Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.Interpolator1D

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          }
        }
        if (expiries.size() == 0) {
          throw new OpenGammaRuntimeException("Could not get any values for forward swaps");
        }
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator));
        return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName, forwardTenorName), curve));
      }

      private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName,
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    final boolean useIntegratedVariance = BlackVolatilitySurfacePropertyUtils.useIntegratedVariance(volatilityTransform);
    final GeneralSmileInterpolator smileInterpolator = getSmileInterpolator(desiredValue);
    final String interpolator = desiredValue.getConstraint(PROPERTY_TIME_INTERPOLATOR);
    final String leftExtrapolator = desiredValue.getConstraint(PROPERTY_TIME_LEFT_EXTRAPOLATOR);
    final String rightExtrapolator = desiredValue.getConstraint(PROPERTY_TIME_RIGHT_EXTRAPOLATOR);
    final Interpolator1D timeInterpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolator, leftExtrapolator, rightExtrapolator);
    final VolatilitySurfaceInterpolator surfaceInterpolator = new VolatilitySurfaceInterpolator(smileInterpolator, timeInterpolator, useLogTime, useIntegratedVariance, useLogValue);
    final ValueProperties properties = getResultProperties(desiredValue);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.BLACK_VOLATILITY_SURFACE_INTERPOLATOR, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, surfaceInterpolator));
  }
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      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
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      if (definition instanceof InterpolatedCurveDefinition) {
        final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
        final String interpolatorName = interpolatedDefinition.getInterpolatorName();
        final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
        final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        return new GeneratorPriceIndexCurveInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
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      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
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      final InterpolatedYieldCurveSpecificationWithSecurities spec = getYieldCurveSpecification(inputs, targetSpec, curveName);
      if (spec == null) {
        continue;
      }
      int nInstruments = 0;
      final Interpolator1D interpolator = spec.getInterpolator();
      final SnapshotDataBundle marketData = getMarketData(inputs, targetSpec, curveName);
      final DoubleArrayList nodeTimes = new DoubleArrayList();
      FixedIncomeStripWithSecurity previousStrip = null;
      for (final FixedIncomeStripWithSecurity strip : spec.getStrips()) {
        final Double marketValue = marketData.getDataPoint(strip.getSecurityIdentifier());
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          }
        }
        if (expiries.size() == 0) {
          throw new OpenGammaRuntimeException("Could not get any values for FX forwards");
        }
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(expiries, forwards, interpolator));
        return Collections.singleton(new ComputedValue(getResultSpec(target, curveName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName), curve));
      }

      private ValueSpecification getResultSpec(final ComputationTarget target, final String curveName, final String interpolatorName, final String leftExtrapolatorName,
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    if (objectFuturePriceData == null) {
      throw new OpenGammaRuntimeException("Could not get futures curve " + curveName);
    }
    final NodalDoublesCurve futurePriceData = (NodalDoublesCurve) objectFuturePriceData;

    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);

    final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(futurePriceData.getXData(), futurePriceData.getYData(), interpolator));

    final ValueProperties properties = createValueProperties()
        .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardCurveValuePropertyNames.PROPERTY_FUTURE_PRICE_METHOD)
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        .with(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME, leftExtrapolatorName)
        .with(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME, rightExtrapolatorName);
    if (shifts != null) {
      resultProperties.with(VolatilitySurfaceShiftFunction.SHIFT, shifts);
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final DoublesCurve volatility = InterpolatedDoublesCurve.fromSorted(timesList.toDoubleArray(), volsList.toDoubleArray(), interpolator);
    final BlackForexTermStructureParameters termStructure = new BlackForexTermStructureParameters(volatility);
    return Collections.singleton(new ComputedValue(new ValueSpecification(ValueRequirementNames.STANDARD_VOLATILITY_SURFACE_DATA, target.toSpecification(),
        resultProperties.get()), termStructure));
  }
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        throw new OpenGammaRuntimeException("Could not get FX forward rate for " + tenor);
      }
      tList.add(DateUtils.getDifferenceInYears(now, now.plus(tenor.getPeriod())));
      fxList.add(fxForward);
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR,
        Interpolator1DFactory.LINEAR_EXTRAPOLATOR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
    return InterpolatedDoublesCurve.from(tList.toDoubleArray(), fxList.toDoubleArray(), interpolator);
  }
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