public Dictionary <string, IVolSurface> GetATMVegaScenarios(double bumpSize, DateTime?LastSensitivityDate)
{
var o = new Dictionary <string, IVolSurface>();
var lastBumpIx = Expiries.Length;
if (LastSensitivityDate.HasValue)
{
var ix = Array.BinarySearch(Expiries, LastSensitivityDate.Value);
ix = (ix < 0) ? ~ix : ix;
ix += 2;
lastBumpIx = Min(ix, lastBumpIx); //cap at last pillar
}
for (var i = 0; i < lastBumpIx; i++)
{
var volsBumped = (double[][])Volatilities.Clone();
volsBumped[i] = volsBumped[i].Select(x => x + bumpSize).ToArray();
o.Add(PillarLabels[i],
new GridVolSurface(OriginDate, Strikes, Expiries, volsBumped, StrikeType, StrikeInterpolatorType, TimeInterpolatorType, TimeBasis, PillarLabels)
{
Currency = Currency,
AssetId = AssetId
});
}
return(o);
}
public VolatilitiesTests()
{
objectToTest = new Volatilities(FakeDataBase);
}
