Package com.opengamma.analytics.math.interpolation.data

Examples of com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle

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    return Math.pow(y2 / y1, (value - x1) / (x2 - x1)) * y1 * Math.log(y2 / y1) / (x2 - x1);
  }

  @Override
  public Interpolator1DDataBundle getDataBundle(final double[] x, final double[] y) {
    return new ArrayInterpolator1DDataBundle(x, y);
  }
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    return new ArrayInterpolator1DDataBundle(x, y);
  }

  @Override
  public Interpolator1DDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
    return new ArrayInterpolator1DDataBundle(x, y, true);
  }
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    return w;
  }

  @Override
  public Interpolator1DDataBundle getDataBundle(final double[] x, final double[] y) {
    return new ArrayInterpolator1DDataBundle(x, y);
  }
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    return new ArrayInterpolator1DDataBundle(x, y);
  }

  @Override
  public Interpolator1DDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
    return new ArrayInterpolator1DDataBundle(x, y, true);
  }
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    return result;
  }

  @Override
  public Interpolator1DDoubleQuadraticDataBundle getDataBundle(final double[] x, final double[] y) {
    return new Interpolator1DDoubleQuadraticDataBundle(new ArrayInterpolator1DDataBundle(x, y));
  }
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    return new Interpolator1DDoubleQuadraticDataBundle(new ArrayInterpolator1DDataBundle(x, y));
  }

  @Override
  public Interpolator1DDoubleQuadraticDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
    return new Interpolator1DDoubleQuadraticDataBundle(new ArrayInterpolator1DDataBundle(x, y, true));
  }
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        xy[i] = x[i] * y[i];
      }
    }

    //    final PiecewisePolynomialResult poly = BASE.interpolate(xx, xy);
    return new Interpolator1DPiecewisePoynomialDataBundle(new ArrayInterpolator1DDataBundle(xx, xy, true), new PiecewiseCubicHermiteSplineInterpolatorWithSensitivity());
  }
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    throw new NotImplementedException();
  }

  @Override
  public Interpolator1DDataBundle getDataBundle(final double[] x, final double[] y) {
    return new Interpolator1DQuadraticSplineDataBundle(new ArrayInterpolator1DDataBundle(x, y));
  }
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    return new Interpolator1DQuadraticSplineDataBundle(new ArrayInterpolator1DDataBundle(x, y));
  }

  @Override
  public Interpolator1DDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
    return new Interpolator1DQuadraticSplineDataBundle(new ArrayInterpolator1DDataBundle(x, y, true));
  }
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    final double forward = 1.40;
    final double timeToExpiration = 0.50;
    final double strike = 1.50;
    final double[] strikes = SMILE_TERM.getVolatilityTerm()[2].getStrike(forward);
    final double[] vol = SMILE_TERM.getVolatilityTerm()[2].getVolatility();
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    final double volExpected = interpolator.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
  }
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Related Classes of com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle

  • com.opengamma.analytics.financial.credit.cds.ISDAExtrapolator1D
  • com.opengamma.analytics.financial.credit.cds.ISDAInterpolator1D
  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParameters
  • com.opengamma.analytics.financial.model.volatility.surface.SmileDeltaTermStructureParametersStrikeInterpolationTest
  • com.opengamma.analytics.math.interpolation.BarycentricRationalFunctionInterpolator1D
  • com.opengamma.analytics.math.interpolation.ClampedCubicSplineInterpolator1D
  • com.opengamma.analytics.math.interpolation.DoubleQuadraticInterpolator1D
  • com.opengamma.analytics.math.interpolation.ExponentialInterpolator1D
  • com.opengamma.analytics.math.interpolation.LinearInterpolator1D
  • com.opengamma.analytics.math.interpolation.LogLinearInterpolator1D
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