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

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

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    }

    final double[] resPrim1 = INTERP.interpolate(xValues, yValues1, xKeys).getData();
    final double[] resPrim2 = INTERP.interpolate(xValues, yValues2, xKeys).getData();

    Interpolator1DDataBundle dataBund1 = INTERP1D.getDataBundle(xValues, yValues1);
    Interpolator1DDataBundle dataBund2 = INTERP1D.getDataBundle(xValues, yValues2);
    for (int i = 0; i < 10 * nData; ++i) {
      final double ref1 = resPrim1[i];
      final double ref2 = resPrim2[i];
      assertEquals(ref1, INTERP1D.interpolate(dataBund1, xKeys[i]), 1.e-15 * Math.max(Math.abs(ref1), 1.));
      assertEquals(ref2, INTERP1D.interpolate(dataBund2, xKeys[i]), 1.e-15 * Math.max(Math.abs(ref2), 1.));
    }

    for (int j = 0; j < nData; ++j) {
      final double den1 = Math.abs(yValues1[j]) == 0. ? EPS : yValues1[j] * EPS;
      final double den2 = Math.abs(yValues2[j]) == 0. ? EPS : yValues2[j] * EPS;
      yValues1Up[j] = Math.abs(yValues1[j]) == 0. ? EPS : yValues1[j] * (1. + EPS);
      yValues1Dw[j] = Math.abs(yValues1[j]) == 0. ? -EPS : yValues1[j] * (1. - EPS);
      yValues2Up[j] = Math.abs(yValues2[j]) == 0. ? EPS : yValues2[j] * (1. + EPS);
      yValues2Dw[j] = Math.abs(yValues2[j]) == 0. ? -EPS : yValues2[j] * (1. - EPS);
      Interpolator1DDataBundle dataBund1Up = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues1Up);
      Interpolator1DDataBundle dataBund2Up = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues2Up);
      Interpolator1DDataBundle dataBund1Dw = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues1Dw);
      Interpolator1DDataBundle dataBund2Dw = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues2Dw);
      for (int i = 0; i < 10 * nData; ++i) {
        double res1 = 0.5 * (INTERP1D.interpolate(dataBund1Up, xKeys[i]) - INTERP1D.interpolate(dataBund1Dw, xKeys[i])) / den1;
        double res2 = 0.5 * (INTERP1D.interpolate(dataBund2Up, xKeys[i]) - INTERP1D.interpolate(dataBund2Dw, xKeys[i])) / den2;
        assertEquals(res1, INTERP1D.getNodeSensitivitiesForValue(dataBund1, xKeys[i])[j], Math.max(Math.abs(yValues1[j]) * EPS, EPS) * 10.);
        assertEquals(res2, INTERP1D.getNodeSensitivitiesForValue(dataBund2, xKeys[i])[j], Math.max(Math.abs(yValues2[j]) * EPS, EPS) * 10.);
 
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    final double[] resPrim1 = INTERP.interpolate(xValues, yValues1, xKeys).getData();
    final double[] resPrim2 = INTERP.interpolate(xValues, yValues2, xKeys).getData();
    final double[] resPrim3 = INTERP.interpolate(xValues, yValues3, xKeys).getData();

    Interpolator1DDataBundle dataBund1 = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues1);
    Interpolator1DDataBundle dataBund2 = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues2);
    Interpolator1DDataBundle dataBund3 = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues3);
    for (int i = 0; i < 10 * nData; ++i) {
      final double ref1 = resPrim1[i];
      final double ref2 = resPrim2[i];
      final double ref3 = resPrim3[i];
      assertEquals(ref1, INTERP1D.interpolate(dataBund1, xKeys[i]), 1.e-15 * Math.max(Math.abs(ref1), 1.));
      assertEquals(ref2, INTERP1D.interpolate(dataBund2, xKeys[i]), 1.e-15 * Math.max(Math.abs(ref2), 1.));
      assertEquals(ref3, INTERP1D.interpolate(dataBund3, xKeys[i]), 1.e-15 * Math.max(Math.abs(ref3), 1.));
    }

