public FixedLocalVolSurface(Date referenceDate,
List <double> times,
List <double> strikes,
Matrix localVolMatrix,
DayCounter dayCounter,
Extrapolation lowerExtrapolation =
Extrapolation.ConstantExtrapolation,
Extrapolation upperExtrapolation =
Extrapolation.ConstantExtrapolation)
: base(referenceDate, null, BusinessDayConvention.Following, dayCounter)
{
maxDate_ = Utils.time2Date(referenceDate, dayCounter, times.Last());
times_ = times;
localVolMatrix_ = localVolMatrix;
strikes_ = new InitializedList <List <double> >(times.Count, new List <double>(strikes));
localVolInterpol_ = new List <Interpolation>();
lowerExtrapolation_ = lowerExtrapolation;
upperExtrapolation_ = upperExtrapolation;
Utils.QL_REQUIRE(times[0] >= 0.0,
() => "cannot have times[0] < 0");
checkSurface();
setInterpolation <Linear>();
}
