/// <summary>
/// Get an indicative PPD for a given expiry/tenor pair
/// If the pair is not in the grid use interpolation to derive the result
/// </summary>
/// <param name="expiryYF">The expiry as a Year Fraction</param>
/// <param name="tenorYF">The tenor as a Year Fraction</param>
/// <returns></returns>
public decimal GetPPD(double expiryYF, double tenorYF)//TODO convert to newer version.
{
if (_interp == null)
{
if (ExtractTerms(out var expiry, out var tenor, out var values))
{
_interp = new BilinearInterpolation(ref tenor, ref expiry, ref values);
}
}
return((decimal)_interp.Interpolate(tenorYF, expiryYF));
}
///<summary>
///</summary>
///<param name="points"></param>
///<param name="expirationAsYearFraction"></param>
///<param name="strike"></param>
///<returns></returns>
public static double GetValue(IEnumerable <PricingStructurePoint> points,
double expirationAsYearFraction,
double strike)
{
var pricingStructurePoints = points as PricingStructurePoint[] ?? points.ToArray();
var volatilityMatrix = GetExpirationByStikeVolatilityMatrix(pricingStructurePoints);
var expirationVector = GetDimension1Vector(pricingStructurePoints, CubeDimension.Expiration);
var expiryDoubleArray = ConvertArrayOfTimeDimensionsToDouble((TimeDimension[])expirationVector);
var strikesVector = GetDimension1Vector(pricingStructurePoints, CubeDimension.Strike);
var strikesDoubleArray = ConvertArrayOfDecimalsToDouble((decimal[])strikesVector);
var doubleMatrix = ToDoubleMatrix(volatilityMatrix);
var bilinearInterpolation = new BilinearInterpolation(ref strikesDoubleArray, ref expiryDoubleArray, ref doubleMatrix);
var interpolatedValue = bilinearInterpolation.Interpolate(expirationAsYearFraction, strike);
return(interpolatedValue);
}
/// <summary>
/// Compute a Bilinear interpolation at the ordered pair (ColumnTarget, RowTarget).
/// Extrapolation is flat-line in both the Column and Row dimensions.
/// </summary>
/// <param name="columnLabels">One dimensional array arranged in strict ascending order that governs HORIZONTAL interpolation.</param>
/// <param name="rowLabels">One dimensional array arranged in strict ascending order that governs VERTICAL interpolation.</param>
/// <param name="dataTable">Two dimensional array of known values with size equal to RowLabels x ColumnLabels.</param>
/// <param name="columnTarget">Column (horizontal) target of the interpolation.</param>
/// <param name="rowTarget">Row (vertical) target of the interpolation.</param>
/// <returns></returns>
public double BilinearInterpolate(double[] columnLabels, double[] rowLabels, double[,] dataTable,
double columnTarget, double rowTarget)
{
if (columnLabels == null)
{
return(0);
}
if (rowLabels == null)
{
return(0);
}
if (dataTable == null)
{
return(0);
}
var bil = new BilinearInterpolation(ref columnLabels, ref rowLabels, ref dataTable);
return(bil.Interpolate(columnTarget, rowTarget));
}
public void TestInterpolate()
{
BilinearInterpolation interpObj =
new BilinearInterpolation(ref _columnLabels,
ref _rowLabels,
ref _dataTable);
Assert.IsNotNull(interpObj);
// Test that the node points are recovered by the interpolation.
_rowTarget = 38969;
_columnTarget = 85 / 100.0;
_expectedValue = 41.5 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 38969;
_columnTarget = 90 / 100.0;
_expectedValue = 30 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 38969;
_columnTarget = 100 / 100.0;
_expectedValue = 42.5 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 39524;
_columnTarget = 85 / 100.0;
_expectedValue = 20.25 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 39524;
_columnTarget = 90 / 100.0;
_expectedValue = 21.35 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 39524;
_columnTarget = 100 / 100.0;
_expectedValue = 22.8 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
// Test interpolation at points that do not coincide with
// the node points.
_rowTarget = 38969;
_columnTarget = 70 / 100.0;
_expectedValue = 41.5 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 38969;
_columnTarget = 140 / 100.0;
_expectedValue = 42.5 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 38735;
_columnTarget = 90 / 100.0;
_expectedValue = 30 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 39889;
_columnTarget = 90 / 100.0;
_expectedValue = 21.35 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 38969;
_columnTarget = 87.5 / 100.0;
_expectedValue = 35.75 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
Assert.AreEqual(_expectedValue, _actualValue);
_rowTarget = 39334;
_columnTarget = 85.1 / 100.0;
_expectedValue = 27.46 / 100.0;
_actualValue = interpObj.Interpolate(_columnTarget, _rowTarget);
const double tolerance = 1.0E-5;
Assert.AreEqual(_expectedValue, _actualValue, tolerance);
}
