public IVolSurface GetVolSurface(string name, Currency currency = null)
{
if (IsFx(name))
{
return(FundingModel.GetVolSurface(name));
}
if (currency != null)
{
if (!_assetVols.TryGetValue(new VolSurfaceKey(name, currency), out var surface))
{
throw new Exception($"Vol surface {name}/{currency} not found");
}
return(surface);
}
var surfaces = _assetVols.Where(x => name.Contains("~") ? x.Key.ToString() == name : x.Key.AssetId == name);
if (!surfaces.Any())
{
throw new Exception($"Vol surface {name} not found");
}
return(surfaces.First().Value);
}
public double GetCompositeVolForStrikeAndDate(string assetId, DateTime expiry, double strike, Currency ccy)
{
var curve = GetPriceCurve(assetId);
var fxId = $"{curve.Currency.Ccy}/{ccy.Ccy}";
var fxPair = FundingModel.FxMatrix.GetFxPair(fxId);
var fxSpotDate = fxPair.SpotDate(expiry);
var fxFwd = FundingModel.GetFxRate(fxSpotDate, fxId);
var fxVol = FundingModel.GetVolSurface(fxId).GetVolForDeltaStrike(0.5, expiry, fxFwd);
var tExpC = BuildDate.CalculateYearFraction(expiry, DayCountBasis.Act365F);
var correl = CorrelationMatrix.GetCorrelation(fxId, assetId, tExpC);
var sigma = GetVolForStrikeAndDate(assetId, expiry, strike / fxFwd);
sigma = System.Math.Sqrt(sigma * sigma + fxVol * fxVol + 2 * correl * fxVol * sigma);
return(sigma);
}