com.opengamma.strata.market.curve.interpolator

Class AbstractBoundCurveInterpolator

java.lang.Object

com.opengamma.strata.market.curve.interpolator.AbstractBoundCurveInterpolator

All Implemented Interfaces:

BoundCurveInterpolator

public abstract class AbstractBoundCurveInterpolator
extends Object
implements BoundCurveInterpolator

Abstract interpolator implementation.

Constructor Summary

Constructors

Modifier	Constructor and Description
protected	AbstractBoundCurveInterpolator(AbstractBoundCurveInterpolator base, BoundCurveExtrapolator extrapolatorLeft, BoundCurveExtrapolator extrapolatorRight) Creates an instance.
protected	AbstractBoundCurveInterpolator(DoubleArray xValues, DoubleArray yValues) Creates an instance.

Method Summary

Modifier and Type	Method and Description
protected abstract double	doFirstDerivative(double xValue) Method for subclasses to calculate the first derivative.
protected abstract double	doInterpolate(double xValue) Method for subclasses to calculate the interpolated value.
protected double	doInterpolateFromExtrapolator(double xValue) Method for InterpolatorCurveExtrapolator to calculate the interpolated value.
protected abstract DoubleArray	doParameterSensitivity(double xValue) Method for subclasses to calculate parameter sensitivity.
double	firstDerivative(double xValue) Computes the first derivative of the y-value for the specified x-value.
double	interpolate(double xValue) Computes the y-value for the specified x-value by interpolation.
protected static int	lowerBoundIndex(double xValue, double[] xValues) Returns the index of the last value in the input array which is lower than the specified value.
DoubleArray	parameterSensitivity(double xValue) Computes the sensitivity of the y-value with respect to the curve parameters.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface com.opengamma.strata.market.curve.interpolator.BoundCurveInterpolator

bind

Constructor Detail

AbstractBoundCurveInterpolator

protected AbstractBoundCurveInterpolator(DoubleArray xValues,
                                         DoubleArray yValues)

Creates an instance.

Parameters:

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

yValues - the y-values of the curve

AbstractBoundCurveInterpolator

protected AbstractBoundCurveInterpolator(AbstractBoundCurveInterpolator base,
                                         BoundCurveExtrapolator extrapolatorLeft,
                                         BoundCurveExtrapolator extrapolatorRight)

Creates an instance.

Parameters:

base - the base interpolator

extrapolatorLeft - the extrapolator for x-values on the left

extrapolatorRight - the extrapolator for x-values on the right

Method Detail

interpolate

public final double interpolate(double xValue)

Description copied from interface: BoundCurveInterpolator

Computes the y-value for the specified x-value by interpolation.

Specified by:

interpolate in interface BoundCurveInterpolator

Parameters:

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

Returns:

the value at the x-value

doInterpolate

protected abstract double doInterpolate(double xValue)

Method for subclasses to calculate the interpolated value.

Callers can assume that xValue is less than the x-value of the last node.

Parameters:

xValue - the x-value

Returns:

the interpolated y-value

doInterpolateFromExtrapolator

protected double doInterpolateFromExtrapolator(double xValue)

Method for InterpolatorCurveExtrapolator to calculate the interpolated value.

This is separated from doInterpolate(double) to allow the check for x-values beyond the last node to be treated separately.

Parameters:

xValue - the x-value

Returns:

the interpolated y-value

firstDerivative

public final double firstDerivative(double xValue)

Description copied from interface: BoundCurveInterpolator

Computes the first derivative of the y-value for the specified x-value.

The first derivative is dy/dx.

Specified by:

firstDerivative in interface BoundCurveInterpolator

Parameters:

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

Returns:

the first derivative

doFirstDerivative

protected abstract double doFirstDerivative(double xValue)

Method for subclasses to calculate the first derivative.

Parameters:

xValue - the x-value

Returns:

the first derivative

parameterSensitivity

public final DoubleArray parameterSensitivity(double xValue)

Description copied from interface: BoundCurveInterpolator

Computes the sensitivity of the y-value with respect to the curve parameters.

This returns an array with one element for each parameter of the curve. The array contains the sensitivity of the y-value at the specified x-value to each parameter.

Specified by:

parameterSensitivity in interface BoundCurveInterpolator

Parameters:

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

Returns:

the sensitivity

doParameterSensitivity

protected abstract DoubleArray doParameterSensitivity(double xValue)

Method for subclasses to calculate parameter sensitivity.

Parameters:

xValue - the x-value

Returns:

the parameter sensitivity

lowerBoundIndex

protected static int lowerBoundIndex(double xValue,
                                     double[] xValues)

Returns the index of the last value in the input array which is lower than the specified value.

The following conditions must be true for this method to work correctly:

• xValues is sorted in ascending order
• xValue is greater or equal to the first element of xValues
• xValue is less than or equal to the last element of xValues

The returned value satisfies:

   0 <= value < xValues.length
 

The x-values must not be NaN.

Parameters:

xValue - a value which is less than the last element in xValues

xValues - an array of values sorted in ascending order

Returns:

the index of the last value in xValues which is lower than xValue