Examples of com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle

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

Examples of com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle

com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle
A pre-constructed version of the data which should be used for interpolation on an {@link Interpolator1D}.

      }
      x[m + 1] = nPoints - 1;
      y[0] = 0.0;
      System.arraycopy(_fpValues, 0, y, 1, m);
      y[m + 1] = 1.0;
      Interpolator1DDataBundle data = INTERPOLATOR.getDataBundleFromSortedArrays(x, y);
      final double grad = 1.0 / (nPoints - 1);
      _db = new Interpolator1DCubicSplineDataBundle(data, grad, grad);
    }
  }

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    Validate.notNull(data, "data");
    final double[] x = data.getKeys();
    final double[] y = data.getValues();
    final int n = x.length;
    final double[] result = new double[n];
    final Interpolator1DDataBundle dataUp = getDataBundleFromSortedArrays(x, y);
    final Interpolator1DDataBundle dataDown = getDataBundleFromSortedArrays(x, y);
    for (int i = 0; i < n; i++) {
      if (i != 0) {
        dataUp.setYValueAtIndex(i - 1, y[i - 1]);
        dataDown.setYValueAtIndex(i - 1, y[i - 1]);
      }
      dataUp.setYValueAtIndex(i, y[i] + EPS);
      dataDown.setYValueAtIndex(i, y[i] - EPS);
      final double up = interpolate(dataUp, value);
      final double down = interpolate(dataDown, value);
      result[i] = (up - down) / 2 / EPS;
    }
    return result;

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    if (!(curve.getCurve() instanceof InterpolatedDoublesCurve)) {
      throw new IllegalArgumentException("Can only handle interpolated curves at the moment");
    }
    final InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve.getCurve();
    final Interpolator1D interpolator = interpolatedCurve.getInterpolator();
    final Interpolator1DDataBundle data = interpolatedCurve.getDataBundle();
    if (sensitivityList != null && sensitivityList.size() > 0) {
      final double[][] sensitivityYY = new double[sensitivityList.size()][];
      // Implementation note: Sensitivity of the interpolated yield to the node yields
      int k = 0;
      for (final DoublesPair timeAndS : sensitivityList) {

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    if (!(curve.getCurve() instanceof InterpolatedDoublesCurve)) {
      throw new IllegalArgumentException("Can only handle interpolated curves at the moment");
    }
    final InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve.getCurve();
    final Interpolator1D interpolator = interpolatedCurve.getInterpolator();
    final Interpolator1DDataBundle data = interpolatedCurve.getDataBundle();
    if (sensitivityList != null && sensitivityList.size() > 0) {
      final double[][] sensitivityDD = new double[sensitivityList.size()][];
      // Implementation note: Sensitivity of the interpolated discount factor to the node discount factor
      final double[] df = new double[sensitivityList.size()];
      int k = 0;
      for (final DoublesPair timeAndS : sensitivityList) {
        df[k] = interpolator.interpolate(data, timeAndS.first);
        sensitivityDD[k++] = interpolator.getNodeSensitivitiesForValue(data, timeAndS.getFirst());
      }
      for (int j = 0; j < sensitivityDD[0].length; j++) {
        double temp = 0.0;
        k = 0;
        for (final DoublesPair timeAndS : sensitivityList) {
          temp += timeAndS.getSecond() / (timeAndS.first * df[k]) * sensitivityDD[k++][j] * (data.getKeys()[j] * data.getValues()[j]);
        }
        result.add(temp);
      }
    } else {
      for (int i = 0; i < interpolatedCurve.size(); i++) {

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    yzValues.put(firstEntry.getKey().second, firstEntry.getValue());
    while (iterator.hasNext()) {
      final Map.Entry<DoublesPair, Double> nextEntry = iterator.next();
      final double newX = nextEntry.getKey().first;
      if (Double.doubleToLongBits(newX) != Double.doubleToLongBits(x)) {
        final Interpolator1DDataBundle interpolatorData = _yInterpolator.getDataBundle(yzValues);
        result.put(x, interpolatorData);
        yzValues = new TreeMap<>();
        yzValues.put(nextEntry.getKey().second, nextEntry.getValue());
        x = newX;
      } else {
        yzValues.put(nextEntry.getKey().second, nextEntry.getValue());
      }
      if (!iterator.hasNext()) {
        yzValues.put(nextEntry.getKey().second, nextEntry.getValue());
        final Interpolator1DDataBundle interpolatorData = _yInterpolator.getDataBundle(yzValues);
        result.put(x, interpolatorData);
      }
    }
    return result;
  }

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    ArgumentChecker.notNull(greek, "greek");
    ArgumentChecker.notNull(interpolator, "interpolator");
    if (!(_gridDataMap.containsKey(greek)) || _gridDataMap.get(greek) == null) {
      return null;
    }
    final Interpolator1DDataBundle data = interpolator.getDataBundle(_strikes, _gridDataMap.get(greek));
    return interpolator.interpolate(data, strike);
  }

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      k[i] = strikeNprice[i][0];
      price[i] = strikeNprice[i][1];
    }


    final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator("DoubleQuadratic");
    final Interpolator1DDataBundle dataBundle = interpolator.getDataBundleFromSortedArrays(k, price);


    final double fftPrice = interpolator.interpolate(dataBundle, STRIKE);


    // System.out.println(fftPrice + "\t" + pdfPrice);
    assertEquals(fftPrice, pdfPrice, 2e-6);

