Examples of LinearInterpolator1D

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

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      ps[looppt] = YIELD_PERIODIC.getInterestRateParameterSensitivity(time[looppt]);
    }
    for (int loopr = 0; loopr < RATES.length; loopr++) {
      double[] rateShift = RATES.clone();
      rateShift[loopr] += shift;
      YieldPeriodicCurve yieldPeriodicShifted = YieldPeriodicCurve.from(COMPOUNDING, InterpolatedDoublesCurve.from(TIME, rateShift, new LinearInterpolator1D()));
      for (int looppt = 0; looppt <= nbPt; looppt++) {
        double r = yieldPeriodicShifted.getInterestRate(time[looppt]);
        assertEquals("ParameterSensitivity - YieldPeriodic", (r - rt[looppt]) / shift, ps[looppt][loopr], TOLERANCE_SENSI);
      }
    }
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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      ps[looppt] = DISCOUNT.getInterestRateParameterSensitivity(time[looppt]);
    }
    for (int loopr = 0; loopr < RATES.length; loopr++) {
      double[] dfShift = DF_VALUES.clone();
      dfShift[loopr] += shift;
      DiscountCurve discountShift = DiscountCurve.from(InterpolatedDoublesCurve.from(TIME, dfShift, new LinearInterpolator1D()));
      for (int looppt = 0; looppt <= nbPt; looppt++) {
        double r = discountShift.getInterestRate(time[looppt]);
        assertEquals("ParameterSensitivity - YieldPeriodic", (r - rt[looppt]) / shift, ps[looppt][loopr], TOLERANCE_SENSI);
      }
    }
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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  @Test
  public void testConvert() {
    final double eps = 1e-15;
    final double[] x = new double[] {0, 1, 2};
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    InterpolatedDoublesCurve other = CURVE.toInterpolatedDoublesCurve(x, interpolator);
    assertArrayEquals(other.getXDataAsPrimitive(), x, eps);
    assertArrayEquals(other.getYDataAsPrimitive(), new double[] {F.evaluate(x[0]), F.evaluate(x[1]), F.evaluate(x[2])}, eps);
  }
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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  @Test
  public void testConvert() {
    final double eps = 1e-15;
    final double[] x = new double[] {0, 1, 2};
    final double[] y = new double[] {Y1, Y1, Y1};
    final LinearInterpolator1D interpolator = new LinearInterpolator1D();
    InterpolatedDoublesCurve other = CURVE.toInterpolatedDoublesCurve(x, interpolator);
    assertArrayEquals(other.getXDataAsPrimitive(), x, eps);
    assertArrayEquals(other.getYDataAsPrimitive(), y, eps);
  }
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForwardArray[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    final double[] resFwd = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = METHOD.presentValue(capBumpedForward, sabrBundleBumped).getAmount();
      resFwd[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Sensitivity to forward curve: Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Sensitivity to forward curve: Node " + i, resFwd[i], pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME };
    final CapFloorIbor capBumpedFunding = (CapFloorIbor) CAP_LONG_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final int nbPayDate = 1;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 1];
    final double[] nodeTimesFunding = new double[nbPayDate + 1];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = CAP_LONG.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] resDsc = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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    yieldsForward[0] = curveForward.getInterestRate(0.0);
    for (int i = 0; i < nbForwardDate; i++) {
      nodeTimesForward[i + 1] = timeForward[i];
      yieldsForward[i + 1] = curveForward.getInterestRate(nodeTimesForward[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
    }

    final double[] nodeTimesForwardMethod = new double[] {FRA.getFixingPeriodStartTime(), FRA.getFixingPeriodEndTime()};
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(fraBumpedForward, curves, pv, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForwardMethod, deltaShift, FRA_METHOD);
    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      assertEquals("Sensitivity finite difference method: node sensitivity", sensiPvForwardFD[loopnode], sensiForwardMethod[loopnode]);
    }

    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME};
    final ForwardRateAgreement fraBumped = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[2];
    final double[] nodeTimesFunding = new double[2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = FRA.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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    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

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    final String bumpedCurveName = "Bumped";
    BlackFunctionData dataBlack;
    //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;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignPlus = func.evaluate(dataBlack) * notional;
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignMinus = func.evaluate(dataBlack) * notional;
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
    assertEquals("Forex vanilla option: curve exposure", forexForward.getPaymentTime(), sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).first, 1E-2);
    assertEquals("Forex vanilla option: curve exposure", resultForeign, sensi.getSensitivity(USD).getSensitivities().get(CURVES_NAME[0]).get(0).second, 1E-2);
    //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

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    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimes[i + 1] = SWAP_PAYER.getFixedLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimes[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimes, yieldsFunding, new LinearInterpolator1D()));
    final YieldCurveBundle curvesNotBumped = new YieldCurveBundle();
    curvesNotBumped.addAll(CURVES);
    curvesNotBumped.setCurve("Bumped Curve", tempCurveFunding);
    final double pvbp = METHOD_SWAP.presentValueBasisPoint(SWAP_PAYER, curvesNotBumped);
    final InterestRateCurveSensitivity pvbpDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(SWAP_PAYER, curvesNotBumped);
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Examples of com.opengamma.analytics.math.interpolation.LinearInterpolator1D

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    assertEquals(s1, s2);
  }

  @Test
  public void testInterpolatedSurface() {
    final LinearInterpolator1D linear = new LinearInterpolator1D();
    final GridInterpolator2D interpolator = new GridInterpolator2D(linear, linear);
    Surface<Double, Double, Double> s1 = InterpolatedDoublesSurface.from(new double[] {1, 2, 3, 4 }, new double[] {4, 5, 6, 7 }, new double[] {8, 9, 10, 11 }, interpolator);
    Surface<Double, Double, Double> s2 = cycleObject(Surface.class, s1);
    assertEquals(s1, s2);
    s1 = InterpolatedDoublesSurface.from(new double[] {1, 2, 3, 4 }, new double[] {4, 5, 6, 7 }, new double[] {8, 9, 10, 11 }, interpolator, "NAME");
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