Examples of ISDAInterpolator1D

com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D
Curve interpolation as defined by ISDA. This is nothing more that linear interpolation of the quantity x*y, which is the (negative) log of the survival rate. @author Martin Traverse, Niels Stchedroff (Riskcare)

Examples of com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D

    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., 2.1, 3., 3.1, 3.22, 4.8 } };
    final int dim = xValues.length;
    final int nData = xValues[0].length;
    final int nKeys = 11 * nData;
    final Interpolator1D[] interp = new Interpolator1D[] {new DoubleQuadraticInterpolator1D(), new ExponentialInterpolator1D(), new ISDAInterpolator1D(), new LinearInterpolator1D(),
        new LogLinearInterpolator1D(), new NaturalCubicSplineInterpolator1D(), new PCHIPInterpolator1D(), new PCHIPYieldCurveInterpolator1D(),
        new LogNaturalCubicMonotonicityPreservingInterpolator1D(), new StepInterpolator1D(), new StepUpperInterpolator1D(), new TimeSquareInterpolator1D() };
    final int nMethods = interp.length;
    for (int j = 0; j < dim; ++j) {
      for (int i = 0; i < nMethods; ++i) {

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Examples of com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D

    final double[][] xValues = new double[][] { {1., 2., 3. }, {2., 2.1, 4. } };
    final double[][] yValues = new double[][] { {1., 1.1, 2. }, {1., 2.1, 3. } };
    final int dim = xValues.length;
    final int nData = xValues[0].length;
    final int nKeys = 11 * nData;
    final Interpolator1D[] interp = new Interpolator1D[] {new DoubleQuadraticInterpolator1D(), new ExponentialInterpolator1D(), new ISDAInterpolator1D(), new LinearInterpolator1D(),
        new LogLinearInterpolator1D(), new NaturalCubicSplineInterpolator1D(), new PCHIPInterpolator1D(), new PCHIPYieldCurveInterpolator1D(),
        new StepInterpolator1D(), new StepUpperInterpolator1D(), new TimeSquareInterpolator1D() };
    final int nMethods = interp.length;
    for (int j = 0; j < dim; ++j) {
      for (int i = 0; i < nMethods; ++i) {

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Examples of com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D

    final double[][] xValues = new double[][] { {1., 2. }, {2., 2.1 } };
    final double[][] yValues = new double[][] { {1., 1.1 }, {1., 2.1 } };
    final int dim = xValues.length;
    final int nData = xValues[0].length;
    final int nKeys = 11 * nData;
    final Interpolator1D[] interp = new Interpolator1D[] {new DoubleQuadraticInterpolator1D(), new ExponentialInterpolator1D(), new ISDAInterpolator1D(), new LinearInterpolator1D(),
        new LogLinearInterpolator1D(), new NaturalCubicSplineInterpolator1D(), new PCHIPYieldCurveInterpolator1D(),
        new StepInterpolator1D(), new StepUpperInterpolator1D(), new TimeSquareInterpolator1D() };
    final int nMethods = interp.length;
    for (int j = 0; j < dim; ++j) {
      for (int i = 0; i < nMethods; ++i) {

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