com.opengamma.strata.market.cube

Class InterpolatedNodalCube

java.lang.Object

com.opengamma.strata.market.cube.InterpolatedNodalCube

All Implemented Interfaces:

Cube, NodalCube, ParameterizedData, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InterpolatedNodalCube
extends Object
implements NodalCube, org.joda.beans.ImmutableBean, Serializable

A cube based on interpolation between a number of nodal points.

This class defines a cube in terms of a fixed number of nodes, referred to as parameters.

Each node has x-value, y-value, z-value, w-value. The interface is focused on finding the w-value for a given x-value, y-value, z-value. An interpolator is used to find w-values for x-values, y-values, z-values between nodes.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	InterpolatedNodalCube.Builder The bean-builder for InterpolatedNodalCube.
static class	InterpolatedNodalCube.Meta The meta-bean for InterpolatedNodalCube.

Method Summary

Modifier and Type	Method and Description
static InterpolatedNodalCube.Builder	builder() Returns a builder used to create an instance of the bean.
CurrencyParameterSensitivity	createParameterSensitivity(Currency currency, DoubleArray sensitivities) Creates a parameter sensitivity instance for this cube when the sensitivity values are known.
UnitParameterSensitivity	createParameterSensitivity(DoubleArray sensitivities) Creates a parameter sensitivity instance for this cube when the sensitivity values are known.
boolean	equals(Object obj)
ValueDerivatives	firstPartialDerivatives(double x, double y, double z) Computes the partial derivatives of the cube.
CubeInterpolator	getInterpolator() Gets the underlying interpolator.
CubeMetadata	getMetadata() Gets the cube metadata.
double	getParameter(int parameterIndex) Gets the value of the parameter at the specified index.
int	getParameterCount() Gets the number of parameters.
DoubleArray	getWValues() Gets the array of w-values, one for each point.
DoubleArray	getXValues() Gets the array of x-values, one for each point.
DoubleArray	getYValues() Gets the array of y-values, one for each point.
DoubleArray	getZValues() Gets the array of z-values, one for each point.
int	hashCode()
static InterpolatedNodalCube.Meta	meta() The meta-bean for InterpolatedNodalCube.
InterpolatedNodalCube.Meta	metaBean()
static InterpolatedNodalCube	of(CubeMetadata metadata, DoubleArray xValues, DoubleArray yValues, DoubleArray zValues, DoubleArray wValues, CubeInterpolator interpolator) Creates an interpolated cube with metadata.
static InterpolatedNodalCube	ofUnsorted(CubeMetadata metadata, DoubleArray xValues, DoubleArray yValues, DoubleArray zValues, DoubleArray wValues, CubeInterpolator interpolator) Creates an interpolated cube with metadata, where the values are not sorted.
InterpolatedNodalCube.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
InterpolatedNodalCube	withMetadata(CubeMetadata metadata) Returns a new cube with the specified metadata.
InterpolatedNodalCube	withParameter(int parameterIndex, double newValue) Returns a copy of the data with the value at the specified index altered.
InterpolatedNodalCube	withPerturbation(ParameterPerturbation perturbation) Returns a perturbed copy of the data.
InterpolatedNodalCube	withWValues(DoubleArray wValues) Returns a new cube with the specified values.
double	wValue(double x, double y, double z) Computes the w-value for the specified x-value, y-value, z-value.
UnitParameterSensitivity	wValueParameterSensitivity(double x, double y, double z) Computes the sensitivity of the w-value with respect to the cube parameters.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.cube.NodalCube

getParameterMetadata

Methods inherited from interface com.opengamma.strata.market.cube.Cube

findParameterIndex, getName

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static InterpolatedNodalCube of(CubeMetadata metadata,
                                       DoubleArray xValues,
                                       DoubleArray yValues,
                                       DoubleArray zValues,
                                       DoubleArray wValues,
                                       CubeInterpolator interpolator)

Creates an interpolated cube with metadata.

The value arrays must be sorted, by x-values then y-values, z-values. An exception is thrown if they are not sorted.

Parameters:

metadata - the cube metadata

xValues - the x-values, must be sorted from low to high

yValues - the y-values, must be sorted from low to high within x

zValues - the z-values, must be sorted from low to high within x, y

wValues - the w-values

interpolator - the interpolator

Returns:

the cube

ofUnsorted

public static InterpolatedNodalCube ofUnsorted(CubeMetadata metadata,
                                               DoubleArray xValues,
                                               DoubleArray yValues,
                                               DoubleArray zValues,
                                               DoubleArray wValues,
                                               CubeInterpolator interpolator)

Creates an interpolated cube with metadata, where the values are not sorted.

The value arrays will be sorted, by x-values then y-values, z-values. Both the w-values and parameter metadata will be sorted along with the x, y, z values.

