/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.filter;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleEntryIterator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Filter that partitions the time-series points based on removing near zero values.
*/
public class ZeroValueDoubleTimeSeriesFilter extends TimeSeriesFilter {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(ZeroValueDoubleTimeSeriesFilter.class);
private static final LocalDateDoubleTimeSeries EMPTY_SERIES = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
private double _zero;
/**
* Creates an instance.
*/
public ZeroValueDoubleTimeSeriesFilter() {
_zero = 1e-15;
}
/**
* Creates an instance.
*
* @param zero the zero tolerance, not negative
*/
public ZeroValueDoubleTimeSeriesFilter(final double zero) {
ArgumentChecker.notNegative(zero, "zero");
_zero = zero;
}
//-------------------------------------------------------------------------
public void setZero(final double zero) {
ArgumentChecker.notNegative(zero, "zero");
_zero = zero;
}
//-------------------------------------------------------------------------
@Override
public FilteredTimeSeries evaluate(final LocalDateDoubleTimeSeries ts) {
ArgumentChecker.notNull(ts, "ts");
if (ts.isEmpty()) {
s_logger.info("Time series was empty");
return new FilteredTimeSeries(EMPTY_SERIES, EMPTY_SERIES);
}
final int n = ts.size();
final int[] filteredDates = new int[n];
final double[] filteredData = new double[n];
final int[] rejectedDates = new int[n];
final double[] rejectedData = new double[n];
final LocalDateDoubleEntryIterator it = ts.iterator();
int i = 0, j = 0;
while (it.hasNext()) {
int date = it.nextTimeFast();
double value = it.currentValue();
if (Math.abs(value) < _zero) {
rejectedDates[j] = date;
rejectedData[j++] = value;
} else {
filteredDates[i] = date;
filteredData[i++] = value;
}
}
return getFilteredSeries(filteredDates, filteredData, i, rejectedDates, rejectedData, j);
}
}