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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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/*
* (c) Copyright Christian P. Fries, Germany. Contact: [email protected].
*
* Created on 20.04.2008
*/
package net.finmath.time;
import java.io.Serializable;
import java.util.ArrayList;
import java.util.Arrays;
import java.util.Iterator;
import java.util.Set;
import java.util.function.DoublePredicate;
import java.util.function.IntToDoubleFunction;
import java.util.stream.Collectors;
import java.util.stream.DoubleStream;
import java.util.stream.IntStream;
import java.util.stream.Stream;
import java.util.stream.StreamSupport;
/**
* This class represents a set of discrete points in time.
*
* It handles the mapping from time indices to time points and back.
* It uses a time tick size ("quantum"). This is to make comparison of times safe.
* The default tick size is 1.0 / (365.0 * 24.0) (which corresponds to one hour if 1.0 is a non-leap-year):
* Times are rounded to the nearest multiple of 1.0 / (365.0 * 24.0).
*
* This property can be configured via a System.setProperty("net.finmath.functions.TimeDiscretization.timeTickSize").
*
* Objects of this class are immutable.
*
* @author Christian Fries
* @version 1.6
*/
public class TimeDiscretizationFromArray implements Serializable, TimeDiscretization {
private static final long serialVersionUID = 6880668325019167781L;
private static final double timeTickSizeDefault = Double.parseDouble(System.getProperty("net.finmath.functions.TimeDiscretization.timeTickSize", Double.toString(1.0 / (365.0 * 24.0))));
private final double[] timeDiscretization;
private final double timeTickSize;
public enum ShortPeriodLocation {
SHORT_PERIOD_AT_START,
SHORT_PERIOD_AT_END
}
/**
* Constructs a time discretization using the given tick size.
* The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
*
* @param times A non closed and not necessarily sorted stream containing the time points.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
* @param allowDuplicates If true, the time discretization allows duplicate entries.
*/
public TimeDiscretizationFromArray(DoubleStream times, final double tickSize, final boolean allowDuplicates) {
timeTickSize = tickSize;
times = times.map(this::roundToTimeTickSize);
if(!allowDuplicates) {
times = times.distinct();
}
timeDiscretization = times.sorted().toArray();
}
/**
* Constructs a time discretization using the given tick size.
*
* @param times A non closed and not necessarily sorted stream containing the time points.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
*/
public TimeDiscretizationFromArray(final DoubleStream times, final double tickSize) {
this(times, tickSize, false);
}
/**
* Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles.
* The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
*
* @param times A double stream of time points for the time discretization.
* @param allowDuplicates If true, the time discretization allows duplicate entries.
*/
public TimeDiscretizationFromArray(final DoubleStream times, final boolean allowDuplicates) {
this(times, timeTickSizeDefault, allowDuplicates);
}
/**
* Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles.
*
* @param times A double stream of time points for the time discretization.
*/
public TimeDiscretizationFromArray(final DoubleStream times) {
this(times, timeTickSizeDefault, false);
}
/**
* Constructs a time discretization using the given tick size.
*
* @param times A non closed and not necessarily sorted stream containing the time points.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
* @param allowDuplicates If true, the time discretization allows duplicate entries.
*/
public TimeDiscretizationFromArray(final Stream times, final double tickSize, final boolean allowDuplicates) {
this(times.mapToDouble(Double::doubleValue), tickSize, allowDuplicates);
}
/**
* Constructs a time discretization using the given tick size.
* The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
*
* @param times A non closed and not necessarily sorted stream containing the time points.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
*/
public TimeDiscretizationFromArray(final Stream times, final double tickSize) {
this(times.mapToDouble(Double::doubleValue), tickSize, false);
}
/**
* Constructs a time discretization from a (non closed and not necessarily sorted) stream of boxed doubles.
*
* @param times A double stream of time points for the time discretization.
*/
public TimeDiscretizationFromArray(final Stream times) {
this(times.mapToDouble(Double::doubleValue), timeTickSizeDefault, false);
}
/**
* Constructs a time discretization using the given tick size.
* The iteration of the iterable does not have to happen in order.
*
* @param times The time to constitute the time discretization.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
* @param allowDuplicates If true, the time discretization allows duplicate entries.
*/
public TimeDiscretizationFromArray(final Iterable times, final double tickSize, final boolean allowDuplicates) {
this(StreamSupport.stream(times.spliterator(), false), tickSize, allowDuplicates);
}
/**
* Constructs a time discretization using the given tick size.
