public override IVolSurface RollSurface(DateTime newOrigin)
{
var newMaturities = Expiries.Where(x => x > newOrigin).ToArray();
var newVols = new double[newMaturities.Length][];
var newATMs = newMaturities.Select(m => GetForwardATMVol(newOrigin, m)).ToArray();
var newRRs = new double[newMaturities.Length][];
var newBFs = new double[newMaturities.Length][];
var numDropped = Expiries.Length - newMaturities.Length;
var newFwds = Forwards.Skip(numDropped).ToArray();
var newLabels = PillarLabels.Skip(numDropped).ToArray();
for (var i = 0; i < newMaturities.Length; i++)
{
newRRs[i] = Riskies[i + numDropped];
newBFs[i] = Flies[i + numDropped];
}
return(new RiskyFlySurface(newOrigin, newATMs, newMaturities, WingDeltas, newRRs, newBFs, newFwds, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, newLabels)
{
AssetId = AssetId,
Currency = Currency,
Name = Name,
});
}
public override IVolSurface RollSurface(DateTime newOrigin)
{
//_suppressVarianceErrors = true;
var newMaturities = Expiries.Where(x => x > newOrigin).ToArray();
var newVols = new double[newMaturities.Length][];
var newATMs = newMaturities.Select(m => GetForwardATMVol(newOrigin, m)).ToArray();
//var newATMs = new double[newMaturities.Length];
var newRRs = new double[newMaturities.Length][];
var newBFs = new double[newMaturities.Length][];
var numDropped = Expiries.Length - newMaturities.Length;
var newFwds = Forwards.Skip(numDropped).ToArray();
var newLabels = PillarLabels.Skip(numDropped).ToArray();
for (var i = 0; i < newMaturities.Length; i++)
{
newRRs[i] = Riskies[i + numDropped];
newBFs[i] = Flies[i + numDropped];
//newATMs[i] = GetVolForDeltaStrike(0.5, newMaturities[i], newFwds[i]);
}
if (newATMs.Length == 0)
{
return new ConstantVolSurface(OriginDate, 0.32)
{
Name = Name,
AssetId = AssetId,
Currency = Currency,
}
}
;
return(new RiskyFlySurface(newOrigin, newATMs, newMaturities, WingDeltas, newRRs, newBFs, newFwds, WingQuoteType, AtmVolType, StrikeInterpolatorType, TimeInterpolatorType, newLabels)
{
AssetId = AssetId,
Currency = Currency,
Name = Name,
});
}
