/// <summary>
/// Gets the Wing volatility
/// </summary>
/// <param name="volSurface">The vol surface.</param>
/// <param name="time">The time.</param>
/// <param name="strike">The strike.</param>
/// <param name="wingParameterList"></param>
/// <returns></returns>
public static double GetWingValue(List <OrcWingParameters> wingParameterList, IInterpolation xInterp, double time, double strike)
{
double eps = 0.0001;
IPoint pt1 = new Point2D(time, strike * (1 + eps));
IPoint pt2 = new Point2D(time, strike * (1 - eps));
double[] _years = new double[wingParameterList.Count];
for (int idx = 0; idx < wingParameterList.Count; idx++)
{
_years[idx] = wingParameterList[idx].TimeToMaturity;
}
var volArray = new double[wingParameterList.Count];
for (int idx = 0; idx < wingParameterList.Count; idx++)
{
volArray[idx] = OrcWingVol.Value(strike, wingParameterList[idx]);
}
double res = 0;
if (volArray.Length > 1)
{
xInterp.Initialize(_years, volArray);
res = xInterp.ValueAt(time, false);
}
else
{
res = volArray[0];
}
return(res);
}
public void TestAllInterpolations()
{
Random r = new Random(Environment.TickCount);
foreach (string interp in _linearInterpolations)
{
TearDown();
IInterpolation interpolation = InterpolationFactory.Create(interp);
interpolation.Initialize(_times, _rates);
Debug.WriteLine($"interpolationType : {interp}");
for (int i = 1; i < 100; ++i)
{
double time = (i + r.Next(-10000, 10000) / 10000) / 10.0;
double interpRate = interpolation.ValueAt(time, true);
Debug.WriteLine($"interpolatedRate : {interpRate} Time: {time}");
}
int index = 0;
foreach (double time in _times)
{
if (time != 0.0)
{
double interpRate = interpolation.ValueAt(time, true);
double interpValue = _rates[index];
Assert.AreEqual(interpRate, interpValue, 10 - 8);
}
index++;
}
}
foreach (string interp in _logLinearInterpolations)
{
TearDown();
double[] exp = SetUp();
double[] temp = new double[exp.Length];
exp.CopyTo(temp, 0);
IInterpolation interpolation = InterpolationFactory.Create(interp);
interpolation.Initialize(_times, temp);
Debug.WriteLine($"interpolationType : {interp}");
for (int i = 1; i < 100; ++i)
{
double time = (i + r.Next(-10000, 10000) / 10000) / 10.0;
double interpRate = interpolation.ValueAt(time, true);
Debug.WriteLine($"interpolatedRate : {interpRate} Time: {time}");
}
int index = 0;
foreach (double time in _times)
{
if (time != 0.0)
{
double interpRate = interpolation.ValueAt(time, true);
double interpValue = exp[index];
Assert.AreEqual(interpRate, interpValue, 10 - 8);
}
index++;
}
}
}
/// <summary>
/// Initialize a class constructed by the default constructor.
/// </summary>
/// <remarks>
/// The sequence of values for x must have been sorted.
/// </remarks>
/// <exception cref="ArgumentException">
/// Thrown when the passed lists do not have the same size
/// or do not provide enough points to interpolate.
/// </exception>
public void Initialize(double[] x, double[] y)
{
_curve = new LinearInterpolation();
_curve.Initialize(x, y);
}
/// <summary>
/// For any point, there should exist a function value. The point can be multi-dimensional.
/// </summary>
/// <param name="point"><c>IPoint</c> A point must have at least one dimension.
/// <seealso cref="IPoint"/> The interface for a multi-dimensional point.</param>
/// <returns>The <c>double</c> function value at the point</returns>
public override double Value(IPoint point)
{
var curve = (DiscreteSpace)GetDiscreteSpace();
var basePoints = curve.GetClosestValues(point);
if (basePoints.Count != 4)
{
throw new System.Exception("Incorrect number of base points.");
}
var x0 = basePoints[0].Coords;
var y0 = basePoints[1].Coords; //yo
var x1 = basePoints[2].Coords; //x1
var y1 = basePoints[3].Coords; //y1
var xArray = new double[2];
xArray[0] = (double)x0[0];
xArray[1] = (double)x1[0];
var fxArray = new double[2];
fxArray[0] = (double)x0[2];
fxArray[1] = (double)x1[2];
var yArray = new double[2];
yArray[0] = (double)y0[0];
yArray[1] = (double)y1[0];
var fyArray = new double[2];
fyArray[0] = (double)y0[2];
fyArray[1] = (double)y1[2];
var xyArray = new double[2];
xyArray[0] = (double)x0[1];
xyArray[1] = (double)y0[1];
//_interpolation.Initialize(xArray, fxArray);
//var xy = (double) point.Coords[0];
//var xyValue = _interpolation.ValueAt(xy, true);
//_interpolation.Initialize(yArray, fyArray);
//var yy = (double)point.Coords[0];
//var yyValue = _interpolation.ValueAt(yy, true);
//_yInterpolation.Initialize(xyArray, new[] { xyValue, yyValue });
//var result = _yInterpolation.ValueAt((double)point.Coords[1], true);
Double xyValue;
Double yyValue;
if (xArray[0].Equals(xArray[1]))
{
xyValue = fxArray[0];
}
else
{
Interpolation.Initialize(xArray, fxArray);
var xy = (double)point.Coords[0];
xyValue = Interpolation.ValueAt(xy, true);
}
if (yArray[0].Equals(yArray[1]))
{
yyValue = fyArray[0];
}
else
{
Interpolation.Initialize(yArray, fyArray);
var yy = (double)point.Coords[0];
yyValue = Interpolation.ValueAt(yy, true);
}
var yxArray = new[] { xyValue, yyValue };
double result;
if (xyArray[0] == xyArray[1])
{
result = fxArray[0];
}
else
{
YInterpolation.Initialize(xyArray, yxArray);
result = YInterpolation.ValueAt((double)point.Coords[1], true);
}
return(result);//TODO will not work with splines.
}