Package com.opengamma.analytics.math.curve

Examples of com.opengamma.analytics.math.curve.InterpolatedDoublesCurve

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  @Override
  public String convertToText(ResultConverterCache context, ValueSpecification valueSpec, ForwardCurve value) {
    if (value.getForwardCurve() instanceof InterpolatedDoublesCurve) {
      StringBuilder sb = new StringBuilder();
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getForwardCurve();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      boolean isFirst = true;
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        if (isFirst) {
          isFirst = false;
        } else {
          sb.append("; ");
        }
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    _interpolator = interpolator;
  }

  @Override
  public VolatilityTermStructure evaluate(final DoubleMatrix1D data) {
    final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(_knots, data.getData(), _interpolator, true);
    return new VolatilityTermStructure() {

      @Override
      public Double getVolatility(final Double t) {
        return curve.getYValue(t);
      }
    };
  }
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  @Override
  public Object convertForDisplay(ResultConverterCache context, ValueSpecification valueSpec, YieldCurve value, ConversionMode mode) {
    Map<String, Object> result = new HashMap<String, Object>();
   
    if (value.getCurve() instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getCurve();
      // Summary view includes only the actual points of the curve
      List<Double[]> data = new ArrayList<Double[]>();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      result.put("summary", data);
     
      if (mode == ConversionMode.FULL) {
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  @Override
  public String convertToText(ResultConverterCache context, ValueSpecification valueSpec, YieldCurve value) {
    if (value.getCurve() instanceof InterpolatedDoublesCurve) {
      StringBuilder sb = new StringBuilder();
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value.getCurve();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      boolean isFirst = true;
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        if (isFirst) {
          isFirst = false;
        } else {
          sb.append("; ");
        }
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    final Function1D<DoubleMatrix1D, DoubleMatrix1D> residualFunc = new Function1D<DoubleMatrix1D, DoubleMatrix1D>() {
      @SuppressWarnings("synthetic-access")
      @Override
      public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
        final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(TENORS, x.getData(), baseInterpolator, true);

        final DoubleMatrix1D modelRates = swapRateFunction.evaluate(curve);
        return (DoubleMatrix1D) MA.subtract(new DoubleMatrix1D(RATES), modelRates);
      }
    };

    final DoubleMatrix1D rootRes = rootFinder.getRoot(residualFunc, new DoubleMatrix1D(N_SWAPS, 0.03));

    final InterpolatedDoublesCurve curve = new InterpolatedDoublesCurve(TENORS, rootRes.getData(), baseInterpolator, true);
    System.out.println();
    for (int i = 0; i < 101; i++) {
      final double t = i * 20.0 / 100;
      System.out.println(t + "\t" + curve.getYValue(t));
    }

  }
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  @Override
  public Object convertForDisplay(final ResultConverterCache context, final ValueSpecification valueSpec, final DoublesCurve value, final ConversionMode mode) {
    Map<String, Object> result = new HashMap<String, Object>();
    if (value instanceof InterpolatedDoublesCurve) {
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value;
      List<Double[]> data = new ArrayList<Double[]>();
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        data.add(new Double[] {xData[i], yData[i]});
      }
      result.put("summary", data);
      if (mode == ConversionMode.FULL) {
        List<Double[]> detailedData = getData(interpolatedCurve);
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  @Override
  public String convertToText(final ResultConverterCache context, final ValueSpecification valueSpec, final DoublesCurve value) {
    if (value instanceof InterpolatedDoublesCurve) {
      StringBuilder sb = new StringBuilder();
      InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) value;
      double[] xData = interpolatedCurve.getXDataAsPrimitive();
      double[] yData = interpolatedCurve.getYDataAsPrimitive();
      boolean isFirst = true;
      for (int i = 0; i < interpolatedCurve.size(); i++) {
        if (isFirst) {
          isFirst = false;
        } else {
          sb.append("; ");
        }
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      timeValueUs[2 + 2 * loopus] = TimeCalculator.getTimeBetween(pricingDate, maturityDateUs[2 * loopus]);
      timeValueUs[2 + 2 * loopus + 1] = TimeCalculator.getTimeBetween(pricingDate, maturityDateUs[2 * loopus + 1]);
      indexValueUs[2 + 2 * loopus] = indexValueUs[0] * Math.pow(1 + 0.02, yearUs[loopus]); // 2% inflation a year.
      indexValueUs[2 + 2 * loopus + 1] = indexValueUs[1] * Math.pow(1 + 0.02, yearUs[loopus]); // 2% inflation a year.
    }
    final InterpolatedDoublesCurve curveUs = InterpolatedDoublesCurve.from(timeValueUs, indexValueUs, new LinearInterpolator1D(), NAME_USD_PRICE_INDEX);
    final PriceIndexCurve priceIndexCurveUs = new PriceIndexCurve(curveUs);
    market.setCurve(PRICE_INDEX_USD, priceIndexCurveUs);
    return market;
  }
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  public void simpleTest() {
    ArrayList<Double> xs = Lists.newArrayList(1.0, 2.0, 3.0, 4.0, 5.0, 6.0, 7.0, 8.0);
    ArrayList<Double> ys = Lists.newArrayList(1.0, 2.0, 1.0, 2.0, 3.0, 4.0, 5.0, 6.0);
    DoubleQuadraticInterpolator1D interpolator = new DoubleQuadraticInterpolator1D();

    InterpolatedDoublesCurve inputCurve = InterpolatedDoublesCurve.from(xs, ys, interpolator);

    NodalDoublesCurve interpolatedCurve = YieldCurveInterpolatingFunction.interpolateCurve(inputCurve);

    AssertJUnit.assertNotSame(0, interpolatedCurve.getXData().length);
    AssertJUnit.assertNotSame(0, interpolatedCurve.getYData().length);
    AssertJUnit.assertEquals(xs.get(0), interpolatedCurve.getXData()[0]);
    AssertJUnit.assertEquals(xs.get(xs.size() - 1),
        interpolatedCurve.getXData()[interpolatedCurve.getXData().length - 1]);

    for (int i = 0; i < interpolatedCurve.getXData().length; i++) {
      double x = interpolatedCurve.getXData()[i];
      double y = interpolatedCurve.getYData()[i];
      AssertJUnit.assertEquals(inputCurve.getYValue(x), y);
    }
   
    for (int i = 1; i < interpolatedCurve.getXData().length; i++) {
      double x = interpolatedCurve.getXData()[i];
      double prevX = interpolatedCurve.getXData()[i-1];
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    final double[] fpsExpected = new double[NB_MARKET_QUOTES];
    final double shift = 1.0E-6;
    for (int loopt = 0; loopt < NB_MARKET_QUOTES; loopt++) {
      final double[] mqpShift = MARKET_QUOTES_FWD.clone();
      mqpShift[loopt] += shift;
      final InterpolatedDoublesCurve fwdPtsShift = new InterpolatedDoublesCurve(MARKET_QUOTES_TIME, mqpShift, LINEAR_FLAT, true);
      final MultipleCurrencyAmount pvShift = METHOD_FX_PTS.presentValue(FX, MULTICURVES, fwdPtsShift, PAIR);
      fpsExpected[loopt] = (pvShift.getAmount(CUR_2) - pv.getAmount(CUR_2)) / shift;
      assertEquals("ForexForwardPointsMethod: presentValueForwardPointsSensitivity - node " + loopt, fpsExpected[loopt], fpsComputed[loopt], TOLERANCE_PV_DELTA);
    }
  }
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