Package org.jquantlib.math.interpolations

Examples of org.jquantlib.math.interpolations.Interpolation$Interpolator

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        QL.info("Testing use of interpolations as functors...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new LinearInterpolation(x, y);
        f.update();

        final Array x2 = new Array(new double[] { -2.0, -1.0, 0.0, 1.0, 3.0, 4.0, 5.0, 6.0, 7.0 });
        final int N = x2.size();

        final double tolerance = 1.0e-12;

        // case 1: extrapolation not allowed
        try {
            final Array y2 = x2.clone().transform(f);
            System.out.println(y2);
            throw new NotThrown();
        } catch (final NotThrown ex) {
            throw new LibraryException("failed to throw exception when trying to extrapolate");
        } catch (final Exception ex) {
            // as expected, we are OK.
            System.out.println(ex);
        }

        // case 2: enable extrapolation
        f.enableExtrapolation();
        final Array y2 = x2.clone().transform(f);
        System.out.println(y2);
        for (int i=0; i<N-1; i++) {
            final double expected = 5.0 - x2.get(i);
            final double calculated = y2.get(i);
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        QL.info("Testing backward-flat interpolation...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new BackwardFlatInterpolation(x, y);
        f.update();

        final int N = x.size();
        final double tolerance = 1.0e-12;

        // at original points
        for (int i=0; i<N; i++) {
            final double p = x.get(i);
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // at middle points
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i)+x.get(i+1))/2;
            final double calculated = f.op(p);
            final double expected = y.get(i+1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // outside the original range
        f.enableExtrapolation();

        {
            // this is just a block
            double p = x.get(0) - 0.5;
            double calculated = f.op(p);
            double expected = y.get(0);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            p = x.get(N-1) + 0.5;
            calculated = f.op(p);
            expected = y.get(N-1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            // primitive at original points
            calculated = f.primitive(x.get(0));
            expected = 0.0;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        double sum = 0.0;
        for (int i=1; i<N-1; i++) {
            sum += (x.get(i) - x.get(i-1)) * y.get(i);
            final double calculated = f.primitive(x.get(i));
            final double expected = sum;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // primitive at middle points
        sum = 0.0;
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            sum += (x.get(i+1) - x.get(i)) * y.get(i+1)/2;
            final double calculated = f.primitive(p);
            final double expected = sum;
            sum += (x.get(i+1)-x.get(i))*y.get(i+1)/2;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
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        QL.info("Testing forward-flat interpolation...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new ForwardFlatInterpolation(x, y);
        f.update();

        final int N = x.size();
        final double tolerance = 1.0e-12;

        // at original points
        for (int i=0; i<N; i++) {
            final double p = x.get(i);
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // at middle points
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // outside the original range
        f.enableExtrapolation();

        {
            double p = x.get(0) - 0.5;
            double calculated = f.op(p);
            double expected = y.get(0);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            p = x.get(N-1) + 0.5;
            calculated = f.op(p);
            expected = y.get(N-1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            // primitive at original points
            calculated = f.primitive(x.get(0));
            expected = 0.0;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        double sum = 0.0;
        for (int i=1; i<N; i++) {
            sum += (x.get(i) - x.get(i-1)) * y.get(i-1);
            final double calculated = f.primitive(x.get(i));
            final double expected = sum;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // primitive at middle points
        sum = 0.0;
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            sum += (x.get(i+1) - x.get(i)) * y.get(i)/2;
            final double calculated = f.primitive(p);
            final double expected = sum;
            sum += (x.get(i+1) - x.get(i)) * y.get(i)/2;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
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        QL.info("Testing use of interpolations as functors...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new LinearInterpolation(x, y);
        f.update();

        final Array x2 = new Array(new double[] { -2.0, -1.0, 0.0, 1.0, 3.0, 4.0, 5.0, 6.0, 7.0 });
        final int N = x2.size();

        final double tolerance = 1.0e-12;

        // case 1: extrapolation not allowed
        try {
            final Array y2 = x2.clone().transform(f);
            System.out.println(y2);
            throw new NotThrown();
        } catch (final NotThrown ex) {
            throw new LibraryException("failed to throw exception when trying to extrapolate");
        } catch (final Exception ex) {
            // as expected, we are OK.
            System.out.println(ex);
        }

        // case 2: enable extrapolation
        f.enableExtrapolation();
        final Array y2 = x2.clone().transform(f);
        System.out.println(y2);
        for (int i=0; i<N-1; i++) {
            final double expected = 5.0 - x2.get(i);
            final double calculated = y2.get(i);
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        QL.info("Testing backward-flat interpolation...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new BackwardFlatInterpolation(x, y);
        f.update();

        final int N = x.size();
        final double tolerance = 1.0e-12;

        // at original points
        for (int i=0; i<N; i++) {
            final double p = x.get(i);
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // at middle points
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i)+x.get(i+1))/2;
            final double calculated = f.op(p);
            final double expected = y.get(i+1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // outside the original range
        f.enableExtrapolation();

        {
            // this is just a block
            double p = x.get(0) - 0.5;
            double calculated = f.op(p);
            double expected = y.get(0);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            p = x.get(N-1) + 0.5;
            calculated = f.op(p);
            expected = y.get(N-1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            // primitive at original points
            calculated = f.primitive(x.get(0));
            expected = 0.0;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        double sum = 0.0;
        for (int i=1; i<N-1; i++) {
            sum += (x.get(i) - x.get(i-1)) * y.get(i);
            final double calculated = f.primitive(x.get(i));
            final double expected = sum;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // primitive at middle points
        sum = 0.0;
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            sum += (x.get(i+1) - x.get(i)) * y.get(i+1)/2;
            final double calculated = f.primitive(p);
            final double expected = sum;
            sum += (x.get(i+1)-x.get(i))*y.get(i+1)/2;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
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        QL.info("Testing forward-flat interpolation...");

        final Array x = new Array(new double[] { 0.0, 1.0, 2.0, 3.0, 4.0 });
        final Array y = new Array(new double[] { 5.0, 4.0, 3.0, 2.0, 1.0 });

        final Interpolation f = new ForwardFlatInterpolation(x, y);
        f.update();

        final int N = x.size();
        final double tolerance = 1.0e-12;

        // at original points
        for (int i=0; i<N; i++) {
            final double p = x.get(i);
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // at middle points
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            final double calculated = f.op(p);
            final double expected = y.get(i);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // outside the original range
        f.enableExtrapolation();

        {
            double p = x.get(0) - 0.5;
            double calculated = f.op(p);
            double expected = y.get(0);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            p = x.get(N-1) + 0.5;
            calculated = f.op(p);
            expected = y.get(N-1);
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);

            // primitive at original points
            calculated = f.primitive(x.get(0));
            expected = 0.0;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        double sum = 0.0;
        for (int i=1; i<N; i++) {
            sum += (x.get(i) - x.get(i-1)) * y.get(i-1);
            final double calculated = f.primitive(x.get(i));
            final double expected = sum;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
                    +"\n    error:              "+Math.abs(calculated-expected),
                    Math.abs(calculated - expected) > tolerance);
        }

        // primitive at middle points
        sum = 0.0;
        for (int i=0; i<N-1; i++) {
            final double p = (x.get(i) + x.get(i+1))/2;
            sum += (x.get(i+1) - x.get(i)) * y.get(i)/2;
            final double calculated = f.primitive(p);
            final double expected = sum;
            sum += (x.get(i+1) - x.get(i)) * y.get(i)/2;
            assertFalse("failed to reproduce expected datum"
                    +"\n    expected value:   "+expected
                    +"\n    calculated value: "+calculated
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