HestonEstimator.HestonCallOptimizationProblem.SetVariables C# (CSharp) Method

        private void SetVariables(Matrix callMarketPrice, Vector maturity, Vector strike, Vector rate, Vector dividendYield, double s0)
        {
            this.s0 = s0;

            //var rf = new PFunction(maturity, rate);
            var dy = new PFunction(maturity, dividendYield);
            //var rfF = new Fairmat.Math.Integrate(x => rf.Evaluate(x));
            var dyF = new Fairmat.Math.Integrate(x => dy.Evaluate(x));

            this.rate = new Vector(maturity.Length);
            this.dividendYield = new Vector(maturity.Length);
            for (int z = 0; z < maturity.Length; z++)
            {
                //this.rate[z] = rfF.AdaptLobatto(0, maturity[z]) / maturity[z];
                this.dividendYield[z] = dyF.AdaptLobatto(0, maturity[z]) / maturity[z];
            }
            this.rate = rate;

            this.maturity = maturity;
            //this.drift = this.rate - this.dividendYield;
            this.strike = strike;
            this.callMarketPrice = callMarketPrice;
            this.numCall = 0;

            callWeight = new Matrix(this.callMarketPrice.R, this.callMarketPrice.C);
            putWeight = new Matrix(this.callMarketPrice.R, this.callMarketPrice.C);

            for (int r = 0; r < this.callMarketPrice.R; r++)
            {
                if (this.maturity[r] >= matBound[0] && this.maturity[r]<= matBound[1])
                {
                    for (int c = 0; c < this.callMarketPrice.C; c++)
                    {
                        if (this.strike[c] >= s0 * strikeBound[0] && this.strike[c] <= s0 * strikeBound[1])
                        {
                            if (calibrateOnCallOptions)
                                if (this.callMarketPrice[r, c] > s0 * optionThreshold && this.cpmd.CallVolume[r, c] > 0)
                                {
                                    this.callWeight[r, c] = CalculateWeight(this.cpmd.CallVolume[r, c]);
                                    this.numCall++;
                                    this.totalVolume += CalculateWeight(this.cpmd.CallVolume[r, c]) ;
                                }
                            if (calibrateOnPutOptions)
                                if (this.cpmd.PutPrice != null && this.cpmd.PutPrice[r, c] > s0 * optionThreshold && this.cpmd.PutVolume[r, c] > 0)
                                {
                                    this.putWeight[r, c] = CalculateWeight(this.cpmd.PutVolume[r, c]);

                                    this.numPut++;
                                    this.totalVolume += CalculateWeight(this.cpmd.PutVolume[r, c]);
                                }

                        }
                    }
                }
            }

            //calibrate minVolatility: actually in this.cpmd.Volatility there is sigma not sigma^2
            if (this.cpmd.Volatility != null)
            {
                //Rows maturities, columns strikes
                vLastMin = 0.5 * Math.Pow(this.cpmd.Volatility.Min().Min(), 2);

                v0Min = 0.99 * Math.Pow(this.cpmd.Volatility[0, Range.All].Min().Min(), 2);
                v0Max = 1.01 * Math.Pow(this.cpmd.Volatility[0, Range.All].Max().Max(), 2);
            }

            Console.WriteLine("Options weighting:\t" + weighting);
            Console.WriteLine("OptionThreshold:\t" + optionThreshold);
            Console.WriteLine("Strike Bounds:\t" + strikeBound);
            Console.WriteLine("Maturity Bounds:\t" + matBound);
            Console.WriteLine("Lb:\t" + Bounds.Lb);
            Console.WriteLine("Ub:\t" + Bounds.Ub);
            if(Engine.Verbose>=2)
                PutCallTest();
        }