//public spotStar
/// <summary>
///
/// </summary>
/// <param name="myZero"></param>
/// <param name="myDivList"></param>
private void MakeDivArray(ZeroCurve myZero, DivList myDivList)
{
double dt = Tau / Gridsteps;
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < Gridsteps; idx++)
{
double temp = 0.0;
for (int kdx = 0; kdx < myDivList.Divpoints; kdx++)
{
if ((myDivList.GetT(kdx) > idx * dt) && (myDivList.GetT(kdx) < Tau))
{
temp += myDivList.GetD(kdx) * Math.Exp(-myZero.ForwardRate(idx * dt, myDivList.GetT(kdx)) *
(myDivList.GetT(kdx) - idx * dt));
}
}
SetDiv(idx, temp, dt * idx);
}
}
else //missing either div or zero, load in 0 for _div on tree
{
for (int idx = 0; idx <= Gridsteps; idx++)
{
SetDiv(idx, 0.0, dt * idx);
}
}
}
/// <summary>
///
/// </summary>
/// <param name="spotT"></param>
/// <param name="priceT"></param>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
public void MakeTheta(ITree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
var type = spotT.GetType();
ITree t1 = (ITree)Activator.CreateInstance(type);
ITree t2 = (ITree)Activator.CreateInstance(type);
t1.Tau = Tau;
t1.Gridsteps = Gridsteps;
t1.Sig = Sig;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
DivList shiftDiv = new DivList {
Divpoints = myDiv.Divpoints
};
shiftDiv.MakeArrays();
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
shiftDiv.SetD(idx, myDiv.GetD(idx), myDiv.GetT(idx) - 1 / 365.0);
}
double t = Tau - 1.00 / 365.00;
t2.Tau = t;
t2.Gridsteps = Gridsteps;
t2.Sig = Sig;
t2.Spot = Spot;
t2.MakeGrid(myZero, shiftDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
Theta = (p2 - p1);
}
/// <summary>
///
/// </summary>
/// <param name="myZero"></param>
/// <param name="myDivList"></param>
/// <param name="spot"></param>
/// <param name="t"></param>
/// <returns></returns>
public static double GetATMfwd(ZeroCurve myZero, DivList myDivList, double spot, double t)
{
double spotstar = spot;
//compute the discounted dividends and take off spot
if ((myDivList != null) && (myZero != null))
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= t)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
spotstar -= d1 * t1;
}
}
}
//gross up to expiry to get atfwd
if (myZero != null)
{
double r = myZero.LinInterp(t);
return(spotstar * Math.Exp(r * t));
}
return(0);
}
//public spotStar
private void MakeSpotStar(ZeroCurve myZero, DivList myDivList)
{
_spotstar = Spot;
if (myDivList != null && myZero != null)
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
_spotstar -= d1 * t1;
}
}
}
}
//public spotStar
private void MakeSpotZero(ZeroCurve myZero, DivList myDivList)
{
_spot0 = Spot;
_ratio = new double[myDivList.Divpoints];
if (myZero != null)
{
for (int idx = 0; idx < myDivList.Divpoints; idx++)
{
if (myDivList.GetT(idx) <= Tau)
{
double d1 = myDivList.GetD(idx);
double r1 = myZero.LinInterp(myDivList.GetT(idx));
double t1 = Math.Exp(-r1 * myDivList.GetT(idx));
_ratio[idx] = d1 * t1 / _spot0;
if (_ratio[idx] > 1)
{
throw new Exception("Dividend greater than spot");
}
_spot0 = _spot0 * (1 - _ratio[idx]);
}
}
}
}
