Package com.opengamma.timeseries.date.localdate

Examples of com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries

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      throw new TimeSeriesException("Time series array must contain at least four elements");
    }
    if (getMode() == CalculationMode.STRICT && x[0].size() != x[2].size()) {
      throw new TimeSeriesException("Asset price series and reference price series were not the same size");
    }
    final LocalDateDoubleTimeSeries assetReturn = x[1] == null ? _returnCalculator.evaluate(x[0]) : _returnCalculator.evaluate(Arrays.copyOfRange(x, 0, 2));
    final LocalDateDoubleTimeSeries referenceReturn = x[3] == null ? _returnCalculator.evaluate(x[2]) : _returnCalculator.evaluate(Arrays.copyOfRange(x, 2, 4));
    return assetReturn.subtract(referenceReturn);
  }
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   */
  @Override
  public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
    ArgumentChecker.notEmpty(x, "x");
    ArgumentChecker.notNull(x[0], "first time series");
    final LocalDateDoubleTimeSeries ts = x[0];
    if (ts.size() < 2) {
      throw new TimeSeriesException("Need at least two data points to calculate return series");
    }
    LocalDateDoubleTimeSeries d = null;
    if (x.length > 1) {
      if (x[1] != null) {
        d = x[1];
      }
    }

    final int[] resultDates = new int[ts.size() - 1];
    final double[] resultValues = new double[ts.size() - 1];
    int resultIndex = 0;

    final LocalDateDoubleEntryIterator it = ts.iterator();
    it.nextTimeFast();
    double previousValue = it.currentValue();

    double dividend;
    Double dividendTSData;
    while (it.hasNext()) {
      final int date = it.nextTimeFast();
      final double value = it.currentValue();

      if (isValueNonZero(previousValue) && isValueNonZero(value)) {
        resultDates[resultIndex] = date;
        if (d == null) {
          dividend = 0;
        } else {
          dividendTSData = d.getValue(date); // Arghh, this makes it n log(n) instead of n...  Improve this.
          dividend = dividendTSData == null ? 0 : dividendTSData;
        }
        resultValues[resultIndex++] = Math.log((value + dividend) / previousValue);
      }
      previousValue = value;
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  public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
    testInputData(x);
    if (x.length > 2) {
      s_logger.info("Have more than two time series in array; only using first two");
    }
    final LocalDateDoubleTimeSeries ts1 = x[0];
    final LocalDateDoubleTimeSeries ts2 = x[1];
    final int n = ts1.size();
    final int[] times = new int[n];
    final double[] returns = new double[n];
    final LocalDateDoubleEntryIterator iter1 = ts1.iterator();
    int i = 0;
    while (iter1.hasNext()) {
      final int date = iter1.nextTimeFast();
      final Double value2 = ts2.getValue(date);
      if (value2 == null || Math.abs(value2) < ZERO) {
        if (getMode().equals(CalculationMode.STRICT)) {
          throw new TimeSeriesException("No data in second series for time " + iter1.currentTime());
        }
      } else {
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   */
  @Override
  public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
    ArgumentChecker.notEmpty(x, "x");
    ArgumentChecker.notNull(x[0], "first time series");
    final LocalDateDoubleTimeSeries ts = x[0];
    if (ts.size() < 2) {
      throw new TimeSeriesException("Need at least two data points to calculate return series");
    }
    LocalDateDoubleTimeSeries d = null;
    if (x.length > 1) {
      if (x[1] != null) {
        d = x[1];
      }
    }

    final int[] resultDates = new int[ts.size() - 1];
    final double[] resultValues = new double[ts.size() - 1];
    int resultIndex = 0;

    final LocalDateDoubleEntryIterator it = ts.iterator();
    it.nextTimeFast();
    double previousValue = it.currentValue();

    double dividend;
    Double dividendTSData;
    while (it.hasNext()) {
      final int date = it.nextTimeFast();
      final double value = it.currentValue();

