Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.Interpolator1D

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  @Override
  public InterpolatedYieldCurveSpecificationWithSecurities buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final LocalDate curveDate = deserializer.fieldValueToObject(LocalDate.class, message.getByName("curveDate"));
    final String name = message.getString("name");
    final Currency currency = deserializer.fieldValueToObject(Currency.class, message.getByName("currency"));
    final Interpolator1D interpolator = deserializer.fieldValueToObject(Interpolator1D.class, message.getByName("interpolator"));
    final List<FudgeField> resolvedStripFields = message.getAllByName("resolvedStrips");
    final List<FixedIncomeStripWithSecurity> resolvedStrips = new ArrayList<FixedIncomeStripWithSecurity>();
    for (final FudgeField resolvedStripField : resolvedStripFields) {
      resolvedStrips.add(deserializer.fieldValueToObject(FixedIncomeStripWithSecurity.class, resolvedStripField));
    }
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  public InterpolatedYieldCurveSpecification buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
    final LocalDate curveDate = deserializer.fieldValueToObject(LocalDate.class, message.getByName(CURVE_DATE_FIELD));
    final String name = message.getString(NAME_FIELD);
    final Currency currency = deserializer.fieldValueToObject(Currency.class, message.getByName(CURRENCY_FIELD));
    final ExternalId region = deserializer.fieldValueToObject(ExternalId.class, message.getByName(REGION_FIELD));
    final Interpolator1D interpolator = deserializer.fieldValueToObject(Interpolator1D.class, message.getByName(INTERPOLATOR_FIELD));
    final List<FudgeField> resolvedStripFields = message.getAllByName(RESOLVED_STRIPS_FIELD);
    final List<FixedIncomeStripWithIdentifier> resolvedStrips = new ArrayList<FixedIncomeStripWithIdentifier>();
    for (final FudgeField resolvedStripField : resolvedStripFields) {
      resolvedStrips.add(deserializer.fieldValueToObject(FixedIncomeStripWithIdentifier.class, resolvedStripField));
    }
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  // @export "interpolatorExtrapolatorDoublesCurveDemo"
  public static void interpolatorExtrapolatorDoublesCurveDemo(PrintStream out) {
    double[] xdata = {1.0, 2.0, 3.0};
    double[] ydata = {2.0, 4.0, 6.0};

    Interpolator1D interpolator = new LinearInterpolator1D();
    Interpolator1D leftExtrapolator = new LinearExtrapolator1D(interpolator);
    Interpolator1D rightExtrapolator = new LinearExtrapolator1D(interpolator);
    Interpolator1D combined = new CombinedInterpolatorExtrapolator(interpolator, leftExtrapolator, rightExtrapolator);

    Curve<Double, Double> curve = new InterpolatedDoublesCurve(xdata, ydata, combined, true);

    out.println(curve.getYValue(1.0));
    out.println(curve.getYValue(2.0));
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  // CSON

  public static YieldCurveBundle getBundle() {
    final YieldCurveBundle bundle = new YieldCurveBundle();

    final Interpolator1D extrapolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.DOUBLE_QUADRATIC, LINEAR_EXTRAPOLATOR, FLAT_EXTRAPOLATOR);

    final InterpolatedDoublesCurve fCurve = InterpolatedDoublesCurve.from(FUNDING_CURVE_TIMES, FUNDING_YIELDS, extrapolator);
    final YieldCurve fundingCurve = YieldCurve.from(fCurve);
    bundle.setCurve(FUNDING_CURVE_NAME, fundingCurve);
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    final LinkedHashMap<String, Interpolator1D> transformedInterpolators = new LinkedHashMap<>(_nSmileModelParameters);
    sum = 0;
    index = 0;
    for (final String name : _parameterNames) {
      sum += nodePoints.get(name).length;
      final Interpolator1D tInter = new TransformedInterpolator1D(interpolators.get(name), transforms[index++]);
      transformedInterpolators.put(name, tInter);
    }

    _curveBuilder = new InterpolatedCurveBuildingFunction(nodePoints, transformedInterpolators);
    _nKnotPoints = sum;
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    final LinkedHashMap<String, Interpolator1DDataBundle> res = new LinkedHashMap<>();
    int index = 0;

    for (final String name : _interpolators.keySet()) {
      final Interpolator1D interpolator = _interpolators.get(name);
      final double[] nodes = _knotPoints.get(name);
      final double[] values = Arrays.copyOfRange(x.getData(), index, index + nodes.length);
      index += nodes.length;
      final Interpolator1DDataBundle db = interpolator.getDataBundleFromSortedArrays(nodes, values);
      res.put(name, db);
    }

    return res;
  }
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        xyData[i + j * expiryTimes.length] = DoublesPair.of(expiryTimes[i], strikes[j]);
        volatilityVector[i + j * expiryTimes.length] = volatility[i][j];
      }
    }

    final Interpolator1D linearFlat = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    final GridInterpolator2D interpolator = new GridInterpolator2D(linearFlat, linearFlat);
    _volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
    _index = parameters.getIndex();

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    throw new IllegalArgumentException("Data for name " + name + " not found");
  }

  public Interpolator1D getInterpolatorForCurve(final String name) {
    ArgumentChecker.notNull(name, "name");
    final Interpolator1D result = _unknownCurveInterpolators.get(name);
    if (result == null) {
      throw new IllegalArgumentException("Data for name " + name + " not found");
    }
    return result;
  }
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        xyData[i + j * expiryTimes.length] = DoublesPair.of(expiryTimes[i], strikes[j]);
        volatilityVector[i + j * expiryTimes.length] = volatility[i][j];
      }
    }

    final Interpolator1D linearFlat = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.FLAT_EXTRAPOLATOR,
        Interpolator1DFactory.FLAT_EXTRAPOLATOR);
    final GridInterpolator2D interpolator = new GridInterpolator2D(linearFlat, linearFlat);
    _volatility = InterpolatedDoublesSurface.from(xyData, volatilityVector, interpolator);
    _index = parameters.getIndex();
  }
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    final List<Double> result = new ArrayList<>();
    if (!(curve.getCurve() instanceof InterpolatedDoublesCurve)) {
      throw new IllegalArgumentException("Can only handle interpolated curves at the moment");
    }
    final InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve.getCurve();
    final Interpolator1D interpolator = interpolatedCurve.getInterpolator();
    final Interpolator1DDataBundle data = interpolatedCurve.getDataBundle();
    if (sensitivityList != null && sensitivityList.size() > 0) {
      final double[][] sensitivityYY = new double[sensitivityList.size()][];
      // Implementation note: Sensitivity of the interpolated yield to the node yields
      int k = 0;
      for (final DoublesPair timeAndS : sensitivityList) {
        sensitivityYY[k++] = interpolator.getNodeSensitivitiesForValue(data, timeAndS.getFirst());
      }
      for (int j = 0; j < sensitivityYY[0].length; j++) {
        double temp = 0.0;
        k = 0;
        for (final DoublesPair timeAndS : sensitivityList) {
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