public void TestConstructor()
{
// Check that a mismatch in the sizes of the array data is detected.
_xArray = new double[2];
_xArray[0] = 274d;
_xArray[1] = 365d;
_yArray = new double[3];
_yArray[0] = 9.29d / 100.0d;
_yArray[1] = 9.46d / 100.0d;
_yArray[2] = 10.34d / 100.0d;
try
{
_interpObj =
new CubicHermiteSplineInterpolation();
_interpObj.Initialize(_xArray, _yArray);
}
catch (System.Exception e)
{
const string errorMessage =
"Cubic Hermite Spline interpolation needs equal length arrays";
Assert.AreEqual(errorMessage, e.Message);
}
// Check that the minimum array sizes is detected.
_xArray = new double[1];
_yArray = new double[1];
try
{
_interpObj =
new CubicHermiteSplineInterpolation();
_interpObj.Initialize(_xArray, _yArray);
}
catch (System.Exception e)
{
const string errorMessage =
"Cubic Hermite Spline interpolation needs at least two (x,y)";
Assert.AreEqual(errorMessage, e.Message);
}
// Check that unsorted x array is detected.
_xArray = new double[2];
_yArray = new double[2];
try
{
_interpObj =
new CubicHermiteSplineInterpolation();
_interpObj.Initialize(_xArray, _yArray);
}
catch (System.Exception e)
{
const string errorMessage =
"Cubic Hermite Spline interpolation needs sorted x values";
Assert.AreEqual(errorMessage, e.Message);
}
}
/// <summary>
/// Helper function used to initialise the private fields.
/// </summary>
/// <param name="volatilityCurve">The Bootstrap engine
/// that contains the results of the bootstrap.</param>
/// <param name="expiryInterpolationType">Type of the expiry
/// interpolation.
/// Example: Linear interpolation.</param>
private void InitialisePrivateFields
(VolatilityCurve volatilityCurve,
ExpiryInterpolationType expiryInterpolationType)
{
// Initialise the Calculation Date.
_calculationDate =
volatilityCurve.GetBaseDate();
// Set the x and y arrays for the one dimensional interpolation.
var results
= volatilityCurve.BootstrapResults.Results;
IDayCounter dayCountObj = Actual365.Instance;
var tempXArray = new List <double>();
var tempYArray = new List <double>();
var count = 1;
foreach (var expiry in results.Keys)
{
var timeToExpiry = dayCountObj.YearFraction
(_calculationDate, expiry);
tempXArray.Add(timeToExpiry);
tempYArray.Add(decimal.ToDouble(results[expiry]));
// Record the first and last time to expiry and available
// bootstrap Caplet volatility.
if (count == 1)
{
_firstExpiry = (decimal)timeToExpiry;
_firstVolatility = results[expiry];
}
_lastVolatility = results[expiry];
_lastExpiry = (decimal)timeToExpiry;
++count;
}
double[] xArray = tempXArray.ToArray();
double[] yArray = tempYArray.ToArray();
// Initialise the one dimensional interpolation object.
switch (expiryInterpolationType)
{
case ExpiryInterpolationType.CubicHermiteSpline:
_expiryInterpolationObj =
new CubicHermiteSplineInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
default: // Linear interpolation
_expiryInterpolationObj = new LinearInterpolation();
_expiryInterpolationObj.Initialize(xArray, yArray);
break;
}
}
/// <summary>
/// Compute an interpolated value from a set of known (x,y) values by Cubic Hermite Spline interpolation.
/// Extrapolation is NOT available.
/// </summary>
/// <param name="xArray">Array (row/column) of x-values.</param>
/// <param name="yArray">Array (row/column) of y-values.</param>
/// <param name="target">Value at which to compute the interpolation.</param>
/// <returns></returns>
public double CubicHermiteSplineInterpolate(double[] xArray, double[] yArray, double target)
{
if (xArray == null)
{
return(0);
}
if (yArray == null)
{
return(0);
}
var chsi = new CubicHermiteSplineInterpolation();
chsi.Initialize(xArray, yArray);//CubicSplineInterpolation.InterpolateAkima(xArray, yArray);
return(chsi.ValueAt(target, true));
}
public void Initialisation()
{
_xArray = new[] { 274d, 365d, 732d, 1097d, 1462d, 1828d,
2556d, 3654d, 5480d };
_yArray = new[] { 9.28622644581371d / 100d,
9.45686973002003d / 100d, 10.3375d / 100d, 10.7525d / 100d,
10.8400d / 100d, 10.9325d / 100d, 10.9450d / 100d,
10.9900d / 100d, 11.0000d / 100d };
_x2Array = new decimal[] { 274, 365, 732, 1097, 1462, 1828,
2556, 3654, 5480 };
_y2Array = new[] { 9.28622644581371m / 100m,
9.45686973002003m / 100m, 10.3375m / 100m, 10.7525m / 100m,
10.8400m / 100m, 10.9325m / 100m, 10.9450m / 100m,
10.9900m / 100m, 11.0000m / 100m };
// Instantiate an instance of the class.
_interpObj = new CubicHermiteSplineInterpolation();
_interpObj.Initialize(_x2Array, _y2Array);
Assert.IsNotNull(_interpObj);
_target = 400d;
_tolerance = 1.0E-5d;
}