      if (isValueNonZero(previousValue) && isValueNonZero(value)) {
        resultDates[resultIndex] = date;
        if (d == null) {
          dividend = 0;
        } else {
          dividendTSData = d.getValue(date);
          dividend = dividendTSData == null ? 0 : dividendTSData;
        }
        resultValues[resultIndex++] = (value + dividend) / previousValue;
      }
      previousValue = value;
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      throw new TimeSeriesException("Time series array must contain at least four elements");
    }
    if (getMode() == CalculationMode.STRICT && x[0].size() != x[2].size()) {
      throw new TimeSeriesException("Asset price series and reference price series were not the same size");
    }
    final LocalDateDoubleTimeSeries assetReturn = x[1] == null ? _returnCalculator.evaluate(x[0]) : _returnCalculator.evaluate(x[0], x[1]);
    final LocalDateDoubleTimeSeries referenceReturn = x[3] == null ? _returnCalculator.evaluate(x[2]) : _returnCalculator.evaluate(x[2], x[3]);
    return assetReturn.subtract(referenceReturn);
  }
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   */
  @Override
  public LocalDateDoubleTimeSeries evaluate(final LocalDateDoubleTimeSeries... x) {
    ArgumentChecker.notEmpty(x, "x");
    ArgumentChecker.notNull(x[0], "first time series");
    final LocalDateDoubleTimeSeries ts = x[0];
    if (ts.size() < 2) {
      throw new TimeSeriesException("Need at least two data points to calculate return series");
    }
    LocalDateDoubleTimeSeries d = null;
    if (x.length > 1) {
      if (x[1] != null) {
        d = x[1];
      }
    }

    final int[] resultDates = new int[ts.size() - 1];
    final double[] resultValues = new double[ts.size() - 1];
    int resultIndex = 0;

    final LocalDateDoubleEntryIterator it = ts.iterator();
    it.nextTimeFast();
    double previousValue = it.currentValue();

    double dividend;
    Double dividendTSData;
    while (it.hasNext()) {
      final int date = it.nextTimeFast();
      final double value = it.currentValue();

      if (isValueNonZero(previousValue) && isValueNonZero(value)) {
        resultDates[resultIndex] = date;
        if (d == null) {
          dividend = 0;
        } else {
          dividendTSData = d.getValue(date);
          dividend = dividendTSData == null ? 0 : dividendTSData;
        }
        resultValues[resultIndex++] = (value + dividend) / previousValue - 1;
      }
      previousValue = value;
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*
*/
public abstract class TimeSeriesFilter extends Function1D<LocalDateDoubleTimeSeries, FilteredTimeSeries> {

  protected FilteredTimeSeries getFilteredSeries(final int[] filteredDates, final double[] filteredData, final int i, final int[] rejectedDates, final double[] rejectedData, final int j) {
    final LocalDateDoubleTimeSeries filtered = ImmutableLocalDateDoubleTimeSeries.of(Arrays.trimToCapacity(filteredDates, i), Arrays.trimToCapacity(filteredData, i));
    final LocalDateDoubleTimeSeries rejected = ImmutableLocalDateDoubleTimeSeries.of(Arrays.trimToCapacity(rejectedDates, j), Arrays.trimToCapacity(rejectedData, j));
    return new FilteredTimeSeries(filtered, rejected);
  }
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    ArgumentChecker.notNull(ts, "ts");
    if (ts.isEmpty()) {
      s_logger.info("Time series was empty");
      return new FilteredTimeSeries(EMPTY_SERIES, null);
    }
    final LocalDateDoubleTimeSeries returnTS = _returnCalculator.evaluate(ts);
    return _filter.evaluate(returnTS);
  }
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    assertEquals(filtered.getRejectedTS(), EMPTY_SERIES);
  }

  @Test
  public void testMasked() {
    final LocalDateDoubleTimeSeries subSeries = TS.subSeries(DATES[0], DATES[11]);
    final FilteredTimeSeries result = FILTER.evaluate(ImmutableLocalDateDoubleTimeSeries.of(subSeries.timesArray(), subSeries.valuesArrayFast()));
    assertEquals(result.getFilteredTS().size(), 11);
  }
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  @Test
  public void test() {
    final FilteredTimeSeries result = FILTER.evaluate(TS);
    assertEquals(result.getFilteredTS().size(), 498);
    final LocalDateDoubleTimeSeries rejected = result.getRejectedTS();
    assertEquals(rejected.getTimeAtIndex(0), LocalDate.ofEpochDay(0));
    assertEquals(rejected.getValueAtIndex(0), DATA1, EPS);
    assertEquals(rejected.getTimeAtIndex(1), LocalDate.ofEpochDay(1));
    assertEquals(rejected.getValueAtIndex(1), DATA2, EPS);
  }
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