com.opengamma.strata.math.impl.interpolation.WeightingFunction Maven / Gradle / Ivy
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/*
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.interpolation;
import org.joda.convert.FromString;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.named.Named;
/**
* A function to allow a smooth weighing between two functions.
*
* If two functions f(x) and g(x) fit the data set (x_i,y_i) at the points x_a and x_b
* (i.e. f(x_a) = g(x_a) = y_a and f(x_b) = g(x_b) = y_b), then a weighted function
* h(x) = w(x)f(x) + (1-w(x))*g(x) with 0 <= w(x) <= 1 will also fit the points a and b
*/
public interface WeightingFunction
extends Named {
/**
* Obtains an instance from the specified unique name.
*
* @param uniqueName the unique name
* @return the index
* @throws IllegalArgumentException if the name is not known
*/
@FromString
public static WeightingFunction of(String uniqueName) {
ArgChecker.notNull(uniqueName, "uniqueName");
if (uniqueName.equals(LinearWeightingFunction.INSTANCE.getName())) {
return LinearWeightingFunction.INSTANCE;
}
if (uniqueName.equals(SineWeightingFunction.INSTANCE.getName())) {
return SineWeightingFunction.INSTANCE;
}
throw new IllegalArgumentException("WeightingFunction name not found: " + uniqueName);
}
//-------------------------------------------------------------------------
/**
* Gets the function weight for point x, based on the lower bound index.
*
* @param xs the independent data points
* @param index the index of the data point below x
* @param x the x-point to find the weight for
* @return the weight
*/
public default double getWeight(double[] xs, int index, double x) {
ArgChecker.notNull(xs, "strikes");
ArgChecker.notNegative(index, "index");
ArgChecker.isTrue(index <= xs.length - 2, "index cannot be larger than {}, have {}", xs.length - 2, index);
double y = (xs[index + 1] - x) / (xs[index + 1] - xs[index]);
return getWeight(y);
}
/**
* Gets the weight.
*
* The condition that must be satisfied by all weight functions is that
* w(1) = 1, w(0) = 0 and dw(y)/dy <= 0 - i.e. w(y) is monotonically decreasing.
*
* @param y a value between 0 and 1
* @return the weight
*/
public abstract double getWeight(double y);
}