com.opengamma.strata.market.surface

Class InterpolatedNodalSurface

java.lang.Object

com.opengamma.strata.market.surface.InterpolatedNodalSurface

All Implemented Interfaces:

ParameterizedData, NodalSurface, Surface, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InterpolatedNodalSurface
extends Object
implements NodalSurface, org.joda.beans.ImmutableBean, Serializable

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

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

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

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static InterpolatedNodalSurface.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 surface when the sensitivity values are known.
UnitParameterSensitivity	createParameterSensitivity(DoubleArray sensitivities) Creates a parameter sensitivity instance for this surface when the sensitivity values are known.
boolean	equals(Object obj)
ValueDerivatives	firstPartialDerivatives(double x, double y) Computes the partial derivatives of the surface.
SurfaceInterpolator	getInterpolator() Gets the underlying interpolator.
SurfaceMetadata	getMetadata() Gets the surface metadata.
double	getParameter(int parameterIndex) Gets the value of the parameter at the specified index.
int	getParameterCount() Gets the number of parameters.
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 InterpolatedNodalSurface.Meta	meta() The meta-bean for InterpolatedNodalSurface.
InterpolatedNodalSurface.Meta	metaBean()
static InterpolatedNodalSurface	of(SurfaceMetadata metadata, DoubleArray xValues, DoubleArray yValues, DoubleArray zValues, SurfaceInterpolator interpolator) Creates an interpolated surface with metadata.
static InterpolatedNodalSurface	ofUnsorted(SurfaceMetadata metadata, DoubleArray xValues, DoubleArray yValues, DoubleArray zValues, SurfaceInterpolator interpolator) Creates an interpolated surface with metadata, where the values are not sorted.
InterpolatedNodalSurface.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
InterpolatedNodalSurface	withMetadata(SurfaceMetadata metadata) Returns a new surface with the specified metadata.
InterpolatedNodalSurface	withParameter(int parameterIndex, double newValue) Returns a copy of the data with the value at the specified index altered.
InterpolatedNodalSurface	withPerturbation(ParameterPerturbation perturbation) Returns a perturbed copy of the data.
InterpolatedNodalSurface	withZValues(DoubleArray zValues) Returns a new surface with the specified values.
double	zValue(double x, double y) Computes the z-value for the specified x-value and y-value.
UnitParameterSensitivity	zValueParameterSensitivity(double x, double y) Computes the sensitivity of the z-value with respect to the surface parameters.

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.market.surface.NodalSurface

getParameterMetadata

Methods inherited from interface com.opengamma.strata.market.surface.Surface

findParameterIndex, getName, zValue, zValueParameterSensitivity

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static InterpolatedNodalSurface of(SurfaceMetadata metadata,
                                          DoubleArray xValues,
                                          DoubleArray yValues,
                                          DoubleArray zValues,
                                          SurfaceInterpolator interpolator)

Creates an interpolated surface with metadata.

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

Parameters:

metadata - the surface 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

interpolator - the interpolator

Returns:

the surface

ofUnsorted

public static InterpolatedNodalSurface ofUnsorted(SurfaceMetadata metadata,
                                                  DoubleArray xValues,
                                                  DoubleArray yValues,
                                                  DoubleArray zValues,
                                                  SurfaceInterpolator interpolator)

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

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

Parameters:

metadata - the surface metadata

xValues - the x-values

yValues - the y-values

zValues - the z-values

interpolator - the interpolator

Returns:

the surface

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 InterpolatedNodalSurface 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 ParameterizedData

Specified by:

withParameter in interface NodalSurface

Specified by:

withParameter in interface Surface

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 InterpolatedNodalSurface 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 ParameterizedData

Specified by:

withPerturbation in interface NodalSurface

Specified by:

withPerturbation in interface Surface

Parameters:

perturbation - the perturbation to apply

Returns:

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

zValue

public double zValue(double x,
                     double y)

Description copied from interface: Surface

Computes the z-value for the specified x-value and y-value.

Specified by:

zValue in interface Surface

Parameters:

x - the x-value to find the z-value for

y - the y-value to find the z-value for

Returns:

the value at the x/y point

zValueParameterSensitivity

public UnitParameterSensitivity zValueParameterSensitivity(double x,
                                                           double y)

Description copied from interface: Surface

Computes the sensitivity of the z-value with respect to the surface parameters.

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

Specified by:

zValueParameterSensitivity in interface Surface

Parameters:

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

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

Returns:

the sensitivity at the x/y/ point

firstPartialDerivatives

public ValueDerivatives firstPartialDerivatives(double x,
                                                double y)

Description copied from interface: Surface

Computes the partial derivatives of the surface.

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

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

Specified by:

firstPartialDerivatives in interface Surface

Parameters:

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

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

Returns:

the z-value and it's partial first derivatives

withMetadata

public InterpolatedNodalSurface withMetadata(SurfaceMetadata metadata)

Description copied from interface: NodalSurface

Returns a new surface with the specified metadata.

This allows the metadata of the surface 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 surface.

Specified by:

withMetadata in interface NodalSurface

Specified by:

withMetadata in interface Surface

Parameters:

metadata - the new metadata for the surface

Returns:

the new surface

withZValues

public InterpolatedNodalSurface withZValues(DoubleArray zValues)

Description copied from interface: NodalSurface

Returns a new surface with the specified values.

This allows the z-values of the surface to be changed while retaining the same x-values and y-values.

Specified by:

withZValues in interface NodalSurface

Parameters:

zValues - the new y-values for the surface

Returns:

the new surface

createParameterSensitivity

public UnitParameterSensitivity createParameterSensitivity(DoubleArray sensitivities)

Description copied from interface: Surface

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

In most cases, Surface.zValueParameterSensitivity(double, double) should be used and manipulated. However, it can be useful to create a UnitParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Surface

Parameters:

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

Returns:

the sensitivity

createParameterSensitivity

public CurrencyParameterSensitivity createParameterSensitivity(Currency currency,
                                                               DoubleArray sensitivities)

Description copied from interface: Surface

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

In most cases, Surface.zValueParameterSensitivity(double, double) should be used and manipulated. However, it can be useful to create a CurrencyParameterSensitivity from pre-computed sensitivity values.

Specified by:

createParameterSensitivity in interface Surface

Parameters:

currency - the currency

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

Returns:

the sensitivity

meta

public static InterpolatedNodalSurface.Meta meta()

The meta-bean for InterpolatedNodalSurface.

Returns:

the meta-bean, not null

builder

public static InterpolatedNodalSurface.Builder builder()

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

Returns:

the builder, not null

metaBean

public InterpolatedNodalSurface.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMetadata

public SurfaceMetadata getMetadata()

Gets the surface 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 surface.

Specified by:

getMetadata in interface Surface

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 NodalSurface

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 NodalSurface

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 NodalSurface

Returns:

the value of the property, not null

getInterpolator

public SurfaceInterpolator getInterpolator()

Gets the underlying interpolator.

Returns:

the value of the property, not null

toBuilder

public InterpolatedNodalSurface.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