Parameters:

metadata - the cube metadata

xValues - the x-values

yValues - the y-values

zValues - the z-values

wValues - the w-values

interpolator - the interpolator

Returns:

the cube

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

withParameter

public InterpolatedNodalCube withParameter(int parameterIndex,
                                           double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface Cube

Specified by:

withParameter in interface NodalCube

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

public InterpolatedNodalCube withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface Cube

Specified by:

withPerturbation in interface NodalCube

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

wValue

public double wValue(double x,
                     double y,
                     double z)

Description copied from interface: Cube

Computes the w-value for the specified x-value, y-value, z-value.

Specified by:

wValue in interface Cube

Parameters:

x - the x-value to find the w-value for

y - the y-value to find the w-value for

z - the z-value to find the w-value for

Returns:

the value at the (x,y,z) point

wValueParameterSensitivity

public UnitParameterSensitivity wValueParameterSensitivity(double x,
                                                           double y,
                                                           double z)

Description copied from interface: Cube

Computes the sensitivity of the w-value with respect to the cube parameters.

This returns an array with one element for each x-y-z parameter of the cube. The array contains one a sensitivity value for each parameter used to create the cube.

Specified by:

wValueParameterSensitivity in interface Cube

Parameters:

x - the x-value at which the parameter sensitivity is computed

y - the y-value at which the parameter sensitivity is computed

z - the z-value at which the parameter sensitivity is computed

Returns:

the sensitivity at the x/y/z point

firstPartialDerivatives

public ValueDerivatives firstPartialDerivatives(double x,
                                                double y,
                                                double z)

Description copied from interface: Cube

Computes the partial derivatives of the cube.

The first derivatives are dw/dx, dw/dy, dw/dz. The derivatives are in the following order:

• [0] derivative with respect to x
• [1] derivative with respect to y
• [2] derivative with respect to z

Specified by:

firstPartialDerivatives in interface Cube

Parameters:

x - the x-value at which the partial derivative is taken

y - the y-value at which the partial derivative is taken

z - the z-value at which the partial derivative is taken

Returns:

the w-value and it's partial first derivatives

withMetadata

public InterpolatedNodalCube withMetadata(CubeMetadata metadata)

Description copied from interface: NodalCube

Returns a new cube with the specified metadata.

This allows the metadata of the cube to be changed while retaining all other information. If parameter metadata is present, the size of the list must match the number of parameters of this cube.

Specified by:

withMetadata in interface Cube

Specified by:

withMetadata in interface NodalCube

Parameters:

metadata - the new metadata for the cube

Returns:

the new cube

withWValues

public InterpolatedNodalCube withWValues(DoubleArray wValues)

Description copied from interface: NodalCube

Returns a new cube with the specified values.

This allows the w-values of the cube to be changed while retaining the same x-values, y-values, z-values.

Specified by:

withWValues in interface NodalCube

Parameters:

wValues - the new w-values for the cube

Returns:

the new cube

createParameterSensitivity

public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities)

Description copied from interface: Cube

Creates a parameter sensitivity instance for this cube when the sensitivity values are known.

It can be useful to create a UnitParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Cube

Parameters:

sensitivities - the sensitivity values, which must match the parameter count of the cube

Returns:

the sensitivity

createParameterSensitivity

public CurrencyParameterSensitivity createParameterSensitivity(Currency currency,
                                                               DoubleArray sensitivities)

Description copied from interface: Cube

Creates a parameter sensitivity instance for this cube when the sensitivity values are known.

It can be useful to create a CurrencyParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Cube

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count of the cube

Returns:

the sensitivity

meta

public static InterpolatedNodalCube.Meta meta()

The meta-bean for InterpolatedNodalCube.

Returns:

the meta-bean, not null

builder

public static InterpolatedNodalCube.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public InterpolatedNodalCube.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMetadata

public CubeMetadata getMetadata()

Gets the cube metadata.

The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this cube.

Specified by:

getMetadata in interface Cube

Returns:

the value of the property, not null

getXValues

public DoubleArray getXValues()

Gets the array of x-values, one for each point.

This array will contains at least two elements.

Specified by:

getXValues in interface NodalCube

Returns:

the value of the property, not null

getYValues

public DoubleArray getYValues()

Gets the array of y-values, one for each point.

This array will contains at least two elements and be of the same length as x-values.

Specified by:

getYValues in interface NodalCube

Returns:

the value of the property, not null

getZValues

public DoubleArray getZValues()

Gets the array of z-values, one for each point.

This array will contains at least two elements and be of the same length as x-values.

Specified by:

getZValues in interface NodalCube

Returns:

the value of the property, not null

getWValues

public DoubleArray getWValues()

Gets the array of w-values, one for each point.

This array will contains at least two elements and be of the same length as x-values.

Specified by:

getWValues in interface NodalCube

Returns:

the value of the property, not null

getInterpolator

public CubeInterpolator getInterpolator()

Gets the underlying interpolator.

Returns:

the value of the property, not null

toBuilder

public InterpolatedNodalCube.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object