public Matrix VolMatrix(double scalingLevel)
{
if (scalingLevel == 1.0)
{
return(VolMatrix());
}
Console.WriteLine("WARNING : DOES NOT WORK.");
throw new NotImplementedException();
int rows = Strikes().Count();
int cols = _data.Count();
int r = 0;
int c = 0;
Matrix res = new Matrix(rows, cols, 0.0);
foreach (DateTime dt in _data.Keys)
{
MarkitSmile smile = _data[dt];
foreach (double strike in smile.Strikes())
{
res[c, r] = smile[strike] * scalingLevel;
c++;
}
c = 0;
r++;
}
return(res);
}
// ACCESSING VOL MATRIX
public Matrix VolMatrix()
{
int rows = Strikes().Count();
int cols = _data.Count();
int r = 0;
int c = 0;
Matrix res = new Matrix(rows, cols, 0.0);
foreach (DateTime dt in _data.Keys)
{
MarkitSmile smile = _data[dt];
foreach (double strike in smile.Strikes())
{
res[c, r] = smile[strike];
c++;
}
c = 0;
r++;
}
return(res);
}
public Matrix VolMatrix(double scalingLevel, double smileLevel)
{
if (scalingLevel == 1.0 && smileLevel == 1.0)
{
return(VolMatrix());
}
Console.WriteLine("WARNING : DOES NOT WORK.");
throw new NotImplementedException();
int rows = Strikes().Count();
int cols = _data.Count();
int r = 0; // tenor - maturity
int c = 0; // strike - moneyness
Matrix tmp = new Matrix(rows, cols, 0.0);
//Matrix res = new Matrix(rows, cols, 0.0);
foreach (DateTime dt in _data.Keys)
{
MarkitSmile smile = _data[dt];
double smileATM = smile.data[1.0];
foreach (double strike in smile.Strikes())
{
double atm_vol = smile[strike] * scalingLevel;
double smile_excess = (smile[strike] - smileATM);
tmp[c, r] = scalingLevel * (smile[strike] + smileLevel * (smile[strike] - smileATM));
c++;
}
c = 0;
r++;
}
return(tmp);
}