Examples of com.opengamma.analytics.math.interpolation.PSplineFitter.solve()

com.opengamma.analytics.math.interpolation.PSplineFitter.solve()

Fits a curve to x-y data @param x The independent variables @param y The dependent variables @param sigma The error on the y variables @param xa The lowest value of x @param xb The highest value of x @param nKnots Number of knots (note, the actual number of basis splines and thus fitted weights, equals nKnots + degree) @param degree The degree of the basis function - 0 is piecewise constant, 1 is a sawtooth function (i.e. two straight lines joined in the middle), 2 gives three quadratic sections joined together, etc. For a large value of degree, the basis function tends to a gaussian @param lambda The weight given to the penalty function @param differenceOrder applies the penalty the the nth order difference in the weights, so a differenceOrder of 2 will penalise large 2nd derivatives etc @return The results of the fit

      x.add(k[i]);
      y.add(vols[i]);
      sigma.add(1e-5);
    }
    final PSplineFitter pfitter = new PSplineFitter();
    final GeneralizedLeastSquareResults<Double> temp = pfitter.solve(x, y, sigma, 0.5, 1.7, 50, 3, 100000000, 2);
    final Function1D<Double, Double> func3 = temp.getFunction();


    for (int i = 0; i < 101; i++) {
      final double strike = 0.5 + 1.0 * i / 100.;
      System.out.println(strike + "\t" + func.evaluate(strike) + "\t" + func2.evaluate(strike) + "\t" + func3.evaluate(strike));


  @Test
  public void testPSplineFit2D() {


    final PSplineFitter psf = new PSplineFitter();
    final GeneralizedLeastSquareResults<double[]> results = psf.solve(X_COS_EXP, Y_COS_EXP, SIGMA_COS_EXP, new double[] {0.0, 0.0 }, new double[] {10.0, 10.0 }, new int[] {10, 10 },
        new int[] {3, 3 },
        new double[] {0.001, 0.001 }, new int[] {3, 3 });


    assertEquals(0.0, results.getChiSq(), 1e-9);
    final Function1D<double[], Double> spline = results.getFunction();

    final int[] degree = new int[] {3, 3 };
    final int[] diff = new int[] {2, 2 };
    final double[] lambda = new double[] {0.1, 0.3 };


    final PSplineFitter splineFitter = new PSplineFitter();
    final GeneralizedLeastSquareResults<double[]> res = splineFitter.solve(tk, vols, sigmas, new double[] {0.0, 0.0 }, new double[] {2.0, 3.0 }, nKnots, degree, lambda, diff);


    System.out.println(res.getChiSq());
    final Function1D<double[], Double> func = res.getFunction();


    final Function<Double, Double> temp2 = new Function<Double, Double>() {

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