/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.credit.cds;
import org.apache.commons.lang.Validate;
import com.opengamma.analytics.math.interpolation.Interpolator1D;
import com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
/**
* Curve extrapolation as defined by ISDA
*
* @author Martin Traverse, Niels Stchedroff (Riskcare)
*/
public class ISDAExtrapolator1D extends Interpolator1D {
private static final long serialVersionUID = 1L;
@Override
public Double interpolate(Interpolator1DDataBundle data, Double value) {
Validate.notNull(value, "Value to be interpolated must not be null");
Validate.notNull(data, "Data bundle must not be null");
double[] xValues = data.getKeys();
double[] yValues = data.getValues();
Validate.isTrue(xValues.length == yValues.length, "Invalid data in curve object");
Validate.isTrue(xValues.length > 1, "At least two data points are required for extrapolation");
Validate.isTrue(value > xValues[xValues.length - 1], "Value must lie beyond curve data for extrapolation");
// Avoid divide by zero errors (offset factors out of the final result if it is used)
final double offset = value == 0.0 ? 1.0 : 0.0;
final double x1 = xValues[xValues.length - 2];
final double y1 = yValues[yValues.length - 2];
final double y1x1 = y1 * (x1 + offset);
final double x2 = xValues[xValues.length - 1];
final double y2 = yValues[yValues.length - 1];
final double y2x2 = y2 * (x2 + offset);
return (y1x1 + (value - x1) / (x2 - x1) * (y2x2 - y1x1)) / (value + offset);
}
@Override
public double firstDerivative(Interpolator1DDataBundle data, Double value) {
Validate.notNull(value, "Value to be interpolated must not be null");
Validate.notNull(data, "Data bundle must not be null");
double[] xValues = data.getKeys();
double[] yValues = data.getValues();
Validate.isTrue(xValues.length == yValues.length, "Invalid data in curve object");
Validate.isTrue(xValues.length > 1, "At least two data points are required for extrapolation");
Validate.isTrue(value > xValues[xValues.length - 1], "Value must lie beyond curve data for extrapolation");
// Avoid divide by zero errors (offset factors out of the final result if it is used)
final double offset = value == 0.0 ? 1.0 : 0.0;
final double x1 = xValues[xValues.length - 2];
final double y1 = yValues[yValues.length - 2];
final double y1x1 = y1 * (x1 + offset);
final double x2 = xValues[xValues.length - 1];
final double y2 = yValues[yValues.length - 1];
final double y2x2 = y2 * (x2 + offset);
final double valueWithOffset = value + offset;
return (y2x2 - y1x1) / (x2 - x1) / valueWithOffset - (y1x1 + (value - x1) / (x2 - x1) * (y2x2 - y1x1)) / valueWithOffset / valueWithOffset;
}
@Override
public double[] getNodeSensitivitiesForValue(Interpolator1DDataBundle data, Double value) {
throw new UnsupportedOperationException("Nodal sensitivities are not supported for the ISDA interpolation method");
}
@Override
public Interpolator1DDataBundle getDataBundle(double[] x, double[] y) {
return new ArrayInterpolator1DDataBundle(x, y);
}
@Override
public Interpolator1DDataBundle getDataBundleFromSortedArrays(double[] x, double[] y) {
return new ArrayInterpolator1DDataBundle(x, y, true);
}
}