    for (int j = 0; j < nData; ++j) {
      yValues1Up[j] = yValues1[j] * (1. + EPS);
      yValues2Up[j] = yValues2[j] * (1. + EPS);
      yValues3Up[j] = yValues3[j] * (1. + EPS);
      yValues1Dw[j] = yValues1[j] * (1. - EPS);
      yValues2Dw[j] = yValues2[j] * (1. - EPS);
      yValues3Dw[j] = yValues3[j] * (1. - EPS);
      Interpolator1DDataBundle dataBund1Up = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues1Up);
      Interpolator1DDataBundle dataBund2Up = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues2Up);
      Interpolator1DDataBundle dataBund3Up = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues3Up);
      Interpolator1DDataBundle dataBund1Dw = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues1Dw);
      Interpolator1DDataBundle dataBund2Dw = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues2Dw);
      Interpolator1DDataBundle dataBund3Dw = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues3Dw);
      for (int i = 0; i < 10 * nData; ++i) {
        double res1 = 0.5 * (INTERP1D.interpolate(dataBund1Up, xKeys[i]) - INTERP1D.interpolate(dataBund1Dw, xKeys[i])) / EPS / yValues1[j];
        double res2 = 0.5 * (INTERP1D.interpolate(dataBund2Up, xKeys[i]) - INTERP1D.interpolate(dataBund2Dw, xKeys[i])) / EPS / yValues2[j];
        double res3 = 0.5 * (INTERP1D.interpolate(dataBund3Up, xKeys[i]) - INTERP1D.interpolate(dataBund3Dw, xKeys[i])) / EPS / yValues3[j];
        assertEquals(res1, INTERP1D.getNodeSensitivitiesForValue(dataBund1, xKeys[i])[j], Math.max(Math.abs(yValues1[j]) * EPS, EPS) * 10.);
 
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    for (int k = 0; k < nMethods; ++k) {
      final double[] resPrim1 = bareInterp[k].interpolate(xValues, yValues1, xKeys).getData();
      final double[] resPrim2 = bareInterp[k].interpolate(xValues, yValues2, xKeys).getData();
      final double[] resPrim3 = bareInterp[k].interpolate(xValues, yValues3, xKeys).getData();

      Interpolator1DDataBundle dataBund1 = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues1);
      Interpolator1DDataBundle dataBund2 = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues2);
      Interpolator1DDataBundle dataBund3 = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues3);
      for (int i = 0; i < 10 * nData; ++i) {
        final double ref1 = resPrim1[i];
        final double ref2 = resPrim2[i];
        final double ref3 = resPrim3[i];
        assertEquals(ref1, wrappedInterp[k].interpolate(dataBund1, xKeys[i]), 1.e-14 * Math.max(Math.abs(ref1), 1.));
        assertEquals(ref2, wrappedInterp[k].interpolate(dataBund2, xKeys[i]), 1.e-14 * Math.max(Math.abs(ref2), 1.));
        assertEquals(ref3, wrappedInterp[k].interpolate(dataBund3, xKeys[i]), 1.e-14 * Math.max(Math.abs(ref3), 1.));
      }

      for (int j = 0; j < nData; ++j) {
        final double den1 = Math.abs(yValues1[j]) == 0. ? EPS : yValues1[j] * EPS;
        final double den2 = Math.abs(yValues2[j]) == 0. ? EPS : yValues2[j] * EPS;
        final double den3 = Math.abs(yValues3[j]) == 0. ? EPS : yValues3[j] * EPS;
        yValues1Up[j] = Math.abs(yValues1[j]) == 0. ? EPS : yValues1[j] * (1. + EPS);
        yValues1Dw[j] = Math.abs(yValues1[j]) == 0. ? -EPS : yValues1[j] * (1. - EPS);
        yValues2Up[j] = Math.abs(yValues2[j]) == 0. ? EPS : yValues2[j] * (1. + EPS);
        yValues2Dw[j] = Math.abs(yValues2[j]) == 0. ? -EPS : yValues2[j] * (1. - EPS);
        yValues3Up[j] = Math.abs(yValues3[j]) == 0. ? EPS : yValues3[j] * (1. + EPS);
        yValues3Dw[j] = Math.abs(yValues3[j]) == 0. ? -EPS : yValues3[j] * (1. - EPS);
        Interpolator1DDataBundle dataBund1Up = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues1Up);
        Interpolator1DDataBundle dataBund2Up = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues2Up);
        Interpolator1DDataBundle dataBund3Up = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues3Up);
        Interpolator1DDataBundle dataBund1Dw = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues1Dw);
        Interpolator1DDataBundle dataBund2Dw = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues2Dw);
        Interpolator1DDataBundle dataBund3Dw = wrappedInterp[k].getDataBundleFromSortedArrays(xValues, yValues3Dw);
        for (int i = 0; i < 10 * nData; ++i) {
          double res1 = 0.5 * (wrappedInterp[k].interpolate(dataBund1Up, xKeys[i]) - wrappedInterp[k].interpolate(dataBund1Dw, xKeys[i])) / den1;
          double res2 = 0.5 * (wrappedInterp[k].interpolate(dataBund2Up, xKeys[i]) - wrappedInterp[k].interpolate(dataBund2Dw, xKeys[i])) / den2;
          double res3 = 0.5 * (wrappedInterp[k].interpolate(dataBund3Up, xKeys[i]) - wrappedInterp[k].interpolate(dataBund3Dw, xKeys[i])) / den3;
          assertEquals(res1, wrappedInterp[k].getNodeSensitivitiesForValue(dataBund1, xKeys[i])[j], Math.max(Math.abs(yValues1[j]) * EPS, EPS) * 10.);
 
