public Cube clone(Cube o)
{
optionTimes_ = o.optionTimes_;
swapLengths_ = o.swapLengths_;
optionDates_ = o.optionDates_;
swapTenors_ = o.swapTenors_;
nLayers_ = o.nLayers_;
extrapolation_ = o.extrapolation_;
backwardFlat_ = o.backwardFlat_;
transposedPoints_ = o.transposedPoints_;
for (int k = 0; k < nLayers_; k++)
{
Interpolation2D interpolation;
if (k <= 4 && backwardFlat_)
{
interpolation = new BackwardflatLinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
else
{
interpolation = new BilinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
interpolators_.Add(new FlatExtrapolator2D(interpolation));
interpolators_[k].enableExtrapolation();
}
setPoints(o.points_);
return(this);
}
public Cube(List <Date> optionDates,
List <Period> swapTenors,
List <double> optionTimes,
List <double> swapLengths,
int nLayers,
bool extrapolation = true,
bool backwardFlat = false)
{
optionTimes_ = new List <double>(optionTimes);
swapLengths_ = new List <double>(swapLengths);
optionDates_ = new List <Date>(optionDates);
swapTenors_ = new List <Period>(swapTenors);
nLayers_ = nLayers;
extrapolation_ = extrapolation;
backwardFlat_ = backwardFlat;
interpolators_ = new List <Interpolation2D>();
transposedPoints_ = new List <Matrix>();
Utils.QL_REQUIRE(optionTimes.Count > 1, () => "Cube::Cube(...): optionTimes.size()<2");
Utils.QL_REQUIRE(swapLengths.Count > 1, () => "Cube::Cube(...): swapLengths.size()<2");
Utils.QL_REQUIRE(optionTimes.Count == optionDates.Count, () => "Cube::Cube(...): optionTimes/optionDates mismatch");
Utils.QL_REQUIRE(swapTenors.Count == swapLengths.Count, () => "Cube::Cube(...): swapTenors/swapLengths mismatch");
List <Matrix> points = new InitializedList <Matrix>(nLayers_);
for (int i = 0; i < nLayers; i++)
{
points[i] = new Matrix(optionTimes_.Count, swapLengths_.Count, 0.0);
}
for (int k = 0; k < nLayers_; k++)
{
Interpolation2D interpolation;
transposedPoints_.Add(Matrix.transpose(points[k]));
if (k <= 4 && backwardFlat_)
{
interpolation = new BackwardflatLinearInterpolation(optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count, transposedPoints_[k]);
}
else
{
interpolation = new BilinearInterpolation(optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count, transposedPoints_[k]);
}
interpolators_.Add(new FlatExtrapolator2D(interpolation));
interpolators_[k].enableExtrapolation();
}
setPoints(points);
}
public void updateInterpolators()
{
for (int k = 0; k < nLayers_; ++k)
{
transposedPoints_[k] = Matrix.transpose(points_[k]);
Interpolation2D interpolation;
if (k <= 4 && backwardFlat_)
{
interpolation = new BackwardflatLinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
else
{
interpolation = new BilinearInterpolation(
optionTimes_, optionTimes_.Count,
swapLengths_, swapLengths_.Count,
transposedPoints_[k]);
}
interpolators_[k] = new FlatExtrapolator2D(interpolation);
interpolators_[k].enableExtrapolation();
}
}