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  public static NodalDoublesCurve interpolateCurve(final Curve<Double, Double> curve) {
    if (curve instanceof InterpolatedDoublesCurve) {
      final InterpolatedDoublesCurve interpolatedCurve = (InterpolatedDoublesCurve) curve;


      // This is a hack for now as it's all about to change
      final Interpolator1DDataBundle interpolatorBundle = interpolatedCurve.getDataBundle();
      final double first = interpolatorBundle.firstKey();
      final double last = interpolatorBundle.lastKey();


      return interpolateCurve(curve, first, last);


    } else {
      final double first = 1. / 12;

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  protected DoubleMatrix1D finiteDiffNodeSensitivitiesYield(final InstrumentDerivative ird, final InstrumentDerivativeVisitor<YieldCurveBundle, Double> valueCalculator,
      final YieldCurveBundle fixedCurves, final YieldCurveBundle interpolatedCurves) {


    int nNodes = 0;
    for (final String curveName : interpolatedCurves.getAllNames()) {
      final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) ((YieldCurve) interpolatedCurves.getCurve(curveName)).getCurve()).getDataBundle();
      nNodes += dataBundle.size();
    }


    final double[] yields = new double[nNodes];
    int index = 0;
    for (final String curveName : interpolatedCurves.getAllNames()) {
      final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) ((YieldCurve) interpolatedCurves.getCurve(curveName)).getCurve()).getDataBundle();
      for (final double y : dataBundle.getValues()) {
        yields[index++] = y;
      }
    }


    final Function1D<DoubleMatrix1D, Double> f = new Function1D<DoubleMatrix1D, Double>() {
      @Override
      public Double evaluate(final DoubleMatrix1D x) {
        final YieldCurveBundle curves = interpolatedCurves.copy();
        int index2 = 0;
        for (final String name : interpolatedCurves.getAllNames()) {
          final YieldCurve curve = (YieldCurve) interpolatedCurves.getCurve(name);
          final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) curve.getCurve()).getDataBundle();
          final int numberOfNodes = dataBundle.size();
          final double[] yields1 = Arrays.copyOfRange(x.getData(), index2, index2 + numberOfNodes);
          index2 += numberOfNodes;
          final YieldAndDiscountCurve newCurve = YieldCurve.from(InterpolatedDoublesCurve.from(dataBundle.getKeys(), yields1, ((InterpolatedDoublesCurve) curve.getCurve()).getInterpolator()));
          curves.replaceCurve(name, newCurve);
        }
        if (fixedCurves != null) {
          curves.addAll(fixedCurves);
        }

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  protected DoubleMatrix1D finiteDiffNodeSensitivitiesSpread(final InstrumentDerivative ird, final InstrumentDerivativeVisitor<YieldCurveBundle, Double> valueCalculator,
      final YieldCurveBundle fixedCurves, final YieldCurveBundle spreadCurves) {
    int nNodes = 0;
    for (final String curveName : spreadCurves.getAllNames()) {
      final YieldCurve yieldCurve = (YieldCurve) ((YieldAndDiscountAddZeroSpreadCurve) spreadCurves.getCurve(curveName)).getCurves()[0];
      final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) yieldCurve.getCurve()).getDataBundle();
      nNodes += dataBundle.size() + 1; // +1 for spread
    }
    final double[] param = new double[nNodes];
    int index = 0;
    for (final String curveName : spreadCurves.getAllNames()) {
      final YieldCurve yieldCurve = (YieldCurve) ((YieldAndDiscountAddZeroSpreadCurve) spreadCurves.getCurve(curveName)).getCurves()[0];
      final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) yieldCurve.getCurve()).getDataBundle();
      for (final double y : dataBundle.getValues()) {
        param[index++] = y;
      }
      final YieldCurve spreadCurve = (YieldCurve) ((YieldAndDiscountAddZeroSpreadCurve) spreadCurves.getCurve(curveName)).getCurves()[1];
      param[index++] = ((ConstantDoublesCurve) (spreadCurve.getCurve())).getYData()[0];
    }


    final Function1D<DoubleMatrix1D, Double> f = new Function1D<DoubleMatrix1D, Double>() {
      @Override
      public Double evaluate(final DoubleMatrix1D x) {
        final YieldCurveBundle curves = spreadCurves.copy();
        int index2 = 0;
        for (final String name : spreadCurves.getAllNames()) {
          final YieldCurve yieldCurve = (YieldCurve) ((YieldAndDiscountAddZeroSpreadCurve) spreadCurves.getCurve(name)).getCurves()[0];
          final Interpolator1DDataBundle dataBundle = ((InterpolatedDoublesCurve) yieldCurve.getCurve()).getDataBundle();
          final int numberOfNodes = dataBundle.size();
          final double[] yields1 = Arrays.copyOfRange(x.getData(), index2, index2 + numberOfNodes);
          final double spread1 = x.getData()[index2 + numberOfNodes];
          index2 += numberOfNodes + 1;
          final YieldCurve newYieldCurve = YieldCurve.from(InterpolatedDoublesCurve.from(dataBundle.getKeys(), yields1, ((InterpolatedDoublesCurve) yieldCurve.getCurve()).getInterpolator()));
          final YieldCurve newSpreadCurve = YieldCurve.from(new ConstantDoublesCurve(spread1));
          final YieldAndDiscountCurve newCurve = new YieldAndDiscountAddZeroSpreadCurve("NewYield+Spread", false, newYieldCurve, newSpreadCurve);
          curves.replaceCurve(name, newCurve);
        }
        if (fixedCurves != null) {

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