public override RrFunction Add(RrFunction other)
{
var cst = other as ConstantRrFunction;
if (cst != null)
{
return(RrFunctions.Constant(Value + cst.Value));
}
var step = other as StepFunction;
if (step != null)
{
return(StepFunction.Add(step, this));
}
var spline = other as SplineInterpoler;
if (spline != null)
{
return(SplineInterpoler.Add(spline, this));
}
return(base.Add(other));
}
public void Mult()
{
var cubic1 = SplineInterpoler.BuildCubicSpline(new[] { 0.0, 1.0, 2.0, 3.0 }, new[] { 1.0, 0.22, -0.1, 0.1 });
var cubic2 = SplineInterpoler.BuildCubicSpline(new[] { -0.5, 1.1, 2.0, 5.0 }, new[] { 1.0, 0.22, -0.1, 0.1 });
var mult = cubic1 * cubic2;
Assert.IsTrue(mult is SplineInterpoler);
var testVals = new[] { -0.5, 0.0, 1.0, 1.1, 2.0, 3.0, 5.0 };
foreach (var x in testVals)
{
var err = Math.Abs(mult.Eval(x) - (cubic1.Eval(x) * cubic2.Eval(x)));
Assert.AreEqual(err, 0.0);
}
var rand = new Random(251);
for (int i = 0; i < 100; i++)
{
double x = -5.0 + 12.0 * rand.NextDouble();
var err = Math.Abs(mult.Eval(x) - (cubic1.Eval(x) * cubic2.Eval(x)));
Assert.LessOrEqual(err, 18.0 * DoubleUtils.MachineEpsilon);
}
}
public void TestEval()
{
var abs = new[] { 0.0, 0.5, 0.99, 2.5 };
var vals = new[] { 5.0, 5.4, 3.1, 1.0 };
var stepFunc = SplineInterpoler.BuildCubicSpline(abs, vals);
foreach (var i in Enumerable.Range(0, abs.Length - 1))
{
Assert.AreEqual(stepFunc.Eval(abs[i]), vals[i]);
}
}
public static object CubicSpline(double[] abscissae, double[] values, double[] points)
{
return(FunctionRunnerUtils.Run("CubicSpline", () =>
{
var interpoler = SplineInterpoler.BuildCubicSpline(abscissae, values);
var result = new double[points.Length, 1];
for (int i = 0; i < points.Length; i++)
{
result[i, 0] = interpoler.Eval(points[i]);
}
return result;
}));
}
public static VolatilitySurface BuildInterpol(VolatilityMatrix volMatrix, MoneynessProvider moneyness)
{
double[] timePillars = volMatrix.Time[volMatrix.Pillars];
var varianceSlices = EnumerableUtils.For(0, timePillars.Length, i =>
{
double t = timePillars[i];
double[] moneynessPillars = volMatrix.Strikes.Map(k => moneyness.Moneyness(t, k));
var varianceSlice = volMatrix.Vols.Row(i).Map(v => t * v * v);
return((RrFunction)SplineInterpoler.BuildCubicSpline(moneynessPillars, varianceSlice));
});
var varianceInterpol = new VarianceInterpoler(timePillars, varianceSlices);
return(new VolatilitySurface(volMatrix.Time, moneyness, varianceInterpol, varianceInterpol.BuildLocalVariance()));
}
public override RrFunction Mult(RrFunction other)
{
var cst = other as ConstantRrFunction;
if (cst != null)
{
return(ProductRrFunctions.Mult(this, cst));
}
var exp = other as ExpRrFunction;
if (exp != null)
{
return(ProductRrFunctions.Mult(exp, this));
}
var step = other as StepFunction;
if (step != null)
{
return(StepFunction.Mult(step, this));
}
var spline = other as SplineInterpoler;
if (spline != null)
{
return(SplineInterpoler.Mult(spline, this));
}
var lc = other as LinearCombinationRrFunction;
if (lc != null)
{
return(ProductRrFunctions.Mult(lc, this));
}
return(base.Mult(other));
}
public static RrFunction LinearInterpolation(double[] abscissae, double[] values,
double leftExtrapolationSlope = 0.0, double rightExtrapolationSlope = 0.0)
{
return(SplineInterpoler.BuildLinearSpline(abscissae, values, leftExtrapolationSlope, rightExtrapolationSlope));
}
