void CapFloorTermVolSurface::interpolate()
{
interpolation_ = BicubicSpline(strikes_.begin(),
strikes_.end(),
optionTimes_.begin(),
optionTimes_.end(),
vols_);
}
Real Fdm2DimSolver::thetaAt(Real x, Real y) const {
QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
const Array& rhs = thetaCondition_->getValues();
std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
return (BicubicSpline(x_.begin(), x_.end(), y_.begin(), y_.end(),
thetaValues)(x, y) - interpolateAt(x, y))
/ thetaCondition_->getTime();
}
Real FdmHestonSolver::thetaAt(Real s, Real v) const {
QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
Matrix thetaValues(resultValues_.rows(), resultValues_.columns());
const Array& rhs = thetaCondition_->getValues();
std::copy(rhs.begin(), rhs.end(), thetaValues.begin());
return (BicubicSpline(x_.begin(), x_.end(), v_.begin(), v_.end(),
thetaValues)(std::log(s), v) - valueAt(s, v))
/ thetaCondition_->getTime();
}
Real Fdm3DimSolver::thetaAt(Real x, Real y, Rate z) const {
QL_REQUIRE(conditions_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
const Array& rhs = thetaCondition_->getValues();
std::vector<Matrix> thetaValues(z_.size(), Matrix(y_.size(),x_.size()));
for (Size i=0; i < z_.size(); ++i) {
std::copy(rhs.begin()+i *y_.size()*x_.size(),
rhs.begin()+(i+1)*y_.size()*x_.size(),
thetaValues[i].begin());
}
Array zArray(z_.size());
for (Size i=0; i < z_.size(); ++i) {
zArray[i] = BicubicSpline(x_.begin(),x_.end(),
y_.begin(),y_.end(), thetaValues[i])(x,y);
}
return (MonotonicCubicNaturalSpline(z_.begin(), z_.end(),
zArray.begin())(z)
- interpolateAt(x, y, z)) / thetaCondition_->getTime();
}
Real FdmHestonHullWhiteSolver::thetaAt(Real s, Real v, Rate r) const {
QL_REQUIRE(condition_->stoppingTimes().front() > 0.0,
"stopping time at zero-> can't calculate theta");
calculate();
const Array& rhs = thetaCondition_->getValues();
std::vector<Matrix> thetaValues(r_.size(), Matrix(v_.size(),x_.size()));
for (Size i=0; i < r_.size(); ++i) {
std::copy(rhs.begin()+i *v_.size()*x_.size(),
rhs.begin()+(i+1)*v_.size()*x_.size(),
thetaValues[i].begin());
}
Array y(r_.size());
const Real x = std::log(s);
for (Size i=0; i < r_.size(); ++i) {
y[i] = BicubicSpline(x_.begin(), x_.end(),
v_.begin(), v_.end(), thetaValues[i])(x, v);
}
return (MonotonicCubicNaturalSpline(r_.begin(), r_.end(), y.begin())(r)
- valueAt(s, v, r)) / thetaCondition_->getTime();
}
Interpolation2D interpolate(const I1& xBegin, const I1& xEnd,
const I2& yBegin, const I2& yEnd,
const M& z) const {
return BicubicSpline(xBegin,xEnd,yBegin,yEnd,z);
}