예제 #1
0
        ///<summary>
        /// Sttrips a surface: expiry by strike, from a flattened cube, excluding the strike headers.
        ///</summary>
        ///<param name="inputRange">The input data range.</param>
        ///<param name="tenorFilter">The tenor string to filter on.</param>
        ///<param name="numTenors">The number of tenors.</param>
        ///<param name="strikeArray">The strike array.</param>
        ///<returns></returns>
        public double[,] FilterSurface(Excel.Range inputRange, String tenorFilter, int numTenors, Excel.Range strikeArray)
        {
            var values = inputRange.get_Value(System.Reflection.Missing.Value) as object[, ];
            var strike = DataRangeHelper.StripDoubleRange(strikeArray);

            return(DataRangeHelper.FilterSurface(values, tenorFilter, numTenors, strike.ToArray()));
        }