/// <summary>
/// Main ctor.
/// </summary>
/// <param name="discreteSurface">The discrete surface ie 2 dimensional.</param>
/// <param name="forwards">The forwards to be used for calibration.</param>
/// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
/// <param name="yInterpolation">The interpolation type for the y axis</param>
/// <param name="allowExtrapolation">Not implemented in EO.</param>
protected ExtendedInterpolatedSurface(DiscreteSurface discreteSurface, ParametricAdjustmentPoint[] forwards, IInterpolation xInterpolation,
IInterpolation yInterpolation, bool allowExtrapolation)
: base(discreteSurface, xInterpolation, yInterpolation, allowExtrapolation)
{
var values = discreteSurface.GetMatrixOfValues();
var x = discreteSurface.XArray;
var width = values.ColumnCount;
if (forwards != null)
{
SpotValue = (double)forwards[0].parameterValue;
var length = forwards.Length;
var fwds = new double[length - 1];
for (var index = 1; index < length; index++)
{
fwds[index - 1] = (double)forwards[index].parameterValue;
}
var fwdCurve = new LinearInterpolation();
fwdCurve.Initialize(x, fwds);
ForwardCurve = fwdCurve;
}
if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
{
var y = discreteSurface.YArray;
var length = values.RowCount;
for (int i = 0; i < length; i++)
{
//interpolate each maturity first (in strike) with SABR
var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
yinterp.ExpiryTime = x[i];
if (Forward != null && Spot != null)
{
yinterp.AssetPrice = Convert.ToDecimal(Forward);
}
else
{
var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
yinterp.AssetPrice = Convert.ToDecimal(fwd);
}
yinterp.Initialize(y, values.Row(i).Data);
var curve = new DiscreteCurve(y, values.Row(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
else //o.w interpolate at each strike point (in time)
{
for (int i = 0; i < width; i++)
{
var interp = xInterpolation.Clone();
interp.Initialize(x, values.Column(i).Data);
var curve = new DiscreteCurve(x, values.Column(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, interp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
}
/// <summary>
/// Main ctor.
/// </summary>
/// <param name="columns">The column values.</param>
/// <param name="forwards">An array of forwards to the expiry dates. The length of this array is + 1, as the first element is the spot value.</param>
/// <param name="values">The discrete surface ie 2 dimensional.</param>
/// <param name="xInterpolation">The basic interpolation to be applied to the x axis.</param>
/// <param name="yInterpolation">The basic interpolation to be applied to the y axis.</param>
/// <param name="rows">The row values.</param>
public ExtendedInterpolatedSurface(double[] rows, double[] columns, double[] forwards, Matrix values, IInterpolation xInterpolation, IInterpolation yInterpolation)
: base(new DiscreteSurface(rows, columns, values), xInterpolation, yInterpolation, true)
{
var width = values.ColumnCount;
var discreteSurface = new DiscreteSurface(rows, columns, values);
var x = discreteSurface.XArray;
if (forwards != null)
{
SpotValue = forwards[0];
var n = forwards.Length;
var fwds = new double[n - 1];
for (var index = 1; index < n; index++)
{
fwds[index - 1] = forwards[index];
}
ForwardCurve = new LinearInterpolation();
ForwardCurve.Initialize(rows, fwds);
}
if (yInterpolation.GetType() == typeof(SABRModelInterpolation))
{
var length = values.RowCount;
var y = discreteSurface.YArray;
for (int i = 0; i < length; i++)
{
//interpolate each maturity first (in strike) with SABR
var yinterp = (SABRModelInterpolation)yInterpolation.Clone();
yinterp.ExpiryTime = x[i];
if (Forward != null && Spot != null)
{
yinterp.AssetPrice = Convert.ToDecimal(Forward);
}
else
{
var fwd = ForwardCurve.ValueAt(yinterp.ExpiryTime, true);
yinterp.AssetPrice = Convert.ToDecimal(fwd);
}
yinterp.Initialize(y, values.Row(i).Data);
var curve = new DiscreteCurve(y, values.Row(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, yinterp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
else //o.w interpolate at each strike point (in time)
{
for (int i = 0; i < width; i++)
{
var interp = xInterpolation.Clone();
interp.Initialize(x, values.Column(i).Data);
var curve = new DiscreteCurve(x, values.Column(i).Data);
var interpolatedCol = new InterpolatedCurve(curve, interp, true);
_interpolatedColumns.Add(interpolatedCol);
}
}
}
