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finmath lib is a Mathematical Finance Library in Java.
It provides algorithms and methodologies related to mathematical finance.
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package net.finmath.singleswaprate.data;
import java.time.LocalDate;
import java.util.Arrays;
import java.util.List;
import org.apache.commons.math3.analysis.BivariateFunction;
import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.analysis.interpolation.AkimaSplineInterpolator;
import org.apache.commons.math3.analysis.interpolation.BivariateGridInterpolator;
import org.apache.commons.math3.analysis.interpolation.PiecewiseBicubicSplineInterpolator;
import org.apache.commons.math3.analysis.interpolation.UnivariateInterpolator;
import net.finmath.singleswaprate.data.DataTable.TableConvention;
import net.finmath.time.SchedulePrototype;
/**
* Extends {@link net.finmath.singleswaprate.data.DataTableBasic} with the capacity to interpolate values between tenor grid nodes. Note that the interpolation is done to the accuracy of the table convention.
*
* @author Christian Fries
* @author Roland Bachl
*
*/
public class DataTableInterpolated extends DataTableBasic implements DataTable, Cloneable {
private static final long serialVersionUID = -6852590286897952990L;
/**
* Create an interpolated table from a basic table.
*
* @param baseTable The table to receive interpolation.
* @return The table with interpolation.
*/
public static DataTableInterpolated interpolateDataTable(final DataTableBasic baseTable) {
final int[] maturities = new int[baseTable.size()];
final int[] terminations = new int[baseTable.size()];
final double[] values = new double[baseTable.size()];
int i = 0;
for(final int maturity : baseTable.getMaturities()) {
for(final int termination : baseTable.getTerminationsForMaturity(maturity)) {
maturities[i] = maturity;
terminations[i] = termination;
values[i++] = baseTable.getValue(maturity, termination);
}
}
return new DataTableInterpolated(baseTable.getName(), baseTable.getConvention(), baseTable.getReferenceDate(), baseTable.getScheduleMetaData(),
maturities, terminations, values);
}
// sliceInterpolator is used when either only one row or column is given. AkimaSplineInterpolator corresponds to the underlying interpolator of PiecewiseBicubicSplineInterpolator in Version 3.6 of commons.math3
private static final BivariateGridInterpolator interpolator = new PiecewiseBicubicSplineInterpolator();
private static final UnivariateInterpolator sliceInterpolator = new AkimaSplineInterpolator();
/**
* Create an empty table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
*/
public DataTableInterpolated(final String name, final TableConvention convention, final LocalDate referenceDate,
final SchedulePrototype scheduleMetaData) {
super(name, convention, referenceDate, scheduleMetaData);
}
/**
* Create a table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
* @param maturities The maturities of the points as offset with respect to the reference date.
* @param terminations The terminations of the points as offset with respect to the maturity date.
* @param values The values at the points.
*/
public DataTableInterpolated(final String name, final TableConvention convention, final LocalDate referenceDate,
final SchedulePrototype scheduleMetaData, final int[] maturities, final int[] terminations, final double[] values) {
super(name, convention, referenceDate, scheduleMetaData, maturities, terminations, values);
}
/**
* Create a table.
*
* @param name The name of the table.
* @param convention The convention of the table.
* @param referenceDate The referenceDate of the table.
* @param scheduleMetaData The schedule meta data of the table.
* @param maturities The maturities of the points as offset with respect to the reference date.
* @param terminations The terminations of the points as offset with respect to the maturity date.
* @param values The values at the points.
*/
public DataTableInterpolated(final String name, final TableConvention convention, final LocalDate referenceDate,
final SchedulePrototype scheduleMetaData, final List maturities, final List terminations, final List values) {
super(name, convention, referenceDate, scheduleMetaData, maturities, terminations, values);
}
@Override
public double getValue(final int maturity, final int termination) {
if(containsEntryFor(maturity, termination)) {
return super.getValue(maturity, termination);
}
// check if either of the table dimensions is one and fits the input, otherwise default to bivariate interpolation.
if(getMaturities().contains(maturity)) {
final int[] terminations = getTerminationsForMaturity(maturity).stream().mapToInt(Integer::intValue).toArray();
final double[] values = new double[terminations.length];
for(int i = 0; i < values.length; i++) {
values[i] = super.getValue(maturity, terminations[i]);
}
final UnivariateFunction curve = sliceInterpolator.interpolate(Arrays.stream(terminations).asDoubleStream().toArray(), values);
return curve.value(termination);
} else if(getTerminations().contains(termination)){
final int[] maturities = getMaturitiesForTermination(termination).stream().mapToInt(Integer::intValue).toArray();
final double[] values = new double[maturities.length];
for(int i = 0; i< maturities.length; i++) {
values[i] = super.getValue(maturities[i], termination);
}
final UnivariateFunction curve = sliceInterpolator.interpolate(Arrays.stream(maturities).asDoubleStream().toArray(), values);
return curve.value(maturity);
} else {
if(size() != getMaturities().size() * getTerminations().size()) {
throw new RuntimeException("For interpolation " +getName()+ " requires a regular grid of values.");
}
final int[] maturities = getMaturities().stream().mapToInt(Integer::intValue).toArray();
final int[] terminations = getTerminations().stream().mapToInt(Integer::intValue).toArray();
final double[][] values = new double[maturities.length][terminations.length];
for(int i = 0; i< maturities.length; i++) {
for(int j = 0; j < terminations.length; j++) {
values[i][j] = getValue(maturities[i], terminations[j]);
}
}
final BivariateFunction surface = interpolator.interpolate(Arrays.stream(maturities).asDoubleStream().toArray(),
Arrays.stream(terminations).asDoubleStream().toArray(), values);
return surface.value(maturity, termination);
}
}
@Override
public double getValue(final double maturity, final double termination) {
if(containsEntryFor(maturity, termination)) {
return super.getValue(maturity, termination);
}
// round to make regular grid
int roundingMultiplier;
switch (getConvention()) {
case YEARS: roundingMultiplier = 1; break;
case MONTHS: roundingMultiplier = 12; break;
case DAYS: roundingMultiplier = 365; break;
case WEEKS: roundingMultiplier = 52; break;
default: throw new RuntimeException("No tableConvention specified");
}
final int roundedMaturity = Math.toIntExact(Math.round(maturity * roundingMultiplier));
final int roundedTermination = Math.toIntExact(Math.round(termination * roundingMultiplier)) - roundedMaturity;
return getValue(roundedMaturity, roundedTermination);
}
@Override
public DataTableInterpolated clone() {
final int[] maturities = new int[size()];
final int[] terminations = new int[size()];
final double[] values = new double[size()];
int i = 0;
for(final int maturity : getMaturities()) {
for(final int termination : getTerminationsForMaturity(maturity)) {
maturities[i] = maturity;
terminations[i] = termination;
values[i++] = getValue(maturity, termination);
}
}
return new DataTableInterpolated(getName(), getConvention(), getReferenceDate(), getScheduleMetaData(), maturities, terminations, values);
}
@Override
public String toString() {
return toString(1.0);
}
@Override
public String toString(final double unit) {
final StringBuilder builder = new StringBuilder();
builder.append("DataTableInterpolated with interpolator "+ interpolator.getClass()+ " and base table: ");
builder.append(super.toString(unit));
return builder.toString();
}
}