public static void DisplayInExcel(this ITwoFactorPayoff payoffStrategy, Range <double> r1, Range <double> r2, int N1, int N2)
{ // Display the discrete payoff matrix in Excel
NumericMatrix <double> matrix = PayoffMatrix(payoffStrategy, r1, r2, N1, N2);
Vector <double> xarr = r1.mesh(N1);
Vector <double> yarr = r2.mesh(N2);
// Display in Excel
// public void printMatrixInExcel<T>( NumericMatrix<T> matrix, Vector<T> xarr, Vector<T> yarr, string SheetName )
ExcelMechanisms driver = new ExcelMechanisms();
string title = "Payoff function";
driver.printMatrixInExcel <double>(matrix, xarr, yarr, title);
}
public static void BilinearInterpolation2()
{
// Create mesh arrays
int startIndex = 0;
// Number of subdivisions N,M in the x and y directions
int N = 4;
int M = 3;
Vector <double> x1arr = new Vector <double>(N + 1, startIndex, 0.0);
double a = 0.0; double b = 1.0;
double h1 = (b - a) / (double)N;
x1arr[x1arr.MinIndex] = a;
for (int j = x1arr.MinIndex + 1; j <= x1arr.MaxIndex; j++)
{
x1arr[j] = x1arr[j - 1] + h1;
}
Vector <double> x2arr = new Vector <double>(M + 1, startIndex, 0.0);
double h2 = (b - a) / (double)M;
x1arr[x1arr.MinIndex] = a;
for (int j = x2arr.MinIndex + 1; j <= x2arr.MaxIndex; j++)
{
x2arr[j] = x2arr[j - 1] + h2;
}
Console.WriteLine(x1arr);
Console.WriteLine(x2arr);
// Control values;
NumericMatrix <double> Control
= new NumericMatrix <double>(N + 1, M + 1,
startIndex, startIndex);
Func <double, double, double> func = (double x1, double x2) => x1 + x2;
for (int i = Control.MinRowIndex; i <= Control.MaxRowIndex; i++)
{
for (int j = Control.MinColumnIndex; j <= Control.MaxColumnIndex; j++)
{
Control[i, j] = func(x1arr[i], x2arr[j]);
}
}
BilinearInterpolator myInterpolator
= new BilinearInterpolator(x1arr, x2arr, Control);
double x = 0.1; double y = 0.7;
double value = myInterpolator.Solve(x, y);
Console.WriteLine("Interpolated value: {0}", value);
// Take center point (xm, ym) of each element and interpolate on it
NumericMatrix <double> InterpolatedMatrix
= new NumericMatrix <double>(N, M, startIndex, startIndex);
// Abscissa points of new interpolated matrix
Vector <double> Xarr
= new Vector <double>(InterpolatedMatrix.Rows, startIndex, 0.0);
Vector <double> Yarr
= new Vector <double>(InterpolatedMatrix.Columns, startIndex, 0.0);
for (int i = InterpolatedMatrix.MinRowIndex;
i <= InterpolatedMatrix.MaxRowIndex; i++)
{
for (int j = InterpolatedMatrix.MinColumnIndex;
j <= InterpolatedMatrix.MaxColumnIndex; j++)
{
Xarr[i] = 0.5 * (x1arr[i] + x1arr[i + 1]); // xm
Yarr[j] = 0.5 * (x2arr[j] + x2arr[j + 1]); // ym
InterpolatedMatrix[i, j]
= myInterpolator.Solve(Xarr[i], Yarr[j]);
}
}
// Present the interpolated matrix in Excel
ExcelMechanisms driver = new ExcelMechanisms();
string title = "Interpolated matrix";
driver.printMatrixInExcel <double>(InterpolatedMatrix,
Xarr, Yarr, title);
}
