/// <summary>
/// Calculate an ATM volatility given a Price Per Day (PPD) value and a swap curve
/// The curve provides forward rates for the calculation
/// </summary>
/// <returns></returns>
private static decimal CalculateCAPATMVolatility(SwapRate rates, DateTime spotDate, double tenorYearFraction, decimal ppd)
{
// Extract the forward rate
var swapRate = rates.ComputeSwapRate(spotDate, tenorYearFraction);
ppd /= 100.0m;
// Calculate the volatility from the parameters
var atmVolatility = ppd * (decimal)System.Math.Sqrt(250.0) / swapRate;
return(atmVolatility);
}
/// <summary>
/// Calculate an ATM volatility given a Price Per Day (PPD) value and a swap curve
/// The curve provides forward rates for the calculation
/// </summary>
private static decimal CalculateAtmVolatility(SwapRate rate, DateTime baseDate, SwaptionPPDGrid grid, double expiryYearFraction, double tenorYearFraction)
{
// Extract the forward rate
var swapRate = rate.ComputeSwapRate(baseDate, tenorYearFraction);
swapRate = swapRate * 100;
// Extract the correct ppd from the grid (compensate for the swap rate being * 100)
var ppd = grid.GetPPD(expiryYearFraction, tenorYearFraction) * 0.01m;
// Calculate the volatility from the parameters
var atmVolatility = (ppd * (decimal)System.Math.Sqrt(250.0)) / swapRate;
return(atmVolatility);
}