Examples of LinearInterpolator1D

com.opengamma.analytics.math.interpolation.LinearInterpolator1D
A one-dimensional linear interpolator. The interpolated value of the function y at x between two data points (x₁, y₁) and (x₂, y₂) is given by:
y = y₁ + (x - x₁) * (y₂ - y₁) / (x₂ - x₁)

Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    nodeTimesExtended[2] = deposit.getEndTime();
    final double[] yields = new double[nbNode + 1];
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double prBumped = METHOD_DEPOSIT.parRate(deposit, CURVES);
      result[loopnode] = (prBumped - pr) / deltaShift;

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    nodeTimesExtended[0] = deposit.getStartTime();
    nodeTimesExtended[1] = deposit.getEndTime();
    final double[] yields = new double[nbNode];
    yields[0] = curveToBump.getInterestRate(nodeTimesExtended[0]);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double prBumped = METHOD_DEPOSIT.parRate(deposit, CURVES);
      result[loopnode] = (prBumped - pr) / deltaShift;

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    nodeTimesExtended[2] = deposit.getEndTime();
    final double[] yields = new double[nbNode + 1];
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    final YieldAndDiscountCurve curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES.replaceCurve(CURVES_NAME[0], curveBumped);
      final double psBumped = METHOD_DEPOSIT.parSpread(deposit, CURVES);
      result[loopnode] = (psBumped - ps) / deltaShift;

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

  }


  @SuppressWarnings("unchecked")
  @Test
  public void testInterpolatedCurve() {
    Curve<Double, Double> c1 = InterpolatedDoublesCurve.from(new double[] {1, 2, 3, 4}, new double[] {4, 5, 6, 7}, new LinearInterpolator1D());
    Curve<Double, Double> c2 = cycleObject(Curve.class, c1);
    assertEquals(c1, c2);
    c1 = InterpolatedDoublesCurve.from(new double[] {1, 2, 3, 4}, new double[] {4, 5, 6, 7}, new LinearInterpolator1D(), "NAME");
    c2 = cycleObject(Curve.class, c1);
    assertEquals(c1, c2);
  }

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    final List<DoublesPair> sensi1 = pscsMethod.getSensitivities().get(CURVES_NAME[0]);
    curveToBump = CURVES.getCurve(CURVES_NAME[0]);
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES_FX.replaceCurve(CURVES_NAME[0], curveBumped);
      final double psBumped = METHOD_FX_SWAP.parSpread(fxSwap, CURVES_FX);
      result[loopnode] = (psBumped - ps) / deltaShift;
      final DoublesPair pairPv = sensi1.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_SPREAD_DELTA);
    }
    CURVES_FX.replaceCurve(CURVES_NAME[0], curveToBump);
    // USD Dsc
    final List<DoublesPair> sensi2 = pscsMethod.getSensitivities().get(CURVES_NAME[0]);
    curveToBump = CURVES.getCurve(CURVES_NAME[1]);
    yields[0] = curveToBump.getInterestRate(0.0);
    yields[1] = curveToBump.getInterestRate(nodeTimesExtended[1]);
    yields[2] = curveToBump.getInterestRate(nodeTimesExtended[2]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesExtended, yields, new LinearInterpolator1D()));
    for (int loopnode = 0; loopnode < nbNode; loopnode++) {
      final YieldAndDiscountCurve curveBumped = curveNode.withSingleShift(nodeTimesExtended[loopnode + 1], deltaShift);
      CURVES_FX.replaceCurve(CURVES_NAME[1], curveBumped);
      final double psBumped = METHOD_FX_SWAP.parSpread(fxSwap, CURVES_FX);
      result[loopnode] = (psBumped - ps) / deltaShift;

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

  }


  @Test
  public void testInterpolatedVolatilitySurface() {
    final double sigma = 0.4;
    final Interpolator1D linear = new LinearInterpolator1D();
    final Interpolator2D interpolator = new GridInterpolator2D(linear, linear);
    final Map<DoublesPair, Double> data = new HashMap<>();
    data.put(Pair.of(0., 1.), sigma);
    data.put(Pair.of(1., 0.), sigma);
    data.put(Pair.of(0., 0.), sigma);

