public double GetCorrelation(string label1, string label2, double t = 0)
{
if (CorrelationMatrix == null)
{
throw new Exception("No correlation matrix attached to model");
}
return(CorrelationMatrix.GetCorrelation(label1, label2, t));
}
public void CorrelMatrixFacts()
{
var z = new CorrelationMatrix();
z = new CorrelationMatrix(new[] { "x" }, new[] { "y" }, new[] { new [] { 0.9999 } });
Assert.Throws <Exception>(() => z.GetCorrelation("x", "z"));
Assert.False(z.TryGetCorrelation("x", "z", out var c));
var zz = z.Clone();
var bumped = zz.Bump(0.5);
Assert.True(bumped.GetCorrelation("x", "y") < 1.0);
}
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);
}