public void WorksWIthBackwardsStrikes()
{
//flat surface
var origin = new DateTime(2017, 02, 07);
var atms = new double[] { 0.3, 0.32, 0.34 };
var fwds = new double[] { 100, 102, 110 };
var maturities = new DateTime[] { new DateTime(2017, 04, 06), new DateTime(2017, 06, 07), new DateTime(2017, 08, 07) };
var wingDeltas = new[] { 0.1, 0.25 };
var riskies = new[] { new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 }, new[] { 0.025, 0.015 } };
var flies = new[] { new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 }, new[] { 0.0025, 0.0015 } };
var surface = new Qwack.Options.VolSurfaces.RiskyFlySurface(
origin, atms, maturities, wingDeltas, riskies, flies, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
var wingDeltas2 = new[] { 0.25, 0.1 };
var riskies2 = new[] { new[] { 0.015, 0.025 }, new[] { 0.015, 0.025 }, new[] { 0.015, 0.025 } };
var flies2 = new[] { new[] { 0.0015, 0.0025 }, new[] { 0.0015, 0.0025 }, new[] { 0.0015, 0.0025 } };
var surface2 = new Qwack.Options.VolSurfaces.RiskyFlySurface(
origin, atms, maturities, wingDeltas2, riskies2, flies2, fwds, WingQuoteType.Simple,
AtmVolType.ZeroDeltaStraddle, Interpolator1DType.Linear,
Interpolator1DType.LinearInVariance);
Assert.Equal(surface.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]), surface2.GetVolForDeltaStrike(0.5, maturities[1], fwds[1]));
Assert.Equal(surface.GetVolForDeltaStrike(0.2, maturities[0], fwds[0]), surface2.GetVolForDeltaStrike(0.2, maturities[0], fwds[0]));
Assert.Equal(surface.GetVolForDeltaStrike(0.1, maturities[2], fwds[2]), surface2.GetVolForDeltaStrike(0.1, maturities[2], fwds[2]));
}
public static IVolSurface GenerateCompositeSurface(this IAssetFxModel model, string AssetId, string FxPair, int numSamples, double correlation, bool newMethod = false)
{
var inSurface = model.GetVolSurface(AssetId);
var inFxSurface = model.FundingModel.GetVolSurface(FxPair);
var priceCurve = model.GetPriceCurve(AssetId);
var fxPair = model.FundingModel.FxMatrix.GetFxPair(FxPair);
var compoInterpolators = new Dictionary <DateTime, IInterpolator1D>();
var fwds = new Dictionary <DateTime, double>();
var locker = new object();
ParallelUtils.Instance.Foreach(inSurface.Expiries, expiry =>
{
var assetFwd = priceCurve.GetPriceForFixingDate(expiry);
var fxFwd = model.FundingModel.GetFxRate(fxPair.SpotDate(expiry), FxPair);
var compoSmile = newMethod ?
GenerateCompositeSmile(inSurface, inFxSurface, numSamples, expiry, assetFwd, fxFwd, correlation, true) :
GenerateCompositeSmileBasic(inSurface, inFxSurface, numSamples, expiry, assetFwd, fxFwd, correlation, true);
lock (locker)
{
compoInterpolators.Add(expiry, compoSmile);
fwds.Add(expiry, assetFwd * fxFwd);
}
}).Wait();
var ATMs = compoInterpolators.OrderBy(x => x.Key).Select(x => x.Value.Interpolate(0.5)).ToArray();
var wingDeltas = new[] { 0.25, 0.1 };
var riskies = compoInterpolators.OrderBy(x => x.Key).Select(x => wingDeltas.Select(w => x.Value.Interpolate(1 - w) - x.Value.Interpolate(w)).ToArray()).ToArray();
var flies = compoInterpolators.OrderBy(x => x.Key).Select(x => wingDeltas.Select(w => (x.Value.Interpolate(1 - w) + x.Value.Interpolate(w)) / 2.0 - x.Value.Interpolate(0.5)).ToArray()).ToArray();
var outSurface = new RiskyFlySurface(model.BuildDate, ATMs, inSurface.Expiries, wingDeltas, riskies, flies, fwds.OrderBy(x => x.Key).Select(x => x.Value).ToArray(), WingQuoteType.Simple, AtmVolType.ZeroDeltaStraddle, Interpolator1DType.GaussianKernel, Interpolator1DType.LinearInVariance);
return(outSurface);
}
