private static double AdjustCapletImpliedVol(int expiry, double volatility, QuarterlyDiscounts discount, QuarterlyShifts shift)
{
double strike = RateAnalytics.CashForwardRate(expiry, discount);
double capletPrice = BlackModel.GetValue(expiry / 4.0, strike, strike, volatility, PayStyle.Call);
double result = BlackModel.GetImpliedVolatility(expiry / 4.0, strike + shift.Get(expiry), strike + shift.Get(expiry), capletPrice, volatility, PayStyle.Call);
return(result);
}
private static double AdjustSwaptionImpliedVol(int expiry, int tenor, double volatility, QuarterlyDiscounts discount, QuarterlyShifts shift)
{
double strike = RateAnalytics.SwapRate(expiry, tenor, discount);
double swapShift = RateAnalytics.SwapShift(expiry, tenor, discount, shift);
double swaptionPrice = BlackModel.GetValue(expiry / 4.0, strike, strike, volatility, PayStyle.Call);
double result = BlackModel.GetImpliedVolatility(expiry / 4.0, strike + swapShift, strike + swapShift, swaptionPrice, volatility, PayStyle.Call);
return(result);
}
