public void Finish(IFeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//drifts and vols...
_drifts = new double[_timesteps.TimeStepCount];
_vols = new double[_timesteps.TimeStepCount];
var prevSpot = _forwardCurve(0);
for (var t = 1; t < _drifts.Length; t++)
{
var atmVol = _surface.GetForwardATMVol(0, _timesteps.Times[t]);
var fxAtmVol = _adjSurface == null ? 0.0 : _adjSurface.GetForwardATMVol(0, _timesteps.Times[t]);
var driftAdj = _adjSurface == null ? 1.0 : Exp(atmVol * fxAtmVol * _timesteps.Times[t] * _correlation);
var spot = _forwardCurve(_timesteps.Times[t]) * driftAdj;
var varStart = Pow(_surface.GetForwardATMVol(0, _timesteps.Times[t - 1]), 2) * _timesteps.Times[t - 1];
var varEnd = Pow(atmVol, 2) * _timesteps.Times[t];
var fwdVariance = Max(0, varEnd - varStart);
_vols[t] = Sqrt(fwdVariance / _timesteps.TimeSteps[t]);
_drifts[t] = Log(spot / prevSpot) / _timesteps.TimeSteps[t];
prevSpot = spot;
}
_isComplete = true;
}
public void Finish(FeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//drifts and vols...
_drifts = new double[_timesteps.TimeStepCount];
_vols = new double[_timesteps.TimeStepCount];
var prevSpot = _forwardCurve(0);
for (var t = 1; t < _drifts.Length; t++)
{
var spot = _forwardCurve(_timesteps.Times[t]);
var varStart = System.Math.Pow(_surface.GetForwardATMVol(0, _timesteps.Times[t - 1]), 2) * _timesteps.Times[t - 1];
var varEnd = System.Math.Pow(_surface.GetForwardATMVol(0, _timesteps.Times[t]), 2) * _timesteps.Times[t];
var fwdVariance = (varEnd - varStart);
_vols[t] = System.Math.Sqrt(fwdVariance / _timesteps.TimeSteps[t]);
_drifts[t] = System.Math.Log(spot / prevSpot) / _timesteps.TimeSteps[t];
prevSpot = spot;
}
_isComplete = true;
}
public void Finish(IFeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//drifts and vols...
_drifts = new Vector <double> [_timesteps.TimeStepCount];
_lvInterps = new IInterpolator1D[_timesteps.TimeStepCount - 1];
var strikes = new double[_timesteps.TimeStepCount][];
var atmVols = new double[_timesteps.TimeStepCount];
for (var t = 0; t < strikes.Length; t++)
{
var fwd = _forwardCurve(_timesteps.Times[t]);
atmVols[t] = _surface.GetVolForDeltaStrike(0.5, _timesteps.Times[t], fwd);
if (_timesteps.Times[t] == 0)
{
strikes[t] = new double[] { fwd };
continue;
}
else
{
var nStrikes = 200;
var strikeStep = 1.0 / nStrikes;
strikes[t] = new double[nStrikes];
for (var k = 0; k < strikes[t].Length; k++)
{
var deltaK = -(strikeStep + strikeStep * k);
strikes[t][k] = Options.BlackFunctions.AbsoluteStrikefromDeltaKAnalytic(fwd, deltaK, 0, _timesteps.Times[t], atmVols[t]);
}
}
}
var lvSurface = Options.LocalVol.ComputeLocalVarianceOnGridFromCalls(_surface, strikes, _timesteps.Times, _forwardCurve);
for (var t = 0; t < _lvInterps.Length; t++)
{
_lvInterps[t] = InterpolatorFactory.GetInterpolator(strikes[t], lvSurface[t], t == 0 ? Interpolator1DType.DummyPoint : Interpolator1DType.LinearFlatExtrap);
}
var prevSpot = _forwardCurve(0);
for (var t = 1; t < _drifts.Length; t++)
{
var fxAtmVol = _adjSurface == null ? 0.0 : _adjSurface.GetForwardATMVol(0, _timesteps.Times[t]);
var driftAdj = _adjSurface == null ? 1.0 : Exp(atmVols[t] * fxAtmVol * _timesteps.Times[t] * _correlation);
var spot = _forwardCurve(_timesteps.Times[t]) * driftAdj;
_drifts[t] = new Vector <double>(Log(spot / prevSpot) / _timesteps.TimeSteps[t]);
prevSpot = spot;
}
_isComplete = true;
}
public void Finish(IFeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
//drifts and vols...
_drifts = new double[_timesteps.TimeStepCount];
_vols = new double[_timesteps.TimeStepCount];
_spotDrifts = new double[_timesteps.TimeStepCount];
_spotVols = new double[_timesteps.TimeStepCount];
_invCdfs = new IInterpolator1D[_timesteps.TimeStepCount];
_spot0 = _forwardCurve(0);
var prevSpot = _spot0;
for (var t = 1; t < _drifts.Length; t++)
{
var atmVol = _surface.GetForwardATMVol(0, _timesteps.Times[t]);
var fxAtmVol = _adjSurface == null ? 0.0 : _adjSurface.GetForwardATMVol(0, _timesteps.Times[t]);
var driftAdj = _adjSurface == null ? 1.0 : Exp(atmVol * fxAtmVol * _timesteps.Times[t] * _correlation);
var spot = _forwardCurve(_timesteps.Times[t]) * driftAdj;
var varStart = Pow(_surface.GetForwardATMVol(0, _timesteps.Times[t - 1]), 2) * _timesteps.Times[t - 1];
var varEnd = Pow(atmVol, 2) * _timesteps.Times[t];
var fwdVariance = Max(0, varEnd - varStart);
_vols[t] = Sqrt(fwdVariance / _timesteps.TimeSteps[t]);
_drifts[t] = Log(spot / prevSpot) / _timesteps.TimeSteps[t];
_invCdfs[t] = _surface.GenerateCDF2(500, _timesteps.Dates[t], spot, true, driftAdj);
_spotVols[t] = atmVol;
_spotDrifts[t] = Log(spot / _spot0) / _timesteps.Times[t];
prevSpot = spot;
}
_spotTimesSqrt = _timesteps.Times.Select(x => Sqrt(x)).ToArray();
_isComplete = true;
}
public void Finish(IFeatureCollection collection)
{
if (!_timesteps.IsComplete)
{
return;
}
_fwds = new double[_timesteps.TimeStepCount];
for (var t = 0; t < _fwds.Length; t++)
{
var atmVol = _surface.GetForwardATMVol(0, _timesteps.Times[t]);
var fxAtmVol = _adjSurface == null ? 0.0 : _adjSurface.GetForwardATMVol(0, _timesteps.Times[t]);
var driftAdj = _adjSurface == null ? 1.0 : Exp(atmVol * fxAtmVol * _timesteps.Times[t] * _correlation);
var spot = _forwardCurve(_timesteps.Times[t]) * driftAdj;
_fwds[t] = spot;
}
_isComplete = true;
}