public void regrid(Vector new_grid, Func <double, double> func)
{
Vector transformed_grid = new Vector(grid_.Count);
for (int i = 0; i < grid_.Count; i++)
{
transformed_grid[i] = func(grid_[i]);
}
CubicInterpolation priceSpline = new CubicInterpolation(transformed_grid, transformed_grid.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = (Vector)new_grid.Clone();
for (int i = 0; i < grid_.Count; i++)
{
newValues[i] = func(newValues[i]);
}
for (int j = 0; j < grid_.Count; j++)
{
newValues[j] = priceSpline.value(newValues[j], true);
}
values_ = newValues;
grid_ = (Vector)new_grid.Clone();
}
private void interpolate()
{
interpolation_ = new CubicInterpolation(optionTimes_, optionTimes_.Count, vols_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
}
public Cubic(CubicInterpolation.DerivativeApprox da, bool monotonic,
CubicInterpolation.BoundaryCondition leftCondition, double leftConditionValue,
CubicInterpolation.BoundaryCondition rightCondition, double rightConditionValue)
{
da_ = da;
monotonic_ = monotonic;
leftType_ = leftCondition;
rightType_ = rightCondition;
leftValue_ = leftConditionValue;
rightValue_ = rightConditionValue;
}
public override double value(double x, double y)
{
List<double> section = new InitializedList<double>( splines_.Count );
for (int i=0; i<splines_.Count; i++)
section[i]=splines_[i].value(x,true);
CubicInterpolation spline = new CubicInterpolation(this.yBegin_, this.ySize_, section,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
return spline.value(y,true);
}
public override double value(double x, double y)
{
List <double> section = new InitializedList <double>(splines_.Count);
for (int i = 0; i < splines_.Count; i++)
{
section[i] = splines_[i].value(x, true);
}
CubicInterpolation spline = new CubicInterpolation(this.yBegin_, this.ySize_, section,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
return(spline.value(y, true));
}
public void regrid(Vector new_grid)
{
CubicInterpolation priceSpline = new CubicInterpolation(grid_, grid_.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = new Vector(new_grid.Count);
for (int i = 0; i < new_grid.Count; i++)
{
newValues[i] = priceSpline.value(new_grid[i], true);
}
values_ = newValues;
grid_ = (Vector)new_grid.Clone();
}
public CubicInterpolationImpl(List<double> xBegin, int size, List<double> yBegin,
CubicInterpolation.DerivativeApprox da,
bool monotonic,
CubicInterpolation.BoundaryCondition leftCondition,
double leftConditionValue,
CubicInterpolation.BoundaryCondition rightCondition,
double rightConditionValue)
: base(xBegin, size, yBegin)
{
da_ = da;
monotonic_ = monotonic;
leftType_ = leftCondition;
rightType_ = rightCondition;
leftValue_ = leftConditionValue;
rightValue_ = rightConditionValue;
// coefficients
primitiveConst_ = new InitializedList<double>(size - 1);
a_ = new InitializedList<double>(size - 1);
b_ = new InitializedList<double>(size - 1);
c_ = new InitializedList<double>(size - 1);
monotonicityAdjustments_ = new InitializedList<bool>(size);
}
// private CoefficientHolder coeffs_;
public CubicInterpolation(List<double> xBegin, int size, List<double> yBegin,
CubicInterpolation.DerivativeApprox da,
bool monotonic,
CubicInterpolation.BoundaryCondition leftCond,
double leftConditionValue,
CubicInterpolation.BoundaryCondition rightCond,
double rightConditionValue)
{
impl_ = new CubicInterpolationImpl(xBegin, size, yBegin,
da, monotonic,
leftCond, leftConditionValue,
rightCond, rightConditionValue);
impl_.update();
// coeffs_ = boost::dynamic_pointer_cast<detail::CoefficientHolder>(impl_);
}
public void regrid(Vector new_grid)
{
CubicInterpolation priceSpline = new CubicInterpolation(grid_, grid_.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = new Vector(new_grid.Count);
for (int i = 0; i < new_grid.Count; i++)
newValues[i] = priceSpline.value(new_grid[i], true);
values_ = newValues;
grid_ = (Vector)new_grid.Clone();
}
public void regrid(Vector new_grid, Func<double, double> func)
{
Vector transformed_grid = new Vector(grid_.Count);
for (int i = 0; i < grid_.Count; i++)
transformed_grid[i] = func(grid_[i]);
CubicInterpolation priceSpline = new CubicInterpolation(transformed_grid, transformed_grid.Count, values_,
CubicInterpolation.DerivativeApprox.Spline, false,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0,
CubicInterpolation.BoundaryCondition.SecondDerivative, 0.0);
priceSpline.update();
Vector newValues = (Vector)new_grid.Clone();
for (int i = 0; i < grid_.Count; i++)
newValues[i] = func(newValues[i]);
for (int j = 0; j < grid_.Count; j++)
newValues[j] = priceSpline.value(newValues[j], true);
values_ = newValues;
grid_ = (Vector)new_grid.Clone();
}
