/// <summary>
/// Values at, overriding calibrated Wing Model with supplied parms
/// </summary>
/// <param name="stock"></param>
/// <param name="expiry">The expiry.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="parms">The parms.</param>
/// <param name="oride"></param>
/// <param name="cache">if set to <c>true</c> [cache].</param>
/// <returns></returns>
public ForwardExpiry ValueAt(Stock stock, DateTime expiry, List <Double> strikes, OrcWingParameters parms, bool oride, bool cache)
{
var fwdExpiry = new ForwardExpiry {
ExpiryDate = expiry
};
double forward = stock.GetForward(stock.Date, expiry);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
foreach (double strike in strikes)
{
double val = OrcWingVol.Value(strike, parms);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
bool node = VolatilitySurfaceHelper.IsMatch(strike, expiry, NodalExpiries);
Strike newstrike;
if (node & oride)
{
newstrike = VolatilitySurfaceHelper.GetStrike(strike, expiry, NodalExpiries);
//new data points, derefernce fitting model
newstrike.InterpModel = null;
}
else
{
//var wingModel = new WingInterp {WingParams = parms};
newstrike = new Strike {
StrikePrice = strike, InterpModel = null
};
//newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
}
newstrike.SetVolatility(vp);
}
return(fwdExpiry);
}
/// <summary>
/// Values at.
/// </summary>
/// <param name="stock"></param>
/// <param name="expiries">The expiries.</param>
/// <param name="strikes">The strikes.</param>
/// <param name="?">Cache to vol object</param>
/// <param name="cache"></param>
/// <returns></returns>
public List <ForwardExpiry> ValueAt(Stock stock, List <DateTime> expiries, List <Double> strikes, bool cache)
{
var forwardExpiries = new List <ForwardExpiry>();
foreach (DateTime exp in expiries)
{
var fwdExpiry = new ForwardExpiry();
foreach (double str in strikes)
{
var wingModel = new WingInterp();
double forward = stock.GetForward(stock.Date, exp.Date);
double spot = Convert.ToDouble(stock.Spot);
fwdExpiry.FwdPrice = Convert.ToDecimal(forward);
double y = str;
double x = (exp.Subtract(Date)).Days / 365.0;
IPoint point = new Point2D(x, y);
InterpCurve.Forward = forward;
InterpCurve.Spot = spot;
var val = InterpCurve.Value(point);
IVolatilityPoint vp = new VolatilityPoint();
vp.SetVolatility(Convert.ToDecimal(val), VolatilityState.Default());
fwdExpiry.ExpiryDate = exp;
bool node = VolatilitySurfaceHelper.IsMatch(str, exp, NodalExpiries);
// copy model used to return ForwardExpiry object
var newstrike = new Strike {
StrikePrice = str
};
var wing = (WingModelInterpolation)InterpCurve.GetYAxisInterpolatingFunction();
//SABRModelInterpolation wing = (SABRModelInterpolation)_interpCurve.GetYAxisInterpolatingFunction();
wingModel.WingParams = wing.WingParameters;
newstrike.InterpModel = wingModel;
fwdExpiry.AddStrike(newstrike, node);
newstrike.SetVolatility(vp);
}
forwardExpiries.Add(fwdExpiry);
}
return(forwardExpiries);
}