public void regrid(Vector new_grid, Func <double, double> func)
{
Vector transformed_grid = new Vector(grid_.Count);
for (int i = 0; i < grid_.Count; i++)
{
transformed_grid[i] = func(grid_[i]);
}
CubicInterpolation priceSpline = new CubicInterpolation(transformed_grid, transformed_grid.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = new_grid.Clone();
for (int i = 0; i < grid_.Count; i++)
{
newValues[i] = func(newValues[i]);
}
for (int j = 0; j < grid_.Count; j++)
{
newValues[j] = priceSpline.value(newValues[j], true);
}
values_ = newValues;
grid_ = new_grid.Clone();
}
private void interpolate()
{
interpolation_ = new CubicInterpolation(optionTimes_, optionTimes_.Count, vols_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
}
public override double value(double x, double y)
{
List <double> section = new InitializedList <double>(splines_.Count);
for (int i = 0; i < splines_.Count; i++)
{
section[i] = splines_[i].value(x, true);
}
CubicInterpolation spline = new CubicInterpolation(this.yBegin_, this.ySize_, section,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
return(spline.value(y, true));
}
public void regrid(Vector new_grid)
{
CubicInterpolation priceSpline = new CubicInterpolation(grid_, grid_.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = new Vector(new_grid.Count);
for (int i = 0; i < new_grid.Count; i++)
{
newValues[i] = priceSpline.value(new_grid[i], true);
}
values_ = newValues;
grid_ = new_grid.Clone();
}