Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.GridInterpolator2D

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   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by the shift with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
        -0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, new GridInterpolator2D(
            LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
        0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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    final YieldCurveBundle CURVES = new YieldCurveBundle();
    CURVES.setCurve(FUNDING_CURVE_NAME, CURVE_5);
    CURVES.setCurve(FORWARD_CURVE_NAME, CURVE_4);
    // Parameter surfaces are expiry - maturity - parameter
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.5,
        0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.50,
        0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    final SABRInterestRateParameters sabrParameter = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT_STANDARD);
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    // Swaption pricing.
    final double priceLongPayer = SWAPTION_LONG_PAYER.accept(PVC, sabrBundle);
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  }

  @Test
  public void testInterpolatedSurface() {
    final LinearInterpolator1D linear = new LinearInterpolator1D();
    final GridInterpolator2D interpolator = new GridInterpolator2D(linear, linear);
    Surface<Double, Double, Double> s1 = InterpolatedDoublesSurface.from(new double[] {1, 2, 3, 4 }, new double[] {4, 5, 6, 7 }, new double[] {8, 9, 10, 11 }, interpolator);
    Surface<Double, Double, Double> s2 = cycleObject(Surface.class, s1);
    assertEquals(s1, s2);
    s1 = InterpolatedDoublesSurface.from(new double[] {1, 2, 3, 4 }, new double[] {4, 5, 6, 7 }, new double[] {8, 9, 10, 11 }, interpolator, "NAME");
    s2 = cycleObject(Surface.class, s1);
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    if (x.isEmpty()) {
      throw new OpenGammaRuntimeException("Could not get any data for " + volatilityDataRequirement);
    }
    final Interpolator1D xInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(xInterpolatorName, leftXExtrapolatorName, rightXExtrapolatorName);
    final Interpolator1D yInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(yInterpolatorName, leftYExtrapolatorName, rightYExtrapolatorName);
    final GridInterpolator2D interpolator = new GridInterpolator2D(xInterpolator, yInterpolator);
    final Surface<Double, Double, Double> surface = InterpolatedDoublesSurface.from(x.toDoubleArray(), y.toDoubleArray(), sigma.toDoubleArray(), interpolator);
    final VolatilitySurface volatilitySurface = new VolatilitySurface(surface);
    final ValueProperties properties = getResultProperties(surfaceName, instrumentType, leftXExtrapolatorName, rightXExtrapolatorName, xInterpolatorName, leftYExtrapolatorName,
        rightYExtrapolatorName, yInterpolatorName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.INTERPOLATED_VOLATILITY_SURFACE, target.toSpecification(), properties);
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    final String rightXExtrapolatorName = desiredValue.getConstraint(RIGHT_X_EXTRAPOLATOR_NAME);
    final String leftYExtrapolatorName = desiredValue.getConstraint(LEFT_Y_EXTRAPOLATOR_NAME);
    final String rightYExtrapolatorName = desiredValue.getConstraint(RIGHT_Y_EXTRAPOLATOR_NAME);
    final Interpolator1D xInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(xInterpolatorName, leftXExtrapolatorName, rightXExtrapolatorName);
    final Interpolator1D yInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(yInterpolatorName, leftYExtrapolatorName, rightYExtrapolatorName);
    return new GridInterpolator2D(xInterpolator, yInterpolator);
  }
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    final String yInterpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.Y_INTERPOLATOR_NAME);
    final String yLeftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_Y_EXTRAPOLATOR_NAME);
    final String yRightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_Y_EXTRAPOLATOR_NAME);
    final Interpolator1D xInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(xInterpolatorName, xLeftExtrapolatorName, xRightExtrapolatorName);
    final Interpolator1D yInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(yInterpolatorName, yLeftExtrapolatorName, yRightExtrapolatorName);
    final GridInterpolator2D nodeSensitivityCalculator = new GridInterpolator2D(xInterpolator, yInterpolator);
    final Map<Double, DoubleMatrix2D> result = SABRVegaCalculationUtils.getVegaCube(alpha, rho, nu, alphaDataBundle, rhoDataBundle, nuDataBundle, inverseJacobians, expiryMaturity,
        nodeSensitivityCalculator);
    final DoubleLabelledMatrix3D labelledMatrix = VegaMatrixUtils.getVegaSwaptionCubeQuoteMatrix(fittedDataPoints.getFittedPoints(), result);
    final ValueProperties properties = getResultProperties(createValueProperties().get(), currency.getCode(), desiredValue);
    final ValueSpecification spec = new ValueSpecification(getValueRequirement(), target.toSpecification(), properties);
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    other = new InterpolatedDoublesSurface(X_PRIMITIVE, X_PRIMITIVE, Z_PRIMITIVE, INTERPOLATOR, NAME);
    assertFalse(other.equals(surface));
    other = new InterpolatedDoublesSurface(X_PRIMITIVE, Y_PRIMITIVE, Y_PRIMITIVE, INTERPOLATOR, NAME);
    assertFalse(other.equals(surface));
    other = new InterpolatedDoublesSurface(X_PRIMITIVE, Y_PRIMITIVE, Z_PRIMITIVE,
        new GridInterpolator2D(INTERPOLATOR_1D, new StepInterpolator1D()), NAME);
    assertFalse(other.equals(surface));
    other = new InterpolatedDoublesSurface(X_PRIMITIVE, Y_PRIMITIVE, Z_PRIMITIVE, INTERPOLATOR, "P");
    assertFalse(other.equals(surface));
    other = new InterpolatedDoublesSurface(X_OBJECT, Y_OBJECT, Z_OBJECT, INTERPOLATOR, NAME);
    assertEquals(surface, other);
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