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      final double xMax = xValues[nData - 1];
      for (int i = 0; i < 10 * nData; ++i) {
        xKeys[i] = xMin + (xMax - xMin) / (10 * nData - 1) * i;
      }

      Interpolator1DDataBundle dataBund = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues[k]);

      for (int j = 0; j < nData; ++j) {
        yValuesUp[j] = yValues[k][j] * (1. + EPS);
        yValuesDw[j] = yValues[k][j] * (1. - EPS);
        Interpolator1DDataBundle dataBundUp = INTERP1D.getDataBundle(xValues, yValuesUp);
        Interpolator1DDataBundle dataBundDw = INTERP1D.getDataBundle(xValues, yValuesDw);
        for (int i = 0; i < 10 * nData; ++i) {
          double res0 = 0.5 * (INTERP1D.interpolate(dataBundUp, xKeys[i]) - INTERP1D.interpolate(dataBundDw, xKeys[i])) / EPS / yValues[k][j];
          assertEquals(res0, INTERP1D.getNodeSensitivitiesForValue(dataBund, xKeys[i])[j], Math.max(Math.abs(yValues[k][j]) * EPS, EPS));
        }
        yValuesUp[j] = yValues[k][j];
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      final double xMax = xValues[nData - 1];
      for (int i = 0; i < 10 * nData; ++i) {
        xKeys[i] = xMin + (xMax - xMin) / (10 * nData - 1) * i;
      }

      Interpolator1DDataBundle dataBund = INTERP1D.getDataBundleFromSortedArrays(xValues, yValues[k]);

      for (int j = 0; j < nData; ++j) {
        yValuesUp[j] = yValues[k][j] * (1. + EPS);
        yValuesDw[j] = yValues[k][j] * (1. - EPS);
        Interpolator1DDataBundle dataBundUp = INTERP1D.getDataBundle(xValues, yValuesUp);
        Interpolator1DDataBundle dataBundDw = INTERP1D.getDataBundle(xValues, yValuesDw);
        for (int i = 0; i < 10 * nData; ++i) {
          double res0 = 0.5 * (INTERP1D.interpolate(dataBundUp, xKeys[i]) - INTERP1D.interpolate(dataBundDw, xKeys[i])) / EPS / yValues[k][j];
          assertEquals(res0, INTERP1D.getNodeSensitivitiesForValue(dataBund, xKeys[i])[j], Math.max(Math.abs(yValues[k][j]) * 1.e-4, 1.e-4));
        }
        yValuesUp[j] = yValues[k][j];
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    for (int i = 0; i < n; i++) {
      lnX[i] = Math.log(xData[i]);
      yData2[i] = yData[i] * yData[i] * xData[i];
    }

    Interpolator1DDataBundle db = interpolator.getDataBundle(xData, yData);
    Interpolator1DDataBundle dbLog = interpolator.getDataBundle(lnX, yData);
    Interpolator1DDataBundle dbVar = interpolator.getDataBundle(xData, yData2);
    Interpolator1DDataBundle dbVarLog = interpolator.getDataBundle(lnX, yData2);

    final double[] sigma = new double[n];
    Arrays.fill(sigma, 0.01);
    final GeneralizedLeastSquareResults<Double> results = gls.solve(xData, yData, sigma, basisFuncs, 1000.0, 2);
    final Function1D<Double, Double> spline = results.getFunction();
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  }

  @Override
  protected Object getResult(final PDELocalVolatilityCalculator<?> calculator, final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve,
      final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final Interpolator1DDataBundle data = (Interpolator1DDataBundle) calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return InterpolatedDoublesCurve.from(data.getKeys(), data.getValues(), ((LocalVolatilityForwardPDEStrikeGreeksGridCalculator) calculator).getInterpolator());
  }
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  }

  @Override
  protected Object getResult(final PDELocalVolatilityCalculator<?> calculator, final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve,
      final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final Interpolator1DDataBundle data = (Interpolator1DDataBundle) calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return InterpolatedDoublesCurve.from(data.getKeys(), data.getValues(), ((LocalVolatilityForwardPDEVolatilityGreeksGridCalculator) calculator).getInterpolator());
  }
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  }

  @Override
  protected Object getResult(final PDELocalVolatilityCalculator<?> calculator, final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve,
      final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final Interpolator1DDataBundle data = (Interpolator1DDataBundle) calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return InterpolatedDoublesCurve.from(data.getKeys(), data.getValues(), ((LocalVolatilityForwardPDESpotGreeksGridCalculator) calculator).getInterpolator());
  }
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  }

  @Override
  protected Object getResult(final PDELocalVolatilityCalculator<?> calculator, final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve,
      final EuropeanVanillaOption option, final YieldAndDiscountCurve discountingCurve) {
    final Interpolator1DDataBundle data = (Interpolator1DDataBundle) calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
    return InterpolatedDoublesCurve.from(data.getKeys(), data.getValues(), ((LocalVolatilityForwardPDEPriceGridCalculator) calculator).getInterpolator());
  }
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