LinearInterpolationAlongPolyline::LinearInterpolationAlongPolyline(
const GeoLib::Polyline& ply,
const std::vector<std::size_t>& vec_interpolate_point_ids,
const std::vector<double>& vec_interpolate_point_values,
const double search_length, const double default_value)
: _ply(ply),
_interpolation(createInterpolation(ply, vec_interpolate_point_ids, vec_interpolate_point_values)),
_search_length(search_length), _default_value(default_value)
{}
void SabrInterpolatedSmileSection::performCalculations() const {
forwardValue_ = forward_->value();
vols_.clear();
actualStrikes_.clear();
// we populate the volatilities, skipping the invalid ones
for (Size i=0; i<volHandles_.size(); ++i) {
if (volHandles_[i]->isValid()) {
if (hasFloatingStrikes_) {
actualStrikes_.push_back(forwardValue_ + strikes_[i]);
vols_.push_back(atmVolatility_->value() + volHandles_[i]->value());
} else {
actualStrikes_.push_back(strikes_[i]);
vols_.push_back(volHandles_[i]->value());
}
}
}
// we are recreating the sabrinterpolation object unconditionnaly to
// avoid iterator invalidation
createInterpolation();
sabrInterpolation_->update();
}