public double volatility(double x)
{
switch (volatilityType_)
{
case VolatilityType.ShiftedLognormal:
return(Utils.shiftedSabrVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value, shift_.Value, approximationModel_));
case VolatilityType.Normal:
return(Utils.shiftedSabrNormalVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value, shift_.Value));
default:
return(Utils.sabrVolatility(x, forward_, t_, params_[0].Value, params_[1].Value, params_[2].Value, params_[3].Value));
}
}
protected override double volatilityImpl(double strike)
{
double vol;
if (volatilityType_ == VolatilityType.ShiftedLognormal)
{
vol = Utils.shiftedSabrVolatility(strike, forward_, exerciseTime(), alpha_, beta_, nu_, rho_, shift_);
}
else
{
vol = Utils.shiftedSabrNormalVolatility(strike, forward_, exerciseTime(), alpha_, beta_, nu_, rho_, shift_);
}
return(vol);
}
