using YLErp.Models;

namespace YLErp.QdpModule
{
    /// <summary>
    /// 波动率曲面关联性
    /// </summary>
    public class VolSurfaceCorrelation : VolSurfaceVectorBase
    {
        /// <summary>
        /// 关联性二维数组
        /// </summary>
        public double[,] corrs { get; set; }

        public static VolSurfaceCorrelation Create(IEnumerable<SingleVol> volTable, double correlation)
        {
            InnerParse(volTable, out var expires, out var strikes);

            var corrs = new double[expires.Length, strikes.Length];

            for (int i = 0; i < expires.Length; i++)
            {
                for (int j = 0; j < strikes.Length; j++)
                {
                    corrs[i, j] = correlation;
                }
            }

            return new VolSurfaceCorrelation
            {
                strikes = strikes,
                expires = expires,
                corrs = corrs
            };
        }
    }
}