5.118 interpolate_surfacestruct

Loadable Function: retvec = interpolate_surfacestruct(struct,xx, yy)

Interpolate surface values from all elements of an structure array of all surface fieldnames.

This function should be called from getValue method of Surface class which handles all input and ouput data. Please note that axis values needs to be sorted.

Input and output variables:

• struct: structure with the following fields (struct)
  • id: scenario ID (string)
  • surface: volatility surface (one volatility value per x,y,z coordinate) (NDArray)
  • x_axis: sorted vector of x-axis values (NDArray)
  • y_axis: sorted vector of y-axis values (NDArray)
• xx: x coordinate used for interpolation of surface value
• yy: y coordinate used for interpolation of surface value (scalar or vector)
• retvec: return vector of scenario dependent interpolated volatility values (NDArray)