public override IModel Build(BlackScholesModelDescription bs, Market market)
{
var time = ModelFactoryUtils.DefaultTime(market.RefDate);
var assetMkt = market.AssetMarketFromName(bs.Asset);
var localDividends = bs.WithDivs
? assetMkt.Dividends.Map(div => div.DivModel())
: new DiscreteLocalDividend[0];
return(new BlackScholesModel(time, assetMkt.Asset, bs.Sigma.ToStepFunction(time), localDividends));
}
public override IModel Build(Bergomi2FModelDescription b2F, Market market)
{
ITimeMeasure time = ModelFactoryUtils.DefaultTime(market.RefDate);
var assetMkt = market.AssetMarketFromName(b2F.Asset);
var localDividends = b2F.WithDivs
? assetMkt.Dividends.Map(div => div.DivModel())
: new DiscreteLocalDividend[0];
return(new Bergomi2FModel(assetMkt.Asset, localDividends, time, BuildXi(b2F.Sigma, time),
b2F.K1, b2F.K2, b2F.Theta, b2F.Nu, b2F.RhoXY, b2F.RhoSX, b2F.RhoSY));
}
public override IModel Build(Hw1ModelDescription model, Market market)
{
var time = ModelFactoryUtils.DefaultTime(market.RefDate);
return(new Hw1Model(time, model.Currency, model.MeanReversion, model.Sigma.ToStepFunction(time)));
}
