HestonEstimator.HestonCallOptimizationProblem.CalculateSingleRowWithInterpolation C# (CSharp) Method

        private void CalculateSingleRowWithInterpolation(object context)
        {
            HestonCall hc = context as HestonCall;
            int r = hc.row;
            hc.sum = 0;

            // Finds upper extreme for call and put
            int max_c =0;
            for (int c = this.callMarketPrice.C-1; c > 0; c--)
            {
                bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
                bool putCondition = this.cpmd.PutPrice!=null &&  this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
                if (callCondition || putCondition)
                {
                    max_c = c;
                    break;
                }
            }

             var strikes = new List<double>();
             var calls = new List<double>();
             var puts = new List<double>();

            //Evaluates in strategic points
            for (int c = 0; c < this.callMarketPrice.C; c++)
            {
                bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
                bool putCondition = this.cpmd.PutPrice!=null&& this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;
                if (callCondition || putCondition)
                {
                    hc.K = this.strike[c];
                    var callPut = hc.HestonCallPutPrice();
                    strikes.Add(hc.K);
                    calls.Add(callPut[0]);
                    puts.Add(callPut[1]);
                    if (c == max_c)
                        break;

                    c += 1;//skip the subsequent strikes

                    if (c > max_c)
                        c = max_c;
                }
            }

            // Builds interpolated call and put values.

            var callFun = new PFunction((Vector)strikes.ToArray(), (Vector)calls.ToArray());
            callFun.m_Function.iType = DVPLUtils.EInterpolationType.SPLINE;

            var putFun = new PFunction((Vector)strikes.ToArray(), (Vector)puts.ToArray());
            putFun.m_Function.iType = DVPLUtils.EInterpolationType.SPLINE;

            // Evaluates at the requested strikes

            for (int c = 0; c < this.callMarketPrice.C; c++)
            {
                bool callCondition = this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0;
                bool putCondition = this.cpmd.PutPrice!=null && this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0;

                if (callCondition)
                {
                    hc.hestonCallPrice[r, c] = callFun.Evaluate(this.strike[c]);
                    if (HestonCallOptimizationProblem.optimizeRelativeError)
                    {
                        double mkt = pricingMin + this.callMarketPrice[r, c];
                        double model = pricingMin + hc.hestonCallPrice[r, c];
                        hc.sum += callWeight[r,c] * Math.Pow((model - mkt) / mkt, 2);
                    }
                    else
                    {
                        hc.sum += callWeight[r, c] * Math.Pow(hc.hestonCallPrice[r, c] - this.callMarketPrice[r, c], 2);
                    }
                }

                if (putCondition)
                {
                    hc.hestonPutPrice[r, c] = putFun.Evaluate(this.strike[c]);
                    if (HestonCallOptimizationProblem.optimizeRelativeError)
                    {
                        double mkt = pricingMin + this.cpmd.PutPrice[r, c];
                        double model = pricingMin + hc.hestonPutPrice[r, c];
                        hc.sum +=  putWeight[r, c] * Math.Pow((model - mkt) / mkt, 2);
                    }
                    else
                    {
                        hc.sum += putWeight[r, c] * Math.Pow(hc.hestonPutPrice[r, c] - this.cpmd.PutPrice[r, c], 2);
                    }
                }

            }

            return;
        }