public double GetValue(double t, double k)
{
if (k > _minCol && k < _maxCol)
{
var kIndex = _colGrid.GetRangeLeftIndexOf(k);
var k1 = _colGrid[kIndex];
var k2 = _colGrid[kIndex + 1];
var boarder1 = _valueOnGrids.GetCol(kIndex);
var boarder2 = _valueOnGrids.GetCol(kIndex + 1);
var var1 = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, Math.Pow(boarder1[i], 2) * v)).ToArray()).GetValue(t);
var var2 = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, Math.Pow(boarder2[i], 2) * v)).ToArray()).GetValue(t);
var var = var1 + (k - k1) * (var2 - var1) / (k2 - k1);
return(Math.Sqrt(var / t));
}
else
{
if (t < _minRow && k < _minCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_minRow), _colGrid.ToList().IndexOf(_minCol)));
}
if (t < _minRow && k > _maxCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_minRow), _colGrid.ToList().IndexOf(_maxCol)));
}
if (t > _maxRow && k < _minCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_maxRow), _colGrid.ToList().IndexOf(_minCol)));
}
if (t > _maxRow && k > _maxCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_maxRow), _colGrid.ToList().IndexOf(_maxCol)));
}
if (k <= _minCol)
{
var boarder = _valueOnGrids.GetCol(_colGrid.GetRangeLeftIndexOf(_minCol));
var variance = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, Math.Pow(boarder[i], 2) * v)).ToArray()).GetValue(t);
return(Math.Sqrt(variance / t));
}
if (k >= _maxCol)
{
var boarder = _valueOnGrids.GetCol(_colGrid.GetRangeLeftIndexOf(_maxCol));
var variance = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, Math.Pow(boarder[i], 2) * v)).ToArray()).GetValue(t);
return(Math.Sqrt(variance / t));
}
}
throw new PricingLibraryException("VarianceBiCubicSpline interpolation failed");
}
public double GetValue(double t, double k)
{
if (k > _minCol && k < _maxCol)
{
var kIndex = _colGrid.GetRangeLeftIndexOf(k);
var k1 = _colGrid[kIndex];
var k2 = _colGrid[kIndex + 1];
var boarder1 = _valueOnGrids.GetCol(kIndex);
var boarder2 = _valueOnGrids.GetCol(kIndex + 1);
var vol1 = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, boarder1[i])).ToArray()).GetValue(t);
var vol2 = new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, boarder2[i])).ToArray()).GetValue(t);
var vol = vol1 + (k - k1) * (vol2 - vol1) / (k2 - k1);
return(vol);
}
else
{
if (t < _minRow && k < _minCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_minRow), _colGrid.ToList().IndexOf(_minCol)));
}
if (t < _minRow && k > _maxCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_minRow), _colGrid.ToList().IndexOf(_maxCol)));
}
if (t > _maxRow && k < _minCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_maxRow), _colGrid.ToList().IndexOf(_minCol)));
}
if (t > _maxRow && k > _maxCol)
{
return((double)_valueOnGrids.GetValue(_rowGrid.ToList().IndexOf(_maxRow), _colGrid.ToList().IndexOf(_maxCol)));
}
if (k <= _minCol)
{
var boarder = _valueOnGrids.GetCol(_colGrid.GetRangeLeftIndexOf(_minCol));
return(new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, boarder[i])).ToArray()).GetValue(t));
}
if (k >= _maxCol)
{
var boarder = _valueOnGrids.GetCol(_colGrid.GetRangeLeftIndexOf(_maxCol));
return(new CubicHermiteFdInterpolator(_rowGrid.Select((v, i) => Tuple.Create(v, boarder[i])).ToArray()).GetValue(t));
}
}
throw new PricingLibraryException("Bicubicspline interpolation failed");
}
