.WriteLine(interpCurve.Value(point2d));
}
