Package com.opengamma.analytics.math.interpolation

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

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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);
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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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    final String yInterpolatorName = desiredValue.getConstraint(Y_INTERPOLATOR_NAME);
    final String leftXExtrapolatorName = desiredValue.getConstraint(LEFT_X_EXTRAPOLATOR_NAME);
    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 int nSpaceSteps = Integer.parseInt(desiredValue.getConstraint(PROPERTY_NUMBER_SPACE_STEPS));
    final double timeStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_TIME_STEP_BUNCHING));
    final double spaceStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SPACE_STEPS_BUNCHING));
    final double maxMoneyness = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MAX_MONEYNESS));
    final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
    final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator(interpolatorName);
    final PDELocalVolatilityCalculator<?> pdeCalculator =
        getPDECalculator(new LocalVolatilityBackwardPDECalculator(theta, nTimeSteps, nSpaceSteps, timeStepBunching, spaceStepBunching, maxMoneyness), interpolator);
    final Object localVolatilityObject = inputs.getValue(getVolatilitySurfaceRequirement(target, desiredValue));
    if (localVolatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get local volatility surface");
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          s_logger.info("Had a null value for tenor number " + j);
        }
      }
      smile[i] = new SmileDeltaParameters(t, deltas.toDoubleArray(), volatilities.toDoubleArray());
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(smile, interpolator);
    final ValueProperties.Builder resultProperties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.FOREX)
        .with(InterpolatedDataProperties.X_INTERPOLATOR_NAME, interpolatorName)
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    final String xLeftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    final String xRightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    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);
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  protected Interpolator1D getInterpolator1D(final ValueRequirement desiredValue) {
    final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_INTERPOLATOR);
    final String leftExtrapolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_LEFT_EXTRAPOLATOR);
    final String rightExtrapolatorName = desiredValue.getConstraint(PROPERTY_SPLINE_RIGHT_EXTRAPOLATOR);
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    return interpolator;
  }
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* If this fails, reduce slope until a fit is found.
*/
  public static class Quiet extends BlackVolatilitySurfaceSplineInterpolatorFunction {
    @Override
    protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
      final Interpolator1D interpolator = getInterpolator1D(desiredValue);
      return new SmileInterpolatorSpline(interpolator, QUIET_SPLINE_EXTRAPOLATOR_FAILURE);
    }
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   */
  public static class Exception extends BlackVolatilitySurfaceSplineInterpolatorFunction {

    @Override
    protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
      final Interpolator1D interpolator = getInterpolator1D(desiredValue);
      return new SmileInterpolatorSpline(interpolator, EXCEPTION_SPLINE_EXTRAPOLATOR_FAILURE);
    }
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   */
  public static class Flat extends BlackVolatilitySurfaceSplineInterpolatorFunction {

    @Override
    protected GeneralSmileInterpolator getSmileInterpolator(final ValueRequirement desiredValue) {
      final Interpolator1D interpolator = getInterpolator1D(desiredValue);
      return new SmileInterpolatorSpline(interpolator, FLAT_SPLINE_EXTRAPOLATOR_FAILURE);
    }
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