public static object LocalVolDenominator(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var localVariance = volSurface.LocalVariance;
var moneyness = volSurface.Moneyness;
var time = volSurface.Time;
var result = new double[dates.Length, strikes.Length];
for (int i = 0; i < dates.Length; i++)
{
var date = ObjectConverters.ConvertDate(dates[i], assetMarket.RefDate);
double t = time[date];
var denomFunc = localVariance.Denominator(t);
var denoms = strikes.Map(k =>
{
var y = moneyness.Moneyness(t, k);
return denomFunc.Eval(y);
});
ArrayUtils.SetRow(ref result, i, denoms);
}
return result;
}));
}
public static object EquityImpliedVol(object mktObj, string assetName, object maturity, double strike, double price, string optionType)
{
return(FunctionRunnerUtils.Run("EquityImpliedVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMkt = market.AssetMarketFromName(assetName);
var pricer = BlackScholesWithDividendOption.Build(assetMkt.Spot,
assetMkt.Dividends,
assetMkt.RiskFreeDiscount,
assetMkt.Time);
double q;
switch (optionType.Trim().ToLower())
{
case "call":
q = 1.0;
break;
case "put":
q = -1.0;
break;
default:
throw new Exception(string.Format("Unknow option type : {0}", optionType));
}
var matAsDate = ObjectConverters.ConvertDate(maturity, assetMkt.RefDate);
return pricer.ImpliedVol(assetMkt.Time[matAsDate], strike, price, q);
}));
}