Fix up

cetusfinance · Sep 18, 2024 · d002b19 · d002b19
1 parent 19c3b56
commit d002b19
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Showing 2 changed files with 19 additions and 12 deletions.
diff --git a/src/Qwack.Math/Solvers/Brent.cs b/src/Qwack.Math/Solvers/Brent.cs
@@ -1,4 +1,5 @@
 using System;
+using System.Runtime.CompilerServices;
 
 namespace Qwack.Math.Solvers
 {
@@ -10,6 +11,12 @@ namespace Qwack.Math.Solvers
 
     public static class Brent
     {
+        [MethodImpl(MethodImplOptions.NoInlining)]
+        private static void ThrowInvalidOperation(double fb)
+        {
+            throw new Exception($"Error is {fb}");
+        }
+
         public static double BrentsMethodSolve(Func<double, double> function, double lowerLimit, double upperLimit, double errorTol)
         {
             var a = lowerLimit;
@@ -79,7 +86,7 @@ public static double BrentsMethodSolve(Func<double, double> function, double low
                 { var tmp = a; a = b; b = tmp; tmp = fa; fa = fb; fb = tmp; }
                 i++;
                 if (i > 1000)
-                    throw new Exception($"Error is {fb}");
+                    ThrowInvalidOperation(fb);
             }
             return b;
         }

diff --git a/src/Qwack.Options/VolSurfaces/GridVolSurface.cs b/src/Qwack.Options/VolSurfaces/GridVolSurface.cs
@@ -20,8 +20,8 @@ namespace Qwack.Options.VolSurfaces
     public class GridVolSurface : IVolSurface, IATMVolSurface
     {
         private readonly bool _allowCaching = true;
-        private readonly ConcurrentDictionary<string, double> _absVolCache = new();
-        private readonly ConcurrentDictionary<string, double> _deltaVolCache = new();
+        //private readonly ConcurrentDictionary<string, double> _absVolCache = new();
+        //private readonly ConcurrentDictionary<string, double> _deltaVolCache = new();
         public Frequency OverrideSpotLag { get; set; }
         public string Name { get; set; }
         public DateTime OriginDate { get; set; }
@@ -85,10 +85,10 @@ public void Build(DateTime originDate, double[] strikes, DateTime[] expiries, do
 
         public double GetVolForAbsoluteStrike(double strike, double maturity, double forward)
         {
-            var key = $"{strike:f6}~{maturity:f3}~{forward:f6}";
+            /*var key = $"{strike:f6}~{maturity:f3}~{forward:f6}";
             if (_allowCaching && _absVolCache.TryGetValue(key, out var vol))
-                return vol;
-
+                return vol;*/
+            double vol;
             if (StrikeType == StrikeType.Absolute)
             {
                 var interpForStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble,
@@ -129,7 +129,7 @@ public double GetVolForAbsoluteStrike(double strike, double maturity, double for
                 vol = interpForSolvedStrike.Interpolate(maturity);
             }
 
-            if (_allowCaching) _absVolCache[key] = vol;
+            //if (_allowCaching) _absVolCache[key] = vol;
             return vol;
         }
 
@@ -148,10 +148,10 @@ public double GetVolForDeltaStrike(double deltaStrike, double maturity, double f
             if (deltaStrike is > 1.0 or < (-1.0))
                 throw new ArgumentOutOfRangeException($"Delta strike must be in range -1.0 < x < 1.0 - value was {deltaStrike}");
 
-            var key = $"{deltaStrike:f6}~{maturity:f3}~{forward:f6}";
-            if (_allowCaching && _deltaVolCache.TryGetValue(key, out var vol))
-                return vol;
-
+            //var key = $"{deltaStrike:f6}~{maturity:f3}~{forward:f6}";
+            //if (_allowCaching && _deltaVolCache.TryGetValue(key, out var vol))
+             //   return vol;
+             double vol;
             if (StrikeType == StrikeType.ForwardDelta)
             {
                 var interpForStrike = InterpolatorFactory.GetInterpolator(ExpiriesDouble,
@@ -180,7 +180,7 @@ public double GetVolForDeltaStrike(double deltaStrike, double maturity, double f
                 vol = interpForSolvedStrike.Interpolate(maturity);
             }
 
-            if (_allowCaching) _deltaVolCache[key] = vol;
+            //if (_allowCaching) _deltaVolCache[key] = vol;
             return vol;
         }