Package com.opengamma.timeseries.date.localdate

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

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      data[i] = random;
      if (i > 0) {
        returns[i - 1] = random / data[i - 1];
      }
    }
    final LocalDateDoubleTimeSeries dividendTS = ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(300) }, new double[] {3});
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS}).equals(returnTS));
  }
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        } else {
          returns[i - 1] = random / data[i - 1];
        }
      }
    }
    final LocalDateDoubleTimeSeries dividendTS = ImmutableLocalDateDoubleTimeSeries.of(dividendTimes, dividendData);
    final LocalDateDoubleTimeSeries priceTS = ImmutableLocalDateDoubleTimeSeries.of(times, data);
    final LocalDateDoubleTimeSeries returnTS = ImmutableLocalDateDoubleTimeSeries.of(Arrays.copyOfRange(times, 1, n), returns);
    assertTrue(CALCULATOR.evaluate(new LocalDateDoubleTimeSeries[] {priceTS, dividendTS}).equals(returnTS));
  }
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    STRICT_CALCULATOR.evaluate(TS1, TS3);
  }

  @Test
  public void testStrict() {
    final LocalDateDoubleTimeSeries result = STRICT_CALCULATOR.evaluate(TS1, TS2);
    assertEquals(result.size(), 5);
    assertEquals(result, ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
                                                                              LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4),
                                                                              LocalDate.ofEpochDay(5) },
                                                            new double[] {-0.5, -0.5, -0.5, -0.5, -0.5}));
  }
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                                                            new double[] {-0.5, -0.5, -0.5, -0.5, -0.5}));
  }

  @Test
  public void testLenient() {
    final LocalDateDoubleTimeSeries result = LENIENT_CALCULATOR.evaluate(TS1, TS3);
    assertEquals(result.size(), 4);
    assertEquals(result, ImmutableLocalDateDoubleTimeSeries.of(new LocalDate[] { LocalDate.ofEpochDay(1), LocalDate.ofEpochDay(2),
                                                                              LocalDate.ofEpochDay(3), LocalDate.ofEpochDay(4)},
                                                            new double[] {-0.5, -0.5, -0.5, -0.5}));
  }
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    LocalDate.of(2010, Month.MARCH, 2),
    LocalDate.of(2010, Month.MARCH, 6),  
  };

  public void testBulkIntersection() {
    LocalDateDoubleTimeSeries one = ImmutableLocalDateDoubleTimeSeries.of(DATES1, VALUES1);
    LocalDateDoubleTimeSeries two = ImmutableLocalDateDoubleTimeSeries.of(DATES2, VALUES2);
    LocalDateDoubleTimeSeries three = ImmutableLocalDateDoubleTimeSeries.of(DATES3, VALUES3);
    LocalDateDoubleTimeSeries four = ImmutableLocalDateDoubleTimeSeries.of(DATES4, VALUES4);

    LocalDateDoubleTimeSeries[] inputs = new LocalDateDoubleTimeSeries[] {one, two, three, four };
    DoubleTimeSeries<LocalDate>[] intersection = BulkTimeSeriesOperations.intersection(inputs);
    for (int i = 0; i < intersection.length; i++) {
      LocalDate[] timesArray = intersection[i].timesArray();
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  @Override
  public LocalDateDoubleTimeSeries getSampledTimeSeries(final DateDoubleTimeSeries<?> ts, final LocalDate[] schedule) {
    ArgumentChecker.notNull(ts, "time series");
    ArgumentChecker.notNull(schedule, "schedule");
    final LocalDateDoubleTimeSeries localDateTS = ImmutableLocalDateDoubleTimeSeries.of(ts);
    final LocalDate[] tsDates = localDateTS.timesArray();
    final double[] values = localDateTS.valuesArrayFast();
    final double[] scheduledData = new double[schedule.length];
    int dateIndex = 0;
    for (int i = 0; i < schedule.length; i++) {
      final LocalDate localDate = schedule[i];
      if (dateIndex < tsDates.length) { //TODO break out
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  @Override
  public LocalDateDoubleTimeSeries getSampledTimeSeries(final DateDoubleTimeSeries<?> ts, final LocalDate[] schedule) {
    ArgumentChecker.notNull(ts, "time series");
    ArgumentChecker.notNull(schedule, "schedule");
    final LocalDateDoubleTimeSeries localDateTS = ImmutableLocalDateDoubleTimeSeries.of(ts);
    final List<LocalDate> tsDates = localDateTS.times();
    final List<LocalDate> scheduledDates = new ArrayList<>();
    final List<Double> scheduledData = new ArrayList<>();
    for (final LocalDate localDate : schedule) {
      if (tsDates.contains(localDate)) {
        scheduledDates.add(localDate);
        scheduledData.add(localDateTS.getValue(localDate));
      }
    }
    return ImmutableLocalDateDoubleTimeSeries.of(scheduledDates, scheduledData);
  }
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  @Override
  public LocalDateDoubleTimeSeries getSampledTimeSeries(final DateDoubleTimeSeries<?> ts, final LocalDate[] schedule) {
    ArgumentChecker.notNull(ts, "time series");
    ArgumentChecker.notNull(schedule, "schedule");
    final LocalDateDoubleTimeSeries localDateTS = ImmutableLocalDateDoubleTimeSeries.of(ts);
    final LocalDate[] tsDates = localDateTS.timesArray();
    final double[] values = localDateTS.valuesArrayFast();
    final List<LocalDate> scheduledDates = new ArrayList<>();
    final List<Double> scheduledData = new ArrayList<>();
    int dateIndex = 0;
    for (final LocalDate localDate : schedule) {
      if (dateIndex < tsDates.length) {
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   * dates in the different time series do not coincide
   */
  @Override
  public Double evaluate(final LocalDateDoubleTimeSeries... x) {
    testTimeSeries(x, 3);
    final LocalDateDoubleTimeSeries returnTS = _returnCalculator.evaluate(x);
    final Iterator<Double> iter = returnTS.valuesIterator();
    double returnValue = iter.next();
    double variance = returnValue * returnValue;
    while (iter.hasNext()) {
      returnValue = iter.next();
      variance = _lambda * variance + _lambdaM1 * returnValue * returnValue;
 
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      throw new IllegalArgumentException("Need high and low time series to calculate high-low volatility");
    }
    if (x.length > 2) {
      s_logger.info("Time series array contained more than two series; only using the first two");
    }
    final LocalDateDoubleTimeSeries high = x[0];
    final LocalDateDoubleTimeSeries low = x[1];
    testHighLow(high, low);
    final LocalDateDoubleTimeSeries returnTS = _returnCalculator.evaluate(new LocalDateDoubleTimeSeries[] {high, low});
    final int n = returnTS.size();
    final Iterator<Double> iter = returnTS.valuesIterator();
    double sum = 0;
    while (iter.hasNext()) {
      sum += iter.next();
    }
    return sum / (2 * n * Math.sqrt(Math.log(2.)));
 
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