38 lines
981 B
C#
38 lines
981 B
C#
using YLErp.Models;
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namespace YLErp.QdpModule
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{
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/// <summary>
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/// 波动率曲面关联性
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/// </summary>
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public class VolSurfaceCorrelation : VolSurfaceVectorBase
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{
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/// <summary>
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/// 关联性二维数组
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/// </summary>
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public double[,] corrs { get; set; }
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public static VolSurfaceCorrelation Create(IEnumerable<SingleVol> volTable, double correlation)
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{
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InnerParse(volTable, out var expires, out var strikes);
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var corrs = new double[expires.Length, strikes.Length];
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for (int i = 0; i < expires.Length; i++)
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{
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for (int j = 0; j < strikes.Length; j++)
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{
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corrs[i, j] = correlation;
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}
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}
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return new VolSurfaceCorrelation
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{
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strikes = strikes,
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expires = expires,
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corrs = corrs
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};
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}
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}
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}
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