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

Examples of com.opengamma.analytics.math.interpolation.data.Interpolator1DDoubleQuadraticDataBundle

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    System.arraycopy(xNodes, index, moneyness, 0, 4);
    for (int i = 0; i < 4; i++) {
      vols[i] = BlackFormulaRepository.impliedVolatility(pdeRes.getFunctionValue(index + i), 1.0, moneyness[i],
          option.getTimeToExpiry(), option.isCall());
    }
    Interpolator1DDoubleQuadraticDataBundle db = INTERPOLATOR_1D.getDataBundle(moneyness, vols);
    final double exampleVol = INTERPOLATOR_1D.interpolate(db, x);

    final double shiftAmount = 1e-4; //1bps

    final double[][] bucketedVega = new double[nExpiries][];
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  @Override
  public Double interpolate(final Interpolator1DDataBundle data, final Double value) {
    ArgumentChecker.notNull(value, "value");
    ArgumentChecker.notNull(data, "data bundle");
    ArgumentChecker.isTrue(data instanceof Interpolator1DDoubleQuadraticDataBundle, "data bundle is of wrong type");
    final Interpolator1DDoubleQuadraticDataBundle quadraticData = (Interpolator1DDoubleQuadraticDataBundle) data;
    final int low = data.getLowerBoundIndex(value);
    final int high = low + 1;
    final int n = data.size() - 1;
    final double[] xData = data.getKeys();
    final double[] yData = data.getValues();
    if (low == n) {
      return yData[n];
    } else if (low == 0) {
      final RealPolynomialFunction1D quadratic = quadraticData.getQuadratic(0);
      final double x = value - xData[1];
      return quadratic.evaluate(x);
    } else if (high == n) {
      final RealPolynomialFunction1D quadratic = quadraticData.getQuadratic(n - 2);
      final double x = value - xData[n - 1];
      return quadratic.evaluate(x);
    }
    final RealPolynomialFunction1D quadratic1 = quadraticData.getQuadratic(low - 1);
    final RealPolynomialFunction1D quadratic2 = quadraticData.getQuadratic(high - 1);
    final double w = _weightFunction.getWeight((xData[high] - value) / (xData[high] - xData[low]));
    //final double w = (xData[high] - value) / (xData[high] - xData[low]);
    final double res = w * quadratic1.evaluate(value - xData[low]) + (1 - w) * quadratic2.evaluate(value - xData[high]);
    return res;
  }
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  @Override
  public double firstDerivative(final Interpolator1DDataBundle data, final Double value) {
    ArgumentChecker.notNull(value, "value");
    ArgumentChecker.notNull(data, "data bundle");
    ArgumentChecker.isTrue(data instanceof Interpolator1DDoubleQuadraticDataBundle, "data bundle is of wrong type");
    final Interpolator1DDoubleQuadraticDataBundle quadraticData = (Interpolator1DDoubleQuadraticDataBundle) data;
    final int low = data.getLowerBoundIndex(value);
    final int high = low + 1;
    final int n = data.size() - 1;
    final double[] xData = data.getKeys();
    if (low == n) {
      return 0.;
    } else if (low == 0) {
      final RealPolynomialFunction1D quadraticFirstDerivative = quadraticData.getQuadraticFirstDerivative(0);
      final double x = value - xData[1];
      return quadraticFirstDerivative.evaluate(x);
    } else if (high == n) {
      final RealPolynomialFunction1D quadraticFirstDerivative = quadraticData.getQuadraticFirstDerivative(n - 2);
      final double x = value - xData[n - 1];
      return quadraticFirstDerivative.evaluate(x);
    }
    final RealPolynomialFunction1D quadratic1 = quadraticData.getQuadratic(low - 1);
    final RealPolynomialFunction1D quadratic2 = quadraticData.getQuadratic(high - 1);
    final RealPolynomialFunction1D quadratic1FirstDerivative = quadraticData.getQuadraticFirstDerivative(low - 1);
    final RealPolynomialFunction1D quadratic2FirstDerivative = quadraticData.getQuadraticFirstDerivative(high - 1);
    final double w = _weightFunction.getWeight((xData[high] - value) / (xData[high] - xData[low]));
    final double res = w * quadratic1FirstDerivative.evaluate(value - xData[low]) + (1 - w) * quadratic2FirstDerivative.evaluate(value - xData[high]) +
        (quadratic2.evaluate(value - xData[high]) - quadratic1.evaluate(value - xData[low])) / (xData[high] - xData[low]);
    return res;
  }
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  @Override
  public double[] getNodeSensitivitiesForValue(final Interpolator1DDataBundle data, final Double value) {
    ArgumentChecker.notNull(data, "data");
    ArgumentChecker.isTrue(data instanceof Interpolator1DDoubleQuadraticDataBundle, "data bundle is of wrong type");
    final Interpolator1DDoubleQuadraticDataBundle quadraticData = (Interpolator1DDoubleQuadraticDataBundle) data;
    final int low = quadraticData.getLowerBoundIndex(value);
    final int high = low + 1;
    final int n = quadraticData.size();
    final double[] xData = data.getKeys();
    final double[] result = new double[n];
    if (low == 0) {
      final double[] temp = getQuadraticSensitivities(xData, value, 1);
      result[0] = temp[0];
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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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      }
      final double[] fwds = new double[count];
      final double[] vols = new double[count];
      System.arraycopy(tFwd, 0, fwds, 0, count);
      System.arraycopy(tVol, 0, vols, 0, count);
      final Interpolator1DDoubleQuadraticDataBundle idb = INTERPOLATOR_1D.getDataBundle(fwds, vols);
      final double intepVol = INTERPOLATOR_1D.interpolate(idb, forward);
      final double sabrVol = SABR_VOL_SURFACE.getVolatility(T, strike);
      if (DEBUG) {
        System.out.println("backwards PDE");
        System.out.println(strike + "\t" + intepVol + "\t" + sabrVol);
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      }
      final double[] fwds = new double[count];
      final double[] deltas = new double[count];
      System.arraycopy(tFwd, 0, fwds, 0, count);
      System.arraycopy(tDelta, 0, deltas, 0, count);
      final Interpolator1DDoubleQuadraticDataBundle db = INTERPOLATOR_1D.getDataBundle(fwds, deltas);
      final double deltaBkd = INTERPOLATOR_1D.interpolate(db, forward);

