public static Curve GetXSlice(this VolatilitySurfaceData <Tenor, Tenor> surface, Tenor x)
{
return(new InterpolatedDoublesCurve(string.Format("Expiry {0}", x),
surface.Ys.Select(t => t.TimeSpan.TotalMilliseconds).ToArray(),
surface.Ys.Select(y => surface[x, y]).ToArray()
));
}
public static Curve GetYSlice(this VolatilitySurfaceData <Tenor, Tenor> surface, Tenor y)
{
var values = surface.Xs.Select(
delegate(Tenor t) {
double value;
var have = surface.TryGet(t, y, out value);
return(Tuple.Create(t.TimeSpan.TotalMilliseconds, have, value));
}).Where(t => t.Item2);
return(new InterpolatedDoublesCurve(string.Format("Swap length {0}", y),
values.Select(t => t.Item1).ToArray(),
values.Select(t => t.Item3).ToArray()
));
}
