public CapletVarianceCurve( Date referenceDate,
List<Date> dates,
List<double> capletVolCurve,
DayCounter dayCounter)
: base(referenceDate, new Calendar(), BusinessDayConvention.Following, new DayCounter())
{
blackCurve_=new BlackVarianceCurve(referenceDate, dates, capletVolCurve, dayCounter, false);
}
protected GeneralizedBlackScholesProcess GetStochasticProcess(DateTime d, MarkitSurface marketData)
{
// Spot level
Handle <Quote> spotLevel = new Handle <Quote>(new SimpleQuote(marketData.impliedSpot));
// Risk free rate (term structure)
Handle <YieldTermStructure> riskFreeTS = marketData.riskFree_FwdCrv();
// Dividend yield (term structure)
Handle <YieldTermStructure> dividendTS = marketData.dividend_FwdCrv();
// Volatility ATM Forward (term structure)
BlackVarianceCurve atmf_vol_curve = marketData.ATMF_Vol_TS(d);
Handle <BlackVolTermStructure> volatilityTS = new Handle <BlackVolTermStructure>(atmf_vol_curve);
// Return
return(new GeneralizedBlackScholesProcess(spotLevel, dividendTS, riskFreeTS, volatilityTS));
}
// ************************************
// EXTRACTING ATMF BLACK IMPL VOL CURVE
// ************************************
public BlackVarianceCurve ATMF_Vol_TS(DateTime valuationDate)
//public ZeroRateTermStructure riskFree_TS(DateTime valuationDate)
{
List <Date> dates = new List <Date>();
List <double> atmf_vols = new List <double>();
double fwd_moneyness = 1.0;
foreach (DateTime d in data.Keys)
{
// Setting date
dates.Add(d);
// Setting forward
fwd_moneyness = forward[d] / impliedSpot;
atmf_vols.Add(data[d].GetVolatility(fwd_moneyness));
}
BlackVarianceCurve crv = new BlackVarianceCurve(informationDate, dates, atmf_vols, _dayCounter, false);
return(crv);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackVarianceCurve obj)
{
return((obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr);
}
internal static global::System.Runtime.InteropServices.HandleRef getCPtr(BlackVarianceCurve obj) {
return (obj == null) ? new global::System.Runtime.InteropServices.HandleRef(null, global::System.IntPtr.Zero) : obj.swigCPtr;
}
