Data
Key Data of function Create From Serial Data in Tablerefers to a 1D-array containing all data required to build the table.
The data is a series of values x₁ x₂ x₃ ... that carry the following meaning:
x1 must be an integer r that equals the table rank of the table to be produced.
The next value x₂ must be a text element that defines the data type identifier of the table's values.
The allowed text tokens are the identifiers defined in Data Type, whereby any blank characters are ignored.
The next r values x₃ , ... , xᵣ₊₂ must be all text elements that define the data type identifiers of the table's coordinates
The sequence must be from the outer coordinate to the inner coordinate
The next r values xᵣ₊₃ , ... , x₂ᵣ₊₂ must be all text elements that define the titles of the table's coordinates
Again, any blank characters are ignored.
The next r values x₂ᵣ₊₃ , ... , x₃ᵣ₊₂ must be all integers that define the coordinate dimensions of the table's coordinates
Then follow the coordinate values, starting with the values of the outer coordinate and ending with the values of the inner coordinate
The remaining values hold the table values that must be ordered like in a tensor product of vectors.
Example
Assume a 2x3 volatility table must be created with the outer coordinate being the maturity carrying the title#Maturity and the inner coordinate being the strike carrying the title#Strike
Thus the rows correspond to maturities and the columns to strikes.
Further assume the 2 maturities are the time periods %1Y and %2Y and the 3 strikes are 90 , 100 and 110
Below is how the volatility table should look like with its contained volatility values:
Below is the series of values x₁ x₂ x₃ ... that produce this table:
x₁ = 2 because the table's rank is 2
x₂ = N which is the data type identifier of the table's values, the vols
x₃ = S which is the data type identifier of the outer coordinate, the maturity
x₄ = N which is the data type identifier of the inner coordinate, the strike
x₅ = #Maturity which is the title of the outer coordinate, i.e. the title of maturities
x₆ = #Strike which is the title of the inner coordinate, i.e. the title of strikes
x₇ = 2 which is the dimension of the outer coordinate, i.e. the number of maturities
x₈ = 3 which is the dimension of the inner coordinate, i.e. the number of strikes
x₉ , x₁₀ = %1Y , %2Y which are the values of the outer coordinate, i.e. the available maturities expressed as handle names of trivial objects of type Step
x₁₁ , x₁₂ , x₁₃ = 90 , 100 , 110 which are the values of the inner coordinate, i.e. the available strikes
x₁₄ , x₁₅ , x₁₆ , x₁₇ , x₁₈ , x₁₉ = 0.1 , 0.2 , 0.3 , 0.4 , 0.5 , 0.6 which are the table values, i.e. the available vols, ordered row by row
If the input to Interpolate is TRUE, one or more of the vol values can be missing.