Example usage for org.apache.commons.math.analysis.interpolation SplineInterpolator interpolate

Introduction

In this page you can find the example usage for org.apache.commons.math.analysis.interpolation SplineInterpolator interpolate.

Prototype

public PolynomialSplineFunction interpolate(double x[], double y[]) 

Source Link

Document

Computes an interpolating function for the data set.

Usage

From source file:ch.algotrader.option.OptionUtil.java

/**
 * Gets the implied volatility of a {@link Option} based on a {@link SABRSurfaceVO}.
 *//*w  w w  .  jav a  2 s .co  m*/
public static double getImpliedVolatilitySABR(final double underlyingSpot, final double strike,
        final double years, final double intrest, final double dividend, final OptionType type,
        final SABRSurfaceVO surface) throws MathException {

    double forward = getForward(underlyingSpot, years, intrest, dividend);

    // get sabrVolas for all durations at the specified strike
    int i = 0;
    double[] yearsArray = new double[surface.getSmiles().size()];
    double[] volArray = new double[surface.getSmiles().size()];
    for (SABRSmileVO smile : surface.getSmiles()) {

        double vol = SABR.volByAtmVol(forward, strike, smile.getAtmVol(), smile.getYears(), beta,
                smile.getRho(), smile.getVolVol());

        yearsArray[i] = smile.getYears();
        volArray[i] = vol;
        i++;
    }

    // spline interpolation for years
    SplineInterpolator interpolator = new SplineInterpolator();
    PolynomialSplineFunction function = interpolator.interpolate(yearsArray, volArray);

    return function.value(years);
}

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