public static double tradeVolLinearInterp(Date valuationDate, double tradeOpenVol, double tradeCloseVol, Date startDate, Date maturityDate,
int numOfSmoothingDays, DayCountMode dayCountMode, ICalendar calendar)
{
Date smoothingEndDate;
double T, t;
switch (dayCountMode)
{
case DayCountMode.CalendarDay:
smoothingEndDate = startDate.AddDays(numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
T = smoothingEndDate - startDate;
t = valuationDate - startDate;
break;
default:
smoothingEndDate = calendar.AddBizDays(startDate, numOfSmoothingDays);
if (smoothingEndDate > maturityDate)
{
smoothingEndDate = maturityDate;
}
Date valuationTradingDate = calendar.IsBizDay(valuationDate) ? valuationDate : calendar.PrevBizDay(valuationDate);
T = calendar.BizDaysBetweenDatesExcluStartDay(startDate, smoothingEndDate).Count;
t = calendar.BizDaysBetweenDatesExcluStartDay(startDate, valuationTradingDate).Count;
break;
}
if (valuationDate >= smoothingEndDate)
{
return(tradeCloseVol);
}
if (valuationDate < smoothingEndDate & valuationDate >= startDate)
{
double slope = (tradeCloseVol - tradeOpenVol) / T;
return(tradeOpenVol + slope * t);
}
else
{
throw new PricingBaseException("AnalyticalOptionTradeVolInterp error: valuationDate < startDate");
}
}
