Package com.opengamma.analytics.math.interpolation

Examples of com.opengamma.analytics.math.interpolation.Interpolator1D.interpolate()

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      final double[][] sensitivityDD = new double[sensitivityList.size()][];
      // Implementation note: Sensitivity of the interpolated discount factor to the node discount factor
      final double[] df = new double[sensitivityList.size()];
      int k = 0;
      for (final DoublesPair timeAndS : sensitivityList) {
        df[k] = interpolator.interpolate(data, timeAndS.first);
        sensitivityDD[k++] = interpolator.getNodeSensitivitiesForValue(data, timeAndS.getFirst());
      }
      for (int j = 0; j < sensitivityDD[0].length; j++) {
        double temp = 0.0;
        k = 0;
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    }

    final Interpolator1D interpolator = Interpolator1DFactory.getInterpolator("DoubleQuadratic");
    final Interpolator1DDataBundle dataBundle = interpolator.getDataBundleFromSortedArrays(k, price);

    final double fftPrice = interpolator.interpolate(dataBundle, STRIKE);

    // System.out.println(fftPrice + "\t" + pdfPrice);
    assertEquals(fftPrice, pdfPrice, 2e-6);

    // for (int i = 0; i < strikeNprice.length; i++) {
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      System.out.println("weights:\t" + results.getFitParameters());

      for (int i = 0; i < 101; i++) {
        final double logX = -5 + 8 * i / 100.;
        final double x = Math.exp(logX);
        System.out.println(x + "\t" + +logX + "\t" + spline.evaluate(x) + "\t" + interpolator.interpolate(db, x) + "\t"
            + splineLog.evaluate(logX) + "\t" + interpolator.interpolate(dbLog, logX) + "\t" + splineVar.evaluate(x) + "\t"
            + interpolator.interpolate(dbVar, x) + "\t" + splineVarLog.evaluate(logX) + "\t" + interpolator.interpolate(dbVarLog, logX));
      }
      for (int i = 0; i < n; i++) {
        System.out.println(lnX[i] + "\t" + yData[i]);
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      for (int i = 0; i < 101; i++) {
        final double logX = -5 + 8 * i / 100.;
        final double x = Math.exp(logX);
        System.out.println(x + "\t" + +logX + "\t" + spline.evaluate(x) + "\t" + interpolator.interpolate(db, x) + "\t"
            + splineLog.evaluate(logX) + "\t" + interpolator.interpolate(dbLog, logX) + "\t" + splineVar.evaluate(x) + "\t"
            + interpolator.interpolate(dbVar, x) + "\t" + splineVarLog.evaluate(logX) + "\t" + interpolator.interpolate(dbVarLog, logX));
      }
      for (int i = 0; i < n; i++) {
        System.out.println(lnX[i] + "\t" + yData[i]);
      }
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      for (int i = 0; i < 101; i++) {
        final double logX = -5 + 8 * i / 100.;
        final double x = Math.exp(logX);
        System.out.println(x + "\t" + +logX + "\t" + spline.evaluate(x) + "\t" + interpolator.interpolate(db, x) + "\t"
            + splineLog.evaluate(logX) + "\t" + interpolator.interpolate(dbLog, logX) + "\t" + splineVar.evaluate(x) + "\t"
            + interpolator.interpolate(dbVar, x) + "\t" + splineVarLog.evaluate(logX) + "\t" + interpolator.interpolate(dbVarLog, logX));
      }
      for (int i = 0; i < n; i++) {
        System.out.println(lnX[i] + "\t" + yData[i]);
      }
    }
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      for (int i = 0; i < 101; i++) {
        final double logX = -5 + 8 * i / 100.;
        final double x = Math.exp(logX);
        System.out.println(x + "\t" + +logX + "\t" + spline.evaluate(x) + "\t" + interpolator.interpolate(db, x) + "\t"
            + splineLog.evaluate(logX) + "\t" + interpolator.interpolate(dbLog, logX) + "\t" + splineVar.evaluate(x) + "\t"
            + interpolator.interpolate(dbVar, x) + "\t" + splineVarLog.evaluate(logX) + "\t" + interpolator.interpolate(dbVarLog, logX));
      }
      for (int i = 0; i < n; i++) {
        System.out.println(lnX[i] + "\t" + yData[i]);
      }
    }
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