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

      timeValueUs[2 + 2 * loopus] = TimeCalculator.getTimeBetween(pricingDate, maturityDateUs[2 * loopus]);
      timeValueUs[2 + 2 * loopus + 1] = TimeCalculator.getTimeBetween(pricingDate, maturityDateUs[2 * loopus + 1]);
      indexValueUs[2 + 2 * loopus] = indexValueUs[0] * Math.pow(1 + 0.02, yearUs[loopus]); // 2% inflation a year.
      indexValueUs[2 + 2 * loopus + 1] = indexValueUs[1] * Math.pow(1 + 0.02, yearUs[loopus]); // 2% inflation a year.
    }
    final InterpolatedDoublesCurve curveUs = InterpolatedDoublesCurve.from(timeValueUs, indexValueUs, new LinearInterpolator1D(), NAME_USD_PRICE_INDEX);
    final PriceIndexCurve priceIndexCurveUs = new PriceIndexCurve(curveUs);
    market.setCurve(PRICE_INDEX_USD, priceIndexCurveUs);
    return market;
  }

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

    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 = sensi.getSensitivities().get(FORWARD_CURVE_NAME);
    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 = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
    // 2. Funding curve sensitivity
    final String[] bumpedCurvesFundingName = {bumpedCurveName, FORWARD_CURVE_NAME };
    final SwaptionCashFixedIbor swaptionBumpedFunding = SWAPTION_DEFINITION_LONG_PAYER.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final SwapDefinition underlyingSwap = SWAPTION_DEFINITION_LONG_PAYER.getUnderlyingSwap();
    AnnuityDefinition<? extends PaymentDefinition> floatLeg;
    if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
      floatLeg = underlyingSwap.getSecondLeg();
    } else {
      floatLeg = underlyingSwap.getFirstLeg();
    }
    final int nbPayDate = floatLeg.getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 2];
    final double[] nodeTimesFunding = new double[nbPayDate + 2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = SWAPTION_LONG_PAYER.getSettlementTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 2] = SWAPTION_LONG_PAYER.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 2] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = sensi.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);

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

    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 = pvsLongPayerExtra.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 = methodExtra.presentValue(swaptionBumpedForward, sabrBundleBumped);
      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 SwaptionCashFixedIbor swaptionBumpedFunding = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final SwapDefinition underlyingSwap = swaptionDefinitionLongPayerHighStrike.getUnderlyingSwap();
    AnnuityDefinition<? extends PaymentDefinition> floatLeg;
    if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
      floatLeg = underlyingSwap.getSecondLeg();
    } else {
      floatLeg = underlyingSwap.getFirstLeg();
    }
    final int nbPayDate = floatLeg.getPayments().length;
    final YieldAndDiscountCurve curveFunding = curves.getCurve(FUNDING_CURVE_NAME);
    final double[] yieldsFunding = new double[nbPayDate + 2];
    final double[] nodeTimesFunding = new double[nbPayDate + 2];
    yieldsFunding[0] = curveFunding.getInterestRate(0.0);
    nodeTimesFunding[1] = swaptionLongPayerHighStrike.getSettlementTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 2] = swaptionLongPayerHighStrike.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 2] = curveFunding.getInterestRate(nodeTimesFunding[i + 2]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsLongPayerExtra.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

    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 = pvsLongPayerExtra.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_EXTRAPOLATION.presentValue(swaptionBumpedForward, sabrBundleBumped);
      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 SwaptionPhysicalFixedIbor swaptionBumpedFunding = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, bumpedCurvesFundingName);
    final SwapDefinition underlyingSwap = swaptionDefinitionLongPayerHighStrike.getUnderlyingSwap();
    AnnuityDefinition<? extends PaymentDefinition> floatLeg;
    if (underlyingSwap.getFirstLeg() instanceof AnnuityCouponFixedDefinition) {
      floatLeg = underlyingSwap.getSecondLeg();
    } else {
      floatLeg = underlyingSwap.getFirstLeg();
    }
    final int nbPayDate = floatLeg.getPayments().length;
    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);
    for (int i = 0; i < nbPayDate; i++) {
      nodeTimesFunding[i + 1] = swaptionLongPayerHighStrike.getUnderlyingSwap().getSecondLeg().getNthPayment(i).getPaymentTime();
      yieldsFunding[i + 1] = curveFunding.getInterestRate(nodeTimesFunding[i + 1]);
    }
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = pvsLongPayerExtra.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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