public double thetaAt(double x, double y)
{
Utils.QL_REQUIRE(conditions_.stoppingTimes().First() > 0.0,
() => "stopping time at zero-> can't calculate theta");
calculate();
Matrix thetaValues = new Matrix(resultValues_.rows(),
resultValues_.columns());
Vector rhs = thetaCondition_.getValues();
int row = 0, col = 0;
for (int i = 0; i < rhs.size(); i++)
{
if (col == thetaValues.columns())
{
row++;
col = 0;
}
thetaValues[row, col] = rhs[i];
}
double temp = new BicubicSpline(
x_, x_.Count, y_, y_.Count, thetaValues).value(x, y);
return((temp - interpolateAt(x, y)) / thetaCondition_.getTime());
}
protected override void performCalculations()
{
object rhs = new Vector(initialValues_.Count);
for (int i = 0; i < initialValues_.Count; i++)
{
(rhs as Vector)[i] = initialValues_[i];
}
new FdmBackwardSolver(op_, solverDesc_.bcSet, conditions_, schemeDesc_)
.rollback(ref rhs, solverDesc_.maturity, 0.0,
solverDesc_.timeSteps, solverDesc_.dampingSteps);
int row = 0, col = 0;
for (int i = 0; i < (rhs as Vector).size(); i++)
{
if (col == resultValues_.columns())
{
row++;
col = 0;
}
resultValues_[row, col] = (rhs as Vector)[i];
col++;
}
interpolation_ = new BicubicSpline(x_, x_.Count, y_, y_.Count, resultValues_);
}
private void interpolate()
{
interpolation_ = new BicubicSpline(strikes_, strikes_.Count, optionTimes_, optionTimes_.Count, vols_);
}
