Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

com.opengamma.analytics.math.interpolation.LinearInterpolator1D
A one-dimensional linear interpolator. The interpolated value of the function y at x between two data points (x₁, y₁) and (x₂, y₂) is given by:
y = y₁ + (x - x₁) * (y₂ - y₁) / (x₂ - x₁)


  // @export "interpolatedDoublesCurveDemo"
  public static void interpolatedDoublesCurveDemo(PrintStream out) {
    double[] xdata = {1.0, 2.0, 3.0};
    double[] ydata = {2.0, 4.0, 6.0};
    LinearInterpolator1D interpolator = new LinearInterpolator1D();
    Curve<Double, Double> curve = new InterpolatedDoublesCurve(xdata, ydata, interpolator, true);


    out.println(curve.getYValue(1.0));
    out.println(curve.getYValue(2.0));
    out.println(curve.getYValue(3.0));

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  // @export "interpolatorExtrapolatorDoublesCurveDemo"
  public static void interpolatorExtrapolatorDoublesCurveDemo(PrintStream out) {
    double[] xdata = {1.0, 2.0, 3.0};
    double[] ydata = {2.0, 4.0, 6.0};


    Interpolator1D interpolator = new LinearInterpolator1D();
    Interpolator1D leftExtrapolator = new LinearExtrapolator1D(interpolator);
    Interpolator1D rightExtrapolator = new LinearExtrapolator1D(interpolator);
    Interpolator1D combined = new CombinedInterpolatorExtrapolator(interpolator, leftExtrapolator, rightExtrapolator);


    Curve<Double, Double> curve = new InterpolatedDoublesCurve(xdata, ydata, combined, true);

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    final double[] nbYear = new double[nodeTimeOther.length];
    for (int loopperiod = 0; loopperiod < nodeTimeOther.length; loopperiod++) {
      nbYear[loopperiod] = Math.round(nodeTimeOther[loopperiod] - nodeTimeKnown[0]);
      indexValue[nodeTimeKnown.length + loopperiod] = indexKnown[0] * Math.pow(1 + rate[loopperiod], nbYear[loopperiod]);
    }
    final InterpolatedDoublesCurve curve = InterpolatedDoublesCurve.from(nodeTime, indexValue, new LinearInterpolator1D());
    return new PriceIndexCurve(curve);
  }

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    System.arraycopy(nodeTimes, 0, nodeTimesExtended, 1, nbNode);
    yields[0] = curveToBump.getInterestRate(0.0);
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      yields[loopnode + 1] = curveToBump.getInterestRate(nodeTimesExtended[loopnode + 1]);
    }
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    if (!curves.containsName(curveBumpedName)) {
      curves.setCurve(curveBumpedName, curveToBump);
    }
    switch (differenceType) {
      case FORWARD:

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForwardArray[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    final double[] resFwd = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = METHOD_EXTRAPOLATION_CAP.presentValue(capBumpedForward, sabrBundleBumped).getAmount();
      resFwd[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Sensitivity to forward curve: Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Sensitivity to forward curve: Node " + i, resFwd[i], pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorCMS capBumpedFunding = (CapFloorCMS) CMS_CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final int nbPayDate = CMS_CAP_LONG_DEFINITION.getUnderlyingSwap().getIborLeg().getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 1];
    final double[] nodeTimesFunding = new double[nbPayDate + 1];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 1] = CMS_CAP_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] resDsc = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForwardArray[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = pvsReceiver.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = cmsBumpedForward.accept(PVC_SABR, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CouponCMS cmsBumpedFunding = (CouponCMS) CMS_COUPON_RECEIVER_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final int nbPayDate = CMS_COUPON_RECEIVER_DEFINITION.getUnderlyingSwap().getIborLeg().getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 1];
    final double[] nodeTimesFunding = new double[nbPayDate + 1];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 1] = CMS_COUPON_RECEIVER.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsReceiver.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] res = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForwardArray[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = sensi.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
    final SwaptionPhysicalFixedIbor swaptionBumpedFunding = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final SwapDefinition underlyingSwap = SWAPTION_DEFINITION_LONG_PAYER.getUnderlyingSwap();
    AnnuityDefinition<? extends PaymentDefinition> floatLeg;
    if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
      floatLeg = underlyingSwap.getSecondLeg();
    } else {
      floatLeg = underlyingSwap.getFirstLeg();
    }
    final int nbPayDate = floatLeg.getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 1];
    final double[] nodeTimesFunding = new double[nbPayDate + 1];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 1] = SWAPTION_LONG_PAYER.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = sensi.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForward[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> sensiForwardForward = prsFra.getSensitivities().get(CURVE_NAME_1[1]);
    final List<DoublesPair> sensiPvForward = pvsFra.getSensitivities().get(CURVE_NAME_1[1]);
    final double[] sensiForwardForwardFD = new double[nbForwardDate];
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedForward = FRA_METHOD.parRate(fraBumpedForward, curvesBumpedForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiForwardForwardFD[i] = (bumpedForward - forward) / deltaShift;
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
      final DoublesPair pairForward = sensiForwardForward.get(i);
      final DoublesPair pairPv = sensiPvForward.get(i);
      assertEquals("Sensitivity forward to forward curve: Node " + i, nodeTimesForward[i + 1], pairForward.getFirst(), 1E-8);
      assertEquals("Sensitivity forward to forward curve: Node " + i, sensiForwardForwardFD[i], pairForward.getSecond(), deltaToleranceRate);
      assertEquals("Sensitivity pv to forward curve: Node " + i, nodeTimesForward[i + 1], pairPv.getFirst(), 1E-8);
      assertEquals("Sensitivity pv to forward curve: Node " + i, sensiPvForwardFD[i], pairPv.getSecond(), deltaTolerancePrice);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, CURVE_NAME_1[1] };
    final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final YieldAndDiscountCurve curveFunding = curves.getCurve(CURVE_NAME_1[0]);
    final double[] yieldsFunding = new double[2];
    final double[] nodeTimesFunding = new double[2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = FRA.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsFra.getSensitivities().get(CURVE_NAME_1[0]);
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.setCurve("Bumped Curve", bumpedCurve);

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForward[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
    }


    final double[] nodeTimesForwardMethod = new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime() };
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, CURVE_NAME_1[1], bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      assertEquals("Sensitivity finite difference method: node sensitivity", sensiPvForwardFD[loopnode], sensiForwardMethod[loopnode]);
    }


    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, CURVE_NAME_1[1] };
    final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final YieldAndDiscountCurve curveFunding = curves.getCurve(CURVE_NAME_1[0]);
    final double[] yieldsFunding = new double[2];
    final double[] nodeTimesFunding = new double[2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = FRA.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();

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    nodeTimesExtended[2] = fra.getFixingPeriodEndTime();
    final double[] yields = new double[nbNode + 1];
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES_2.replaceCurve(CURVE_NAME_2[1], curveBumped);
      final double psBumped = FRA_METHOD.parSpread(fra, CURVES_2);
      result[loopnode] = (psBumped - ps) / deltaShift;

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