internal static DiscreteSurface ProcessMultiDimensionalPricingData(MultiDimensionalPricingData data, DateTime baseDate)
{
var points = data.point.Select(point => new PricingDataPoint2D(point, baseDate)).Cast <IPoint>().ToList();
var result = new DiscreteSurface(points);
return(result);
}
internal static DiscreteSurface ProcessMultiDimensionalPricingData(MultiDimensionalPricingData data)
{
var points = (from point in data.point let baseDate = data.valuationDateSpecified ? (DateTime?)data.valuationDate : null select new PricingDataPoint2D(point, baseDate)).Cast <IPoint>().ToList();
var result = new DiscreteSurface(points);//todo THERE REMAINS A PROBLEM WITH THIS CONSTRUCTOR.
return(result);
}
TestDiscreteSurface2()
{
var curve = new DiscreteSurface(_rows, _pointCoords, VMatrix);
var result = curve.GetMatrixOfValues();
var rowlength = result.RowCount;
var columns = result.ColumnCount;
var length = curve.GetPointList().Count - 1;
for (int i = 0; i < length; i++)
{
var point = curve.GetPointList()[i];
Debug.Print("FunctionValue : {0} X Coord : {1} Y Coord : {2}",
point.FunctionValue, point.Coords[0], point.Coords[1]);
// Assert.AreEqual(result[i, j], point.FunctionValue);
}
for (int j = 0; j < columns; j++)
{
for (int i = 0; i < rowlength; i++)
{
Assert.AreEqual(result[i, j], VMatrix[i, j]);
Debug.Print("Matrix : {0} i : {1} j : {2}",
result[i, j], i, j);
}
// Assert.AreEqual(result[i, j], point.FunctionValue);
}
}
TestDiscreteSurface()
{
IDiscreteSpace curve = new DiscreteSurface(_rows, _pointCoords, VMatrix);
for (int i = 0; i < curve.GetPointList().Count; i++)
{
IPoint point = curve.GetPointList()[i];
Console.WriteLine(point.FunctionValue);
}
}
TestInterpolatedSurface()
{
var curve = new DiscreteSurface(_rows, _pointCoords, VMatrix);
var interpCurve = new InterpolatedSurface(curve, new LinearInterpolation(), true);
for (int i = 0; i < curve.GetPointList().Count; i++)
{
IPoint point = curve.GetPointList()[i];
var val = interpCurve.Value(point);
Console.WriteLine(point.FunctionValue);
}
}
public void ValueTestSixteenPoints()
{
List <IPoint> points
= new List <IPoint>
{
new Point2D(3, 1, 5.2),
new Point2D(3, 3, 7.9),
new Point2D(3, 8, 8.7),
new Point2D(3, 9, 8.9),
new Point2D(7, 1, 8.1),
new Point2D(7, 3, 12.4),
new Point2D(7, 8, 12.5),
new Point2D(7, 9, 14.7),
new Point2D(8, 1, 8.2),
new Point2D(8, 3, 12.2),
new Point2D(8, 8, 12.7),
new Point2D(8, 9, 13.6),
new Point2D(9, 1, 8.3),
new Point2D(9, 3, 12.2),
new Point2D(9, 8, 12.6),
new Point2D(9, 9, 12.9),
};
DiscreteSpace surface = new DiscreteSurface(points);
InterpolatedSurface interp = new InterpolatedSurface(surface, new LinearInterpolation(), true);
// Actual points
Assert.AreEqual(5.2, interp.Value(new Point2D(3, 1, 0)));
Assert.AreEqual(7.9, interp.Value(new Point2D(3, 3, 0)));
Assert.AreEqual(8.7, interp.Value(new Point2D(3, 8, 0)));
Assert.AreEqual(8.9, interp.Value(new Point2D(3, 9, 0)));
Assert.AreEqual(8.1, interp.Value(new Point2D(7, 1, 0)));
Assert.AreEqual(12.4, interp.Value(new Point2D(7, 3, 0)));
Assert.AreEqual(12.5, interp.Value(new Point2D(7, 8, 0)));
Assert.AreEqual(14.7, interp.Value(new Point2D(7, 9, 0)));
Assert.AreEqual(8.2, interp.Value(new Point2D(8, 1, 0)));
Assert.AreEqual(12.2, interp.Value(new Point2D(8, 3, 0)));
Assert.AreEqual(12.7, interp.Value(new Point2D(8, 8, 0)));
Assert.AreEqual(13.6, interp.Value(new Point2D(8, 9, 0)));
Assert.AreEqual(8.3, interp.Value(new Point2D(9, 1, 0)));
Assert.AreEqual(12.2, interp.Value(new Point2D(9, 3, 0)));
Assert.AreEqual(12.6, interp.Value(new Point2D(9, 8, 0)));
Assert.AreEqual(12.9, interp.Value(new Point2D(9, 9, 0)));
// Interpolate
Assert.AreEqual(12.42, interp.Value(new Point2D(7.5, 5, 0)));
Assert.AreEqual(7.4750000000000005, interp.Value(new Point2D(4, 2, 0)));
Assert.AreEqual(12.95, interp.Value(new Point2D(8.5, 8.5, 0)));
// Past the boundary
Assert.AreEqual(5.2, interp.Value(new Point2D(2, 0, 0)));
Assert.AreEqual(12.9, interp.Value(new Point2D(10, 10, 0)));
Assert.AreEqual(14.7, interp.Value(new Point2D(7, 10, 0)));
}
public void TestDiscreteSurfaceValues()
{
var curve = new DiscreteSurface(_rows, _pointCoords, VMatrix);
for (int i = 0; i < curve.GetPointList().Count; i++)
{
var point = curve.GetPointList()[i];
var closest = curve.GetClosestValues(point);
foreach (var close in closest)
{
Console.WriteLine(" X: {0} Y : {1} Value1 : {2} Value2 : {3}", close.Coords[0],
close.Coords[1], close.Coords[2], close.FunctionValue);
}
}
}
public void TestDiscreteSurfaceClosestValues()
{
var curve = new DiscreteSurface(_rows, _pointCoords, VMatrix);
var point = new Point2D(0.3, 0.5);
var closest = curve.GetClosestValues(point);
Assert.AreEqual(closest[0].Coords[0], 0.22);
Assert.AreEqual(closest[0].Coords[1], 0.5d);
Assert.AreEqual(closest[0].FunctionValue, 0.055d);
Assert.AreEqual(closest[1].Coords[0], 0.22d);
Assert.AreEqual(closest[1].Coords[1], 0.5d);
Assert.AreEqual(closest[1].FunctionValue, 0.055d);
Assert.AreEqual(closest[2].Coords[0], 1.0d);
Assert.AreEqual(closest[2].Coords[1], 0.5d);
Assert.AreEqual(closest[2].FunctionValue, 0.075d);
Assert.AreEqual(closest[3].Coords[0], 1.0d);
Assert.AreEqual(closest[3].Coords[1], 0.5d);
Assert.AreEqual(closest[3].FunctionValue, 0.075d);
}
TestDiscreteSurfaceFromPointList()
{
var pointList = new List <IPoint>();
for (var j = 0; j < _pointCoords.Length; j++)
{
for (var i = 0; i < _rows.Length; i++)
{
var point = new Point2D(_rows[i], _pointCoords[j], VMatrix[i, j]);
pointList.Add(point);
}
}
IDiscreteSpace curve = new DiscreteSurface(pointList);
for (int i = 0; i < curve.GetPointList().Count; i++)
{
IPoint point = curve.GetPointList()[i];
Console.WriteLine(point.FunctionValue);
}
}