/// <summary>
/// Gets the AT mforward.
/// </summary>
/// <param name="zeroDates"></param>
/// <param name="zeroRates">The zero curve.</param>
/// <param name="divDates"></param>
/// <param name="divAms">The div curve.</param>
/// <param name="expiry"></param>
/// <param name="spot">The spot.</param>
/// <param name="today"></param>
/// <returns></returns>
public static double GetForward(DateTime today, DateTime expiry, double spot, DateTime[] zeroDates, double[] zeroRates, DateTime[] divDates, double[] divAms)
{
var wrapper = new Wrapper();
ZeroCurve myZero = wrapper.UnpackZero(today, zeroDates, zeroRates);
DivList myDiv = wrapper.UnpackDiv(today, expiry, divDates, divAms);
double t = expiry.Subtract(today).Days / 365.0;
double temp = Collar.GetATMfwd(myZero, myDiv, spot, t);
return(temp);
}
/// <summary>
///
/// </summary>
/// <param name="spot"></param>
/// <param name="strike"></param>
/// <param name="vol"></param>
/// <param name="paystyle"></param>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="zeroDates"></param>
/// <param name="zeroRates"></param>
/// <param name="q"></param>
/// <returns></returns>
public static double BlackScholesPricerContDiv(double spot, double strike, double vol, string paystyle, DateTime today, DateTime expiry,
DateTime[] zeroDates, double[] zeroRates, double q)
{
double t = expiry.Subtract(today).Days / 365.0;
ZeroCurve myZero = (new Wrapper()).UnpackZero(today, zeroDates, zeroRates);
double fwd = Collar.GetATMfwd(myZero, q, spot, t);
double r = myZero.LinInterp(t);
//create default pricer
var myPrice = new Pricer {
Strike = strike, Payoff = paystyle
};
double pr = myPrice.BSprice(fwd, t, strike, r, vol, paystyle);
return(pr);
}
