Package com.opengamma.analytics.financial.credit.cds

Examples of com.opengamma.analytics.financial.credit.cds.ISDAExtrapolator1D


  public void firstDerivativeExtrapolatorstest() {
    final double[][] xValues = new double[][] { {1., 2., 3., 4., 5., 6. }, {2., 2.1, 4., 5.1, 5.22, 6.8 } };
    final double[][] yValues = new double[][] { {1., 1.1, 2., 3., 5.9, 6. }, {1., -1.1, 2.6, -3., -3.9, 3. } };
    final int dim = xValues.length;

    final Interpolator1D[] extrap = new Interpolator1D[] {new ExponentialExtrapolator1D(), new FlatExtrapolator1D(), new LinearExtrapolator1D(new PCHIPInterpolator1D()), new ISDAExtrapolator1D(),
        new CombinedInterpolatorExtrapolator(new PCHIPInterpolator1D(), new ExponentialExtrapolator1D(), new FlatExtrapolator1D()) };
    final int nMethods = extrap.length;
    final Interpolator1D interp = new PCHIPInterpolator1D();
    for (int j = 0; j < dim; ++j) {
      Interpolator1DDataBundle data = interp.getDataBundleFromSortedArrays(xValues[j], yValues[j]);
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