public double GetCompositeVolForStrikeAndDate(string assetId, DateTime expiry, double strike, Currency ccy)
{
var curve = GetPriceCurve(assetId);
if (curve.Currency == ccy)
{
return(GetVolForStrikeAndDate(assetId, expiry, strike));
}
var fxId = $"{curve.Currency.Ccy}/{ccy.Ccy}";
var fxPair = FundingModel.FxMatrix.GetFxPair(fxId);
var fxSpotDate = fxPair.SpotDate(expiry);
var fxFwd = FundingModel.GetFxRate(fxSpotDate, fxId);
var fxVol = FundingModel.GetVolSurface(fxId).GetVolForDeltaStrike(0.5, expiry, fxFwd);
var tExpC = BuildDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var correl = CorrelationMatrix?.GetCorrelation(fxId, assetId, tExpC) ?? 0.0;
var sigma = GetVolForStrikeAndDate(assetId, expiry, strike / fxFwd);
sigma = System.Math.Sqrt(sigma * sigma + fxVol * fxVol + 2 * correl * fxVol * sigma);
return(sigma);
}
public IAssetFxModel Clone()
{
var c = new AssetFxModel(BuildDate, FundingModel.DeepClone(null));
foreach (var kv in _assetCurves)
{
c.AddPriceCurve(kv.Key, kv.Value);
}
foreach (var kv in _assetVols)
{
c.AddVolSurface(kv.Key, kv.Value);
}
foreach (var kv in _fixings)
{
c.AddFixingDictionary(kv.Key, kv.Value);
}
c.CorrelationMatrix = CorrelationMatrix;
c.AttachPortfolio(_portfolio);
return(c);
}
public IPriceCurve GetPriceCurve(string name, Currency currency = null)
{
if (IsFx(name))
{
return(new FxForwardCurve(BuildDate, FundingModel, FundingModel.GetCurrency(name.Substring(0, 3)), FundingModel.GetCurrency(name.Substring(4, 3))));
}
if (!_assetCurves.TryGetValue(name, out var curve))
{
throw new Exception($"Curve with name {name} not found");
}
if (currency != null && curve.Currency != currency)
{
return(new CompositePriceCurve(curve.BuildDate, curve, FundingModel, currency));
}
return(curve);
}