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

  @Test
  public void testMoneynessSurfaceBackedByGrid() {
    final ConstantDoublesSurface surface = ConstantDoublesSurface.from(0.5);
    final ForwardCurve curve = new ForwardCurve(1);
    final StandardSmileSurfaceDataBundle gridData = new StandardSmileSurfaceDataBundle(100.0, new double[] {101,102,103}, new double[] {1,2,3},
        new double[][] {{80,80},{100,100},{120,120}}, new double[][] {{.3,.25},{.2,.2},{.3,.25}}, new LinearInterpolator1D() );
    final VolatilitySurfaceInterpolator interpolator = new VolatilitySurfaceInterpolator();
    final BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness1 = new BlackVolatilitySurfaceMoneynessFcnBackedByGrid(surface, curve, gridData, interpolator);
    BlackVolatilitySurfaceMoneynessFcnBackedByGrid moneyness2 = cycleObject(BlackVolatilitySurfaceMoneynessFcnBackedByGrid.class, moneyness1);
    assertArrayEquals(moneyness1.getGridData().getExpiries(), moneyness2.getGridData().getExpiries(), 0);
    assertArrayEquals(moneyness1.getGridData().getForwards(), moneyness2.getGridData().getForwards(), 0);

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    YieldAndDiscountCurve curveBumpedMinus;
    final String bumpedCurveName = "Bumped";
    //Foreign
    yields[0] = curveForeign.getInterestRate(nodeTimes[0]);
    yields[1] = curveForeign.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesForeign = new YieldCurveBundle();
    curvesForeign.setCurve(bumpedCurveName, curveBumpedPlus);
    curvesForeign.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    dfForeignBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignPlus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dMBumped = Math.log(forwardBumped / strike) / sigmaRootT - 0.5 * sigmaRootT;
    final double bumpedPvForeignMinus = Math.abs(forexOptionCall.getUnderlyingForex().getPaymentCurrency2().getAmount()) * dfDomestic * NORMAL.getCDF(omega * dMBumped) * (isLong ? 1.0 : -1.0);
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
    assertEquals("Forex Digital option: curve sensitivity", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).first, TOLERANCE_TIME);
    assertEquals("Forex Digital option: curve sensitivity", resultForeign, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).second, TOLERANCE_DELTA);
    //Domestic
    yields[0] = curveDomestic.getInterestRate(nodeTimes[0]);
    yields[1] = curveDomestic.getInterestRate(nodeTimes[1]);
    curveNode = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yields, new LinearInterpolator1D()));
    curveBumpedPlus = curveNode.withSingleShift(nodeTimes[1], deltaShift);
    curveBumpedMinus = curveNode.withSingleShift(nodeTimes[1], -deltaShift);
    final YieldCurveBundle curvesDomestic = new YieldCurveBundle();
    curvesDomestic.setCurve(CURVES_NAME[0], CURVES.getCurve(CURVES_NAME[0]));
    curvesDomestic.setCurve(bumpedCurveName, curveBumpedPlus);

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

    final double timeToExpiration = 0.50;
    final double strike = 1.50;
    final double[] strikes = SMILE_TERM.getVolatilityTerm()[2].getStrike(forward);
    final double[] vol = SMILE_TERM.getVolatilityTerm()[2].getVolatility();
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    final double volExpected = interpolator.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
  }

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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

      vol[loopvol] = Math.sqrt(((vol050[loopvol] * vol050[loopvol] * TIME_TO_EXPIRY[2] + vol100[loopvol] * vol100[loopvol] * TIME_TO_EXPIRY[3]) / 2.0) / timeToExpiration);
    }
    final SmileDeltaParameters smile = new SmileDeltaParameters(timeToExpiration, DELTA, vol);
    final double[] strikes = smile.getStrike(forward);
    final ArrayInterpolator1DDataBundle volatilityInterpolation = new ArrayInterpolator1DDataBundle(strikes, vol);
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    final double volExpected = interpolator.interpolate(volatilityInterpolation, strike);
    final double volComputed = SMILE_TERM.getVolatility(timeToExpiration, strike, forward);
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volExpected, volComputed, TOLERANCE_VOL);
    final double volTriple = SMILE_TERM.getVolatility(new Triple<>(timeToExpiration, strike, forward));
    assertEquals("Smile by delta term structure: volatility interpolation on strike", volComputed, volTriple, TOLERANCE_VOL);
    final SmileDeltaTermStructureParametersStrikeInterpolation smileTerm2 = new SmileDeltaTermStructureParametersStrikeInterpolation(TIME_TO_EXPIRY, DELTA, ATM, RISK_REVERSAL, STRANGLE,

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