public static object LocalVolSurface(object mktObj, object[] dates, double[] strikes, string assetName)
{
return(FunctionRunnerUtils.Run("LocalVolSurface", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
AssetMarket assetMarket = market.AssetMarketFromName(assetName);
VolatilitySurface volSurface = assetMarket.VolSurface();
var maturities = ObjectConverters.ConvertDateArray(dates, assetMarket.RefDate);
return ArrayUtils.CartesianProd(maturities, strikes, volSurface.LocalVol);
}));
}
public static object Bergomi2FAtmfSkewApprox(object mktObj, object[,] modelBag, object[] maturities)
{
return(FunctionRunnerUtils.Run("Bergomi2FAtmfSkewApprox", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
ICalibrationDescription b2FCalibDesc = Bergomi2FModelFactoryFromBag.Instance.Build(modelBag);
IModelDescription b2FDesc = ModelCalibration.Instance.Calibrate(b2FCalibDesc, market);
var b2Fmodel = (Bergomi2FModel)ModelFactory.Instance.Build(b2FDesc, market);
var mats = b2Fmodel.Time[ObjectConverters.ConvertDateArray(maturities, market.RefDate)];
var skews = Bergomi2FUtils.AtmfSkewApprox(b2Fmodel, mats);
return skews.AsColumn();
}));
}
public static object Bergomi2FVolOfVol(object mktObj, object[,] modelBag, object[] starts, object[] ends)
{
return(FunctionRunnerUtils.Run("Bergomi2FVolOfVol", () =>
{
Market market = MarketManager.Instance.GetMarket(mktObj);
ICalibrationDescription b2FCalibDesc = Bergomi2FModelFactoryFromBag.Instance.Build(modelBag);
IModelDescription b2FDesc = ModelCalibration.Instance.Calibrate(b2FCalibDesc, market);
var b2Fmodel = (Bergomi2FModel)ModelFactory.Instance.Build(b2FDesc, market);
var startDates = b2Fmodel.Time[ObjectConverters.ConvertDateArray(starts, market.RefDate)];
var endDates = b2Fmodel.Time[ObjectConverters.ConvertDateArray(ends, market.RefDate)];
if (startDates.Length != endDates.Length)
{
throw new ArgumentException("Incompatible size between starts and ends");
}
return Bergomi2FUtils.FwdVolInstantVol(b2Fmodel, startDates, endDates).AsColumn();
}));
}