/// <summary>
/// Generate an array of PricingStructurePoint from a set of input arrays
/// The array can then be added to the Matrix
/// </summary>
/// <param name="expiry">Expiry values to use</param>
/// <param name="tenors">Tenor values to use</param>
/// <param name="volatility">An array of volatility values</param>
/// <param name="underlyingAssetReference">The underlying asset references.</param>
/// <returns></returns>
private PricingStructurePoint[] ProcessRawSurface(String[] expiry, String[] tenors, double[,] volatility, AssetReference underlyingAssetReference)
{
var expiryLength = expiry.Length;
var tenorsLength = tenors.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength * tenorsLength];
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
// extract the current expiry
var expiryKeyPart = expiry[expiryIndex];
for (var strikeIndex = 0; strikeIndex < tenorsLength; strikeIndex++)
{
// Extract the strike to use in the helper key
var tenorKeyPart = tenors[strikeIndex];
// Extract the row,column indexed volatility
var vol = (decimal)volatility[expiryIndex, strikeIndex];
var key = new ExpiryTenorStrikeKey(expiryKeyPart, tenorKeyPart);
_matrixIndexHelper.Add(key, pointIndex);
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiry[expiryIndex], tenors[strikeIndex], null, "ATMSurface");
var pt = new PricingStructurePoint {
value = vol,
valueSpecified = true,
coordinate = coordinates,
underlyingAssetReference = underlyingAssetReference
};
points[pointIndex++] = pt;
}
}
return(points);
}
/// <summary>
/// Generate an array of PricingStructurePoint from a set of input arrays
/// The array can then be added to the Matrix
/// </summary>
/// <param name="expiry">Expiry values to use</param>
/// <param name="strike">Strike values to use</param>
/// <param name="volatility">An array of volatility values</param>
/// <returns></returns>
private static PricingStructurePoint[] ProcessRawSurface(String[] expiry, Double[] strike, double[,] volatility)
{
var expiryLength = expiry.Length;
var strikeLength = strike.Length;
var pointIndex = 0;
var points = new PricingStructurePoint[expiryLength * strikeLength];
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
for (var strikeIndex = 0; strikeIndex < strikeLength; strikeIndex++)
{
// Extract the row,column indexed volatility
var vol = (decimal)volatility[expiryIndex, strikeIndex];
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiry[expiryIndex], null, (Decimal)strike[strikeIndex]);
var pt = new PricingStructurePoint {
value = vol, valueSpecified = true, coordinate = coordinates
};
points[pointIndex++] = pt;
}
}
return(points);
}
private static PricingStructurePoint[] ProcessRawSurface(string[] expiries, string[] tenors, decimal[] strikes, decimal[,] volatility, PriceQuoteUnits strikeQuoteUnits, AssetReference underlyingAssetReference)
{
var expiryLength = expiries.Length;
var strikeLength = strikes.Length;
var tenorLength = tenors.Length;
var points = new List <PricingStructurePoint>();
for (var expiryIndex = 0; expiryIndex < expiryLength; expiryIndex++)
{
for (var strikeIndex = 0; strikeIndex < strikeLength; strikeIndex++)
{
for (var tenorIndex = 0; tenorIndex < tenorLength; tenorIndex++)
{
// Extract the row,column indexed volatility
var vol = volatility[expiryIndex + tenorIndex * expiryLength, strikeIndex];
// Add the value to the points array (dataPoints entry in the matrix)
var coordinates = new PricingDataPointCoordinate[1];
coordinates[0] = PricingDataPointCoordinateFactory.Create(expiries[expiryIndex], tenors[tenorIndex],
strikes[strikeIndex]);
var point = new PricingStructurePoint
{
value = vol,
valueSpecified = true,
coordinate = coordinates,
underlyingAssetReference = underlyingAssetReference,
quoteUnits = strikeQuoteUnits
};
points.Add(point);
}
}
}
return(points.ToArray());
}