/// <summary>
/// Build up the matrix of capfloor volatilities (expiry x strike)
/// </summary>
/// <param name="column">The volaility to extract.</param>
/// <param name="instrument">The type of the volatility surface at each expiry</param>
/// <param name="volatility">A 2d array of the volatilities</param>
private decimal[] GenerateVolatilityMatrix(string[] instrument, int column, decimal[,] volatility)
{
if (column > volatility.GetLongLength(1))
{
return(null);
}
var maxRows = Math.Min(instrument.Length, volatility.GetLongLength(0));
var result = new List <decimal>();
for (var row = 0; row < maxRows; row++)
{
result.Add(volatility[row, column]);
}
return(result.ToArray());
}
