public double thetaAt(double x)
{
Utils.QL_REQUIRE(conditions_.stoppingTimes().First() > 0.0,
() => "stopping time at zero-> can't calculate theta");
calculate();
Vector thetaValues = new Vector(resultValues_.size());
thetaValues = thetaCondition_.getValues();
double temp = new MonotonicCubicNaturalSpline(
x_, x_.Count, thetaValues).value(x);
return((temp - interpolateAt(x)) / thetaCondition_.getTime());
}
protected override void performCalculations()
{
object rhs = new Vector(initialValues_.Count);
for (int i = 0; i < initialValues_.Count; i++)
{
(rhs as Vector)[i] = initialValues_[i];
}
new FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
.rollback(ref rhs, solverDesc_.maturity, 0.0,
solverDesc_.timeSteps, solverDesc_.dampingSteps);
for (int i = 0; i < initialValues_.Count; i++)
{
resultValues_[i] = (rhs as Vector)[i];
}
interpolation_ = new MonotonicCubicNaturalSpline(x_, x_.Count, resultValues_);
}
