private VolatilitySurface(ITimeMeasure time, MoneynessProvider moneyness,
VarianceInterpoler varianceInterpoler, LocalVariance localVariance)
{
Time = time;
VarianceInterpoler = varianceInterpoler;
Moneyness = moneyness;
LocalVariance = localVariance;
}
public static VolatilitySurface BuildInterpol(VolatilityMatrix volMatrix, MoneynessProvider moneyness)
{
double[] timePillars = volMatrix.Time[volMatrix.Pillars];
var varianceSlices = EnumerableUtils.For(0, timePillars.Length, i =>
{
double t = timePillars[i];
double[] moneynessPillars = volMatrix.Strikes.Map(k => moneyness.Moneyness(t, k));
var varianceSlice = volMatrix.Vols.Row(i).Map(v => t * v * v);
return((RrFunction)SplineInterpoler.BuildCubicSpline(moneynessPillars, varianceSlice));
});
var varianceInterpol = new VarianceInterpoler(timePillars, varianceSlices);
return(new VolatilitySurface(volMatrix.Time, moneyness, varianceInterpol, varianceInterpol.BuildLocalVariance()));
}
public double Variance(double maturity, double strike)
{
var m = Moneyness.Moneyness(maturity, strike);
return(VarianceInterpoler.Eval(maturity, m));
}