com.opengamma.strata.math.impl.interpolation.BasisFunctionKnots Maven / Gradle / Ivy

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/*
 * Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */
package com.opengamma.strata.math.impl.interpolation;

import com.opengamma.strata.collect.ArgChecker;

/**
 * Helper class to hold the knots and polynomial degree that specify a set of basis functions.
 */
public final class BasisFunctionKnots {

  private final double[] _knots;
  private final int _degree;
  private final int _nSplines;

  /**
   * Generate knots uniformly in the range xa and xb and knots outside this range to support the basis functions on
   * the edge of the range.
   * @param xa start of the range
   * @param xb end of the range
   * @param nKnots number of knots in the range (internal knots)
   * @param degree the polynomial degree of the basis functions (this will determine how many external knots are required)
   * @return a BasisFunctionKnots instance
   */
  public static BasisFunctionKnots fromUniform(double xa, double xb, int nKnots, int degree) {
    ArgChecker.isTrue(xb > xa, "Require xb > xa, values are xa = {}, xb = {}", xa, xb);
    ArgChecker.notNegative(degree, "degree");
    ArgChecker.isTrue(nKnots - degree > 0, "Require at least {} knots for degree {}, only given {}", degree + 1, degree, nKnots);

    int nTotalKnots = nKnots + 2 * degree; // this is the total number of knots, including those outside the range
    int nSplines = nKnots + degree - 1;
    double[] knots = new double[nTotalKnots];
    double dx = (xb - xa) / (nKnots - 1);

    // knots to the left and right of the range
    for (int i = 0; i < degree; i++) {
      knots[i] = (i - degree) * dx + xa;
      knots[degree + nKnots + i] = xb + dx * (i + 1);
    }
    // knots in the main range
    for (int i = 0; i < nKnots - 1; i++) {
      knots[i + degree] = xa + i * dx;
    }
    knots[nKnots + degree - 1] = xb;
    return new BasisFunctionKnots(knots, degree, nSplines);
  }

  /**
   * Generate a set of knots capable of supporting the given degree of basis functions. The given knots are used inside
   * the range, with knots generated outside this range to support the basis functions on the edge of the range
   * @param internalKnots the internal knots. The start of the range is the first knot and the end is the last.
   * @param degree the polynomial degree of the basis functions (this will determine how many external knots are required)
   * @return a BasisFunctionKnots instance
   */
  public static BasisFunctionKnots fromInternalKnots(double[] internalKnots, int degree) {
    ArgChecker.notEmpty(internalKnots, "knots");
    ArgChecker.notNegative(degree, "degree");
    int nInterKnots = internalKnots.length;
    ArgChecker.isTrue(nInterKnots - degree > 0, "Require at least {} knots for degree {}, only given {}", degree + 1, degree, nInterKnots);

    // check knots are ascending
    for (int i = 1; i < nInterKnots; i++) {
      ArgChecker.isTrue(internalKnots[i] - internalKnots[i - 1] > 0, "knots are not ascending");
    }

    int nSplines = nInterKnots + degree - 1;

    int nTotalKnots = nInterKnots + 2 * degree; // add in extra knots outside the range to handle basis functions on the edge
    double[] knots = new double[nTotalKnots];

    double dxa = internalKnots[1] - internalKnots[0];
    double dxb = internalKnots[nInterKnots - 1] - internalKnots[nInterKnots - 2];
    // knots to the left and right of the range
    for (int i = 0; i < degree; i++) {
      knots[i] = (i - degree) * dxa + internalKnots[0];
      knots[degree + nInterKnots + i] = internalKnots[nInterKnots - 1] + dxb * (i + 1);
    }
    // knots in the main range
    System.arraycopy(internalKnots, 0, knots, degree, nInterKnots);
    return new BasisFunctionKnots(knots, degree, nSplines);
  }

  /**
   * Generate a set of knots capable of supporting the given degree of basis functions. All the knots, including those
   * outside the range must be supplied - the first and last degree knots are outside the range (e.g. for degree = 2, the
   * first and last two knots are out side the range and exist to support the basis functions on the edge of the range.
   * @param knots The total set of knots - must be strictly acceding
   * @param degree the polynomial degree of the basis functions
   * @return a BasisFunctionKnots instance
   */
  public static BasisFunctionKnots fromKnots(double[] knots, int degree) {
    ArgChecker.notEmpty(knots, "knots");
    ArgChecker.notNegative(degree, "degree");
    int nKnots = knots.length;
    ArgChecker.isTrue(nKnots - 3 * degree > 0, "Require at least {} knots for degree {}, only given {}", 3 * degree + 1,
        degree, nKnots);

    // check knots are ascending
    for (int i = 1; i < nKnots; i++) {
      ArgChecker.isTrue(knots[i] - knots[i - 1] > 0, "knots are not ascending");
    }
    int nSplines = nKnots - degree - 1;
    return new BasisFunctionKnots(knots, degree, nSplines);
  }

  private BasisFunctionKnots(double[] knots, int degree, int nSplines) {
    _knots = knots;
    _degree = degree;
    _nSplines = nSplines;
  }

  /**
   * Get the full set of knots.
   * @return the knots
   */
  public double[] getKnots() {
    return _knots.clone();
  }

  /**
   * The number of knots.
   * @return number of knots
   */
  public int getNumKnots() {
    return _knots.length;
  }

  /**
   * the polynomial degree of the basis functions.
   * @return the degree
   */
  public int getDegree() {
    return _degree;
  }

  /**
   * The number of basis splines of the degree this set of knots will support.
   * @return number of splines
   */
  public int getNumSplines() {
    return _nSplines;
  }
}