Exemplo n.º 1
0
 @Override
 public Double interpolate(final Interpolator1DDataBundle data, final Double value) {
   Validate.notNull(data, "data");
   Validate.notNull(value, "value");
   if (value < data.firstKey()) {
     return data.firstValue();
   } else if (value > data.lastKey()) {
     return data.lastValue();
   }
   throw new IllegalArgumentException("Value " + value + " was within data range");
 }
 @Test
 public void dataBundleTest() {
   Interpolator1DDataBundle db = INTERPOLATOR.getDataBundle(X_DATA, Y_DATA);
   double[] keys = db.getKeys();
   double[] values = db.getValues();
   final int n = X_DATA.length;
   assertEquals("keys length", n, keys.length);
   assertEquals("values length", n, values.length);
   for (int i = 0; i < n; i++) {
     assertEquals("keys " + i, X_DATA[i], keys[i]);
     assertEquals("values " + i, Y_DATA[i], values[i]);
   }
 }
 @Override
 protected Object getResult(
     final PDELocalVolatilityCalculator<?> calculator,
     final LocalVolatilitySurfaceMoneyness localVolatility,
     final ForwardCurve forwardCurve,
     final EuropeanVanillaOption option,
     final YieldAndDiscountCurve discountingCurve) {
   final Interpolator1DDataBundle data =
       (Interpolator1DDataBundle)
           calculator.getResult(localVolatility, forwardCurve, option, discountingCurve);
   return InterpolatedDoublesCurve.from(
       data.getKeys(),
       data.getValues(),
       ((LocalVolatilityForwardPDEVolatilityGreeksGridCalculator) calculator).getInterpolator());
 }
Exemplo n.º 4
0
 @Override
 public double[] getNodeSensitivitiesForValue(
     final Interpolator1DDataBundle data, final Double value) {
   Validate.notNull(data, "data");
   final int n = data.size();
   if (value < data.firstKey()) {
     final double[] result = new double[n];
     result[0] = 1;
     return result;
   } else if (value > data.lastKey()) {
     final double[] result = new double[n];
     result[n - 1] = 1;
     return result;
   }
   throw new IllegalArgumentException("Value " + value + " was within data range");
 }
  /**
   * No clamped points added. checking agreement with the extrapolation done by the underlying
   * interpolation
   */
  @Test
  public void notClampedTest() {
    double[][] xValuesSet =
        new double[][] {
          {-5.0, -1.4, 3.2, 3.5, 7.6}, {1., 2., 4.5, 12.1, 14.2}, {-5.2, -3.4, -3.2, -0.9, -0.2}
        };
    double[][] yValuesSet =
        new double[][] {
          {-2.2, 1.1, 1.9, 2.3, -0.1}, {3.4, 5.2, 4.3, 1.1, 0.2}, {1.4, 2.2, 4.1, 1.9, 0.99}
        };

    for (int k = 0; k < xValuesSet.length; ++k) {
      double[] xValues = Arrays.copyOf(xValuesSet[k], xValuesSet[k].length);
      double[] yValues = Arrays.copyOf(yValuesSet[k], yValuesSet[k].length);
      int nData = xValues.length;
      int nKeys = 100;
      double interval = (xValues[2] - xValues[0]) / (nKeys - 1.0);

      int n = INTERP_SENSE.length;
      for (int i = 0; i < n; ++i) {
        ProductPiecewisePolynomialInterpolator interp =
            new ProductPiecewisePolynomialInterpolator(INTERP_SENSE[i]);
        PiecewisePolynomialResult result = interp.interpolateWithSensitivity(xValues, yValues);
        ReciprocalExtrapolator1D extrap1D =
            new ReciprocalExtrapolator1D(
                new ProductPiecewisePolynomialInterpolator1D(INTERP_SENSE[i]));
        Interpolator1DDataBundle data = extrap1D.getDataBundle(xValues, yValues);
        InterpolatorTestUtil.assertArrayRelative("notClampedTest", xValues, data.getKeys(), EPS);
        InterpolatorTestUtil.assertArrayRelative("notClampedTest", yValues, data.getValues(), EPS);
        /* left extrapolation */
        double grad = FUNC.differentiate(result, xValues[0]).getEntry(0);
        for (int j = 1; j < nKeys; ++j) {
          double key = xValues[0] - interval * j;
          double ref = grad * (key - xValues[0]) + yValues[0] * xValues[0];
          InterpolatorTestUtil.assertRelative(
              "notClampedTest", ref / key, extrap1D.interpolate(data, key), EPS);
          double keyUp = key + DELTA;
          double keyDw = key - DELTA;
          double refDeriv =
              0.5 * (extrap1D.interpolate(data, keyUp) - extrap1D.interpolate(data, keyDw)) / DELTA;
          InterpolatorTestUtil.assertRelative(
              "notClampedTest", refDeriv, extrap1D.firstDerivative(data, key), DELTA);
          double[] refSense = new double[nData];
          for (int l = 0; l < nData; ++l) {
            double[] yValuesUp = Arrays.copyOf(yValues, nData);
            double[] yValuesDw = Arrays.copyOf(yValues, nData);
            yValuesUp[l] += DELTA;
            yValuesDw[l] -= DELTA;
            Interpolator1DDataBundle dataUp = extrap1D.getDataBundle(xValues, yValuesUp);
            Interpolator1DDataBundle dataDw = extrap1D.getDataBundle(xValues, yValuesDw);
            refSense[l] =
                0.5
                    * (extrap1D.interpolate(dataUp, key) - extrap1D.interpolate(dataDw, key))
                    / DELTA;
          }
          InterpolatorTestUtil.assertArrayRelative(
              "notClampedTest",
              extrap1D.getNodeSensitivitiesForValue(data, key),
              refSense,
              DELTA * 10.0);
        }
        /* right extrapolation */
        for (int j = 1; j < nKeys; ++j) {
          double key = xValues[nData - 1] + interval * j;
          InterpolatorTestUtil.assertRelative(
              "notClampedTest",
              FUNC.evaluate(result, key).getEntry(0) / key,
              extrap1D.interpolate(data, key),
              EPS);
          double keyUp = key + DELTA;
          double keyDw = key - DELTA;
          double refDeriv =
              0.5 * (extrap1D.interpolate(data, keyUp) - extrap1D.interpolate(data, keyDw)) / DELTA;
          InterpolatorTestUtil.assertRelative(
              "notClampedTest", refDeriv, extrap1D.firstDerivative(data, key), DELTA);
          double[] refSense = new double[nData];
          for (int l = 0; l < nData; ++l) {
            double[] yValuesUp = Arrays.copyOf(yValues, nData);
            double[] yValuesDw = Arrays.copyOf(yValues, nData);
            yValuesUp[l] += DELTA;
            yValuesDw[l] -= DELTA;
            Interpolator1DDataBundle dataUp = extrap1D.getDataBundle(xValues, yValuesUp);
            Interpolator1DDataBundle dataDw = extrap1D.getDataBundle(xValues, yValuesDw);
            refSense[l] =
                0.5
                    * (extrap1D.interpolate(dataUp, key) - extrap1D.interpolate(dataDw, key))
                    / DELTA;
          }
          InterpolatorTestUtil.assertArrayRelative(
              "notClampedTest",
              extrap1D.getNodeSensitivitiesForValue(data, key),
              refSense,
              DELTA * 10.0);
        }
      }
    }
  }