/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.returns;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.timeseries.TimeSeriesException;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleEntryIterator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.CalculationMode;
/**
*
*/
public class SimpleNetRelativeTimeSeriesReturnCalculator extends RelativeTimeSeriesReturnCalculator {
private static final Logger s_logger = LoggerFactory.getLogger(SimpleNetRelativeTimeSeriesReturnCalculator.class);
private static final double ZERO = 1e-12;
public SimpleNetRelativeTimeSeriesReturnCalculator(final CalculationMode mode) {
super(mode);
}
@Override
public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
testInputData(x);
if (x.length > 2) {
s_logger.info("Have more than two time series in array; only using first two");
}
final LocalDateDoubleTimeSeries ts1 = x[0];
final LocalDateDoubleTimeSeries ts2 = x[1];
final int n = ts1.size();
final int[] times = new int[n];
final double[] returns = new double[n];
final LocalDateDoubleEntryIterator iter1 = ts1.iterator();
int i = 0;
while (iter1.hasNext()) {
final int date = iter1.nextTimeFast();
final Double value2 = ts2.getValue(date);
if (value2 == null || Math.abs(value2) < ZERO) {
if (getMode().equals(CalculationMode.STRICT)) {
throw new TimeSeriesException("No data in second series for time " + iter1.currentTime());
}
} else {
times[i] = iter1.currentTimeFast();
returns[i++] = (iter1.currentValue() / value2 - 1);
}
}
return getSeries(times, returns, i);
}
}