com.opengamma.strata.market.curve.interpolator

Interface BoundCurveExtrapolator

public interface BoundCurveExtrapolator

A curve extrapolator that has been bound to a specific curve.

A bound extrapolator is created from a CurveExtrapolator. The bind process takes the definition of the extrapolator and combines it with the x-y values. This allows implementations to optimize extrapolation calculations.

This interface is primarily used internally. Applications typically do not invoke these methods.

Method Summary

Modifier and Type	Method and Description
double	leftExtrapolate(double xValue) Left extrapolates the y-value from the specified x-value.
double	leftExtrapolateFirstDerivative(double xValue) Calculates the first derivative of the left extrapolated y-value at the specified x-value.
DoubleArray	leftExtrapolateParameterSensitivity(double xValue) Calculates the parameter sensitivities of the left extrapolated y-value at the specified x-value.
double	rightExtrapolate(double xValue) Right extrapolates the y-value from the specified x-value.
double	rightExtrapolateFirstDerivative(double xValue) Calculates the first derivative of the right extrapolated y-value at the specified x-value.
DoubleArray	rightExtrapolateParameterSensitivity(double xValue) Calculates the parameter sensitivities of the right extrapolated y-value at the specified x-value.

Method Detail

leftExtrapolate

double leftExtrapolate(double xValue)

Left extrapolates the y-value from the specified x-value.

This method is only intended to be invoked when the x-value is less than the x-value of the first node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the y-value cannot be calculated

leftExtrapolateFirstDerivative

double leftExtrapolateFirstDerivative(double xValue)

Calculates the first derivative of the left extrapolated y-value at the specified x-value.

This method is only intended to be invoked when the x-value is less than the x-value of the first node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the first derivative of the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the derivative cannot be calculated

leftExtrapolateParameterSensitivity

DoubleArray leftExtrapolateParameterSensitivity(double xValue)

Calculates the parameter sensitivities of the left extrapolated y-value at the specified x-value.

This method is only intended to be invoked when the x-value is less than the x-value of the first node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the parameter sensitivities of the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the sensitivity cannot be calculated

rightExtrapolate

double rightExtrapolate(double xValue)

Right extrapolates the y-value from the specified x-value.

This method is only intended to be invoked when the x-value is greater than the x-value of the last node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the y-value cannot be calculated

rightExtrapolateFirstDerivative

double rightExtrapolateFirstDerivative(double xValue)

Calculates the first derivative of the right extrapolated y-value at the specified x-value.

This method is only intended to be invoked when the x-value is greater than the x-value of the last node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the first derivative of the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the derivative cannot be calculated

rightExtrapolateParameterSensitivity

DoubleArray rightExtrapolateParameterSensitivity(double xValue)

Calculates the parameter sensitivities of the right extrapolated y-value at the specified x-value.

This method is only intended to be invoked when the x-value is greater than the x-value of the last node. The behavior is undefined if called with any other x-value.

Parameters:

xValue - the x-value to find the y-value for

Returns:

the parameter sensitivities of the extrapolated y-value for the specified x-value

Throws:

RuntimeException - if the sensitivity cannot be calculated