public VarianceInterpoler(double[] maturityPillars, RrFunction[] pillarVariances)
{
Contract.Requires(maturityPillars.All(t => t > 0.0));
this.maturityPillars = maturityPillars;
this.pillarVariances = pillarVariances;
maturityStepSearcher = new StepSearcher(maturityPillars);
}
public void TestTryFindPillarIndex()
{
var pillars = new[] { 0.1, 0.5004, 0.75, 1.0, 9.99999 };
var stepSearcher = new StepSearcher(pillars);
foreach (var i in Enumerable.Range(0, pillars.Length))
{
int index;
Assert.True(stepSearcher.TryFindPillarIndex(pillars[i], out index));
Assert.AreEqual(index, i);
Assert.True(stepSearcher.TryFindPillarIndex(1.000000000000000000001 * pillars[i], out index));
Assert.False(stepSearcher.TryFindPillarIndex(0.999999999999 * pillars[i], out index));
}
int indexTest;
Assert.False(stepSearcher.TryFindPillarIndex(double.NegativeInfinity, out indexTest));
Assert.False(stepSearcher.TryFindPillarIndex(double.PositiveInfinity, out indexTest));
}
private LocalVariance(double[] maturities, RrFunction[] vs, RrFunction[] dVdYs, RrFunction[] d2Vd2Ys, RrFunction[] dVdTs)
{
Contract.Requires(maturities.All(t => t > 0.0));
this.maturities = maturities;
this.vs = vs;
this.dVdYs = dVdYs;
this.d2Vd2Ys = d2Vd2Ys;
this.dVdTs = dVdTs;
maturityStepSearcher = new StepSearcher(maturities);
pillarStepIntegrals = new RrFunction[maturities.Length - 1];
// sigma^2
// short local variance = -------------------------------------------
// (y * (dsigma^2/dy) / (2 * sigma^2) - 1)^2
var sigma2 = vs[0] / maturities[0];
shortLocalVar = 0.5 * m * sigma2.Derivative() / sigma2 - 1.0;
shortLocalVar = sigma2 / (shortLocalVar * shortLocalVar);
}
public void TestLocateLeftIndex()
{
var pillars = new[] { 0.0, 0.5, 0.7, 1.0, 10.0 };
var stepSearcher = new StepSearcher(pillars);
foreach (var i in Enumerable.Range(0, pillars.Length))
{
Assert.AreEqual(stepSearcher.LocateLeftIndex(pillars[i]), i);
if (i < pillars.Length - 1)
{
double midPoint = 0.5 * (pillars[i] + pillars[i + 1]);
Assert.AreEqual(stepSearcher.LocateLeftIndex(midPoint), i);
double nextPointMinus = pillars[i + 1] * (1.0 - DoubleUtils.MachineEpsilon);
Assert.AreEqual(stepSearcher.LocateLeftIndex(nextPointMinus), i);
}
}
Assert.AreEqual(stepSearcher.LocateLeftIndex(pillars[0] - 0.00000001), -1);
Assert.AreEqual(stepSearcher.LocateLeftIndex(pillars[pillars.Length - 1] + 0.00000001), pillars.Length - 1);
Assert.AreEqual(stepSearcher.LocateLeftIndex(double.NegativeInfinity), -1);
Assert.AreEqual(stepSearcher.LocateLeftIndex(double.PositiveInfinity), pillars.Length - 1);
}
protected Interpoler2D(StepSearcher xSearcher, StepSearcher ySearcher)
{
this.xSearcher = xSearcher;
this.ySearcher = ySearcher;
}
