public Curve2D(TRow[] x, TCol[] y, double[,] valueOnGrids, Func <TRow, double> x2DoubleFunc, Func <TCol, double> y2DoubleFunc, Interpolation2D interpolation2D)
{
RowGrid = x;
ColGrid = y;
ValueOnGrids = valueOnGrids;
_x2DoubleFunc = x2DoubleFunc;
_y2DoubleFunc = y2DoubleFunc;
_interpolator = interpolation2D.GetInterpolator(RowGrid.Select(_x2DoubleFunc).ToArray(), ColGrid.Select(_y2DoubleFunc).ToArray(), ValueOnGrids);
}
public ImpliedVolSurface(Date valuationDate, Date[] dates, double[] strikes, double[,] values, Interpolation2D interp, String dcConvention = "Bus244", VolSurfaceType volSurfaceType = VolSurfaceType.StrikeVol)
: base(dates, strikes, values, x => x.ToOADate(), x => x, interp)
{
_valuationDate = valuationDate;
_interp = interp;
_surfType = volSurfaceType;
_dcConvention = dcConvention;
_dc = dcConvention.ToDayCountImpl();
if ((dates as ICollection <Date>).Count != values.GetLength(0) || (strikes as ICollection <double>).Count != values.GetLength(1))
{
throw new PricingLibraryException(string.Format("Size error for the implied volatility surface defintion"));
}
double[] maturityFractions = dates.Select((v, i) => _dc.CalcDayCountFraction(valuationDate, v)).ToArray();
_interpolator = _interp.GetInterpolator(maturityFractions, strikes.Select((v, i) => v).ToArray(), ValueOnGrids);
}