      if (DEBUG) {
        System.out.println(k + "\t" + deltaFwd + "\t" + deltaCFwd + "\t" + deltaBkd);
      } else {
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      final double[] deltas = new double[count];
      final double[] gammas = new double[count];
      System.arraycopy(tFwd, 0, fwds, 0, count);
      System.arraycopy(tDelta, 0, deltas, 0, count);
      System.arraycopy(tGamma, 0, gammas, 0, count);
      final Interpolator1DDoubleQuadraticDataBundle dbDelta = INTERPOLATOR_1D.getDataBundle(fwds, deltas);
      final Interpolator1DDoubleQuadraticDataBundle dbGamma = INTERPOLATOR_1D.getDataBundle(fwds, gammas);
      final double deltaBkd = INTERPOLATOR_1D.interpolate(dbDelta, forward);
      final double gammaBkd = INTERPOLATOR_1D.interpolate(dbGamma, forward);

      if (DEBUG) {
        System.out.println(k + "\t" + deltaFwd + "\t" + deltaBkd + "\t" + gammaFwd + "\t" + gammaBkd + "\t" + fixedSurfaceGamma + "\t" + surfaceDelta + "\t"
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      }
    }

    logM = Arrays.copyOfRange(logM, 0, count);
    impVol = Arrays.copyOfRange(impVol, 0, count);
    final Interpolator1DDoubleQuadraticDataBundle data = INTERPOLATOR_1D.getDataBundle(logM, impVol);
    for (int i = 0; i < nStrikes; i++) {
      final double vol = INTERPOLATOR_1D.interpolate(data, Math.log(strikes[i] / forward));
      final double price = BlackFormulaRepository.price(forward, strikes[i], expiry, vol, _isCall);
      ps.println(strikes[i] + "\t" + vol + "\t" + price);
    }
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