public virtual IVolSurface BumpMaturityStrikePoint(int indexMaturity, int indexStrike, double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
//newMatrix[indexStrike, indexMaturity] += volChange; // note axis1 and 2 are corresponding to matrix dimension 2 and 1 respectively.
newMatrix[indexMaturity, indexStrike] += volChange;
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}
public virtual IVolSurface BumpMaturitySlice(int index, double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
for (var i = 0; i < ColGrid.Length; i++)
{
//newMatrix[i, index] += volChange; // note axis1 and 2 are corresponding to matrix dimension 2 and 1 respectively.
newMatrix[index, i] += volChange;
}
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}
public virtual IVolSurface BumpVolSurf(double volChange)
{
var newMatrix = ValueOnGrids.Clone() as double[, ];
for (var i = 0; i < RowGrid.Length; ++i)
{
for (var j = 0; j < ColGrid.Length; ++j)
{
newMatrix[i, j] += volChange;
}
}
return(new ImpliedVolSurface(_valuationDate, RowGrid, ColGrid, newMatrix, _interp, dcConvention: _dcConvention, volSurfaceType: _surfType));
}