Package com.opengamma.analytics.math.interpolation

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

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          i++;
        }
        final String interpolatorName = specification.getInterpolatorName();
        final String rightExtrapolatorName = specification.getRightExtrapolatorName();
        final String leftExtrapolatorName = specification.getLeftExtrapolatorName();
        final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
        final InterpolatedDoublesCurve curve = InterpolatedDoublesCurve.from(times, yields, interpolator, curveName);
        final ValueProperties curveProperties = createValueProperties()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(ValuePropertyNames.CURVE_CALCULATION_CONFIG, curveCalculationConfig)
            .with(ValuePropertyNames.CURVE_CALCULATION_METHOD, InterpolatedDataProperties.CALCULATION_METHOD_NAME).get();
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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);
        if (definition instanceof FixedDateInterpolatedCurveDefinition) {
          final FixedDateInterpolatedCurveDefinition fixedDateDefinition = (FixedDateInterpolatedCurveDefinition) definition;
          final List<LocalDate> fixedDates = fixedDateDefinition.getFixedDates();
          final DoubleArrayList nodePoints = new DoubleArrayList(fixedDates.size()); //TODO what about equal node points?
          for (final LocalDate fixedDate : fixedDates) {
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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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    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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      }
    }
    if (smile.size() == 0) {
      throw new OpenGammaRuntimeException("Could not get any data for surface " + surfaceName + " with target " + target);
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(smile.toArray(new SmileDeltaParameters[smile.size()]), 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 double timeStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_TIME_STEP_BUNCHING));
    final double spaceStepBunching = Double.parseDouble(desiredValue.getConstraint(PROPERTY_SPACE_STEPS_BUNCHING));
    final double maxProxyDelta = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MAX_PROXY_DELTA));
    final double centreMoneyness = Double.parseDouble(desiredValue.getConstraint(PROPERTY_CENTRE_MONEYNESS));
    final String interpolatorName = desiredValue.getConstraint(PROPERTY_SPACE_DIRECTION_INTERPOLATOR);
    final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator(interpolatorName);
    final PDELocalVolatilityCalculator<?> pdeCalculator =
        getPDECalculator(new LocalVolatilityForwardPDECalculator(theta, nTimeSteps, nSpaceSteps, timeStepBunching, spaceStepBunching, maxProxyDelta, centreMoneyness), interpolator);
    final Object localVolatilityObject = inputs.getValue(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE);
    if (localVolatilityObject == null) {
      throw new OpenGammaRuntimeException("Could not get local volatility surface");
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