private static TenorRawOptionData rawData(double[][][] dataArray)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(dataArray[looptenor]);
raw[TENORS.get(looptenor)] = RawOptionData.of(EXPIRIES, MONEYNESS, SIMPLE_MONEYNESS, matrix, NORMAL_VOLATILITY);
}
return(TenorRawOptionData.of(raw));
}
/// <summary>
/// Create a <seealso cref="RawOptionData"/> object for calibration from data.
/// </summary>
/// <param name="tenors"> the list of tenors </param>
/// <param name="expiries"> the list of expiries </param>
/// <param name="strikeLikeType"> the type of the strike-like dimension </param>
/// <param name="strikeLikeData"> the data related to the strike-like dimension </param>
/// <param name="dataType"> the type of the data </param>
/// <param name="dataArray"> the array with the raw data, including potential Double.NaN for missing data. </param>
/// <returns> the raw option data object </returns>
public static TenorRawOptionData rawData(IList <Tenor> tenors, IList <Period> expiries, ValueType strikeLikeType, DoubleArray strikeLikeData, ValueType dataType, double[][][] dataArray)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(dataArray[looptenor]);
raw[tenors[looptenor]] = RawOptionData.of(expiries, strikeLikeData, strikeLikeType, matrix, dataType);
}
return(TenorRawOptionData.of(raw));
}
/// <summary>
/// Create a <seealso cref="RawOptionData"/> object for calibration from data and shift one point.
/// </summary>
/// <param name="tenors"> the list of tenors </param>
/// <param name="expiries"> the list of expiries </param>
/// <param name="strikeLikeType"> the type of the strike-like dimension </param>
/// <param name="strikeLikeData"> the data related to the strike-like dimension </param>
/// <param name="dataType"> the type of the data </param>
/// <param name="dataArray"> the array with the raw data, including potential Double.NaN for missing data. </param>
/// <param name="i"> the index of the tenor to shift </param>
/// <param name="j"> the index of the expiry to shift </param>
/// <param name="k"> the index of the strike-like dimension to shift </param>
/// <param name="shift"> the size of the shift </param>
/// <returns> the raw option data object </returns>
public static TenorRawOptionData rawDataShiftPoint(IList <Tenor> tenors, IList <Period> expiries, ValueType strikeLikeType, DoubleArray strikeLikeData, ValueType dataType, double[][][] dataArray, int i, int j, int k, double shift)
{
IDictionary <Tenor, RawOptionData> raw = new SortedDictionary <Tenor, RawOptionData>();
for (int looptenor = 0; looptenor < dataArray.Length; looptenor++)
{
double[][] shiftedData = java.util.dataArray[looptenor].Select(row => row.clone()).ToArray(l => new double[l][]); // deep copy of 2d array
if (looptenor == i)
{
shiftedData[j][k] += shift;
}
DoubleMatrix matrix = DoubleMatrix.ofUnsafe(shiftedData);
raw[tenors[looptenor]] = RawOptionData.of(expiries, strikeLikeData, strikeLikeType, matrix, dataType);
}
return(TenorRawOptionData.of(raw));
}