* The iteration of the iterable does not have to happen in order.
*
* @param times The time to constitute the time discretization.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
*/
public TimeDiscretizationFromArray(final Iterable times, final double tickSize) {
this(times, tickSize, false);
}
/**
* Constructs a time discretization from an iterable of doubles.
* The iteration does not have to happen in order.
*
* @param times The time to constitute the time discretization.
* @param allowDuplicates If true, the time discretization allows duplicate entries.
*/
public TimeDiscretizationFromArray(final Iterable times, final boolean allowDuplicates) {
this(times,timeTickSizeDefault, allowDuplicates);
}
/**
* Constructs a time discretization from an iterable of doubles.
* The iteration does not have to happen in order.
*
* @param times The time to constitute the time discretization.
*/
public TimeDiscretizationFromArray(final Iterable times) {
this(times, false);
}
/**
* Constructs a time discretization from a given set of doubles.
* The given array does not need to be sorted.
*
* @param times Given array or arguments list of discretization points.
*/
public TimeDiscretizationFromArray(final double... times) {
this(Arrays.stream(times));
}
/**
* Constructs a time discretization from a given set of Doubles.
* The given array does not need to be sorted.
*
* @param times Given boxed array of discretization points.
*/
public TimeDiscretizationFromArray(final Double[] times) {
this(Arrays.stream(times));
}
/**
* Constructs a time discretization using the given tick size.
* The given array does not need to be sorted.
*
* @param times Given boxed array of discretization points.
* @param tickSize A non-negative double representing the smallest time span distinguishable.
*/
public TimeDiscretizationFromArray(final Double[] times, final double tickSize) {
this(Arrays.stream(times), tickSize);
}
/**
* Constructs an equi-distant time discretization with points timeDiscretizationFromArray[i] being
* for(i=0; i ≤ timeSteps; i++) timeDiscretizationFromArray[i] = initial + i * deltaT;
*
* @param initial First discretization point.
* @param numberOfTimeSteps Number of time steps.
* @param deltaT Time step size.
*/
public TimeDiscretizationFromArray(final double initial, final int numberOfTimeSteps, final double deltaT) {
this(IntStream.range(0, numberOfTimeSteps + 1).mapToDouble(new IntToDoubleFunction() {
@Override
public double applyAsDouble(final int n) {
return initial + n * deltaT;
}
}));
}
/**
* Constructs an equi-distant time discretization with stub periods at start or end.
*
* @param initial First discretization point.
* @param last Last time steps.
* @param deltaT Time step size.
* @param shortPeriodLocation Placement of the stub period.
*/
public TimeDiscretizationFromArray(final double initial, final double last, final double deltaT, final ShortPeriodLocation shortPeriodLocation) {
this(getEquidistantStreamWithStub(initial, last, deltaT, shortPeriodLocation));
}
private static DoubleStream getEquidistantStreamWithStub(final double initial, final double last, final double deltaT, final ShortPeriodLocation shortPeriodLocation) {
final int numberOfTimeStepsPlusOne = (int) Math.ceil((last - initial) / deltaT) + 1;
if (shortPeriodLocation == ShortPeriodLocation.SHORT_PERIOD_AT_END) {
return IntStream.range(0, numberOfTimeStepsPlusOne).mapToDouble(new IntToDoubleFunction() {
@Override
public double applyAsDouble(final int n) {
return Math.min(last, initial + n * deltaT);
}
});
}
return IntStream.range(0, numberOfTimeStepsPlusOne).mapToDouble(new IntToDoubleFunction() {
@Override
public double applyAsDouble(final int n) {
return Math.max(initial, last - n * deltaT);
}
});
}
@Override
public int getNumberOfTimes() {
return timeDiscretization.length;
}
@Override
public int getNumberOfTimeSteps() {
return timeDiscretization.length-1;
}
@Override
public double getTime(final int timeIndex) {
return timeDiscretization[timeIndex];
}
@Override
public double getTimeStep(final int timeIndex) {
return timeDiscretization[timeIndex + 1] - timeDiscretization[timeIndex];
}
@Override
public int getTimeIndex(final double time) {
return Arrays.binarySearch(timeDiscretization, roundToTimeTickSize(time));
}
@Override
public int getTimeIndexNearestLessOrEqual(final double time) {
int index = java.util.Arrays.binarySearch(timeDiscretization,roundToTimeTickSize(time));
if(index < 0) {
index = -index-2;
}
return index;
}
@Override
public int getTimeIndexNearestGreaterOrEqual(final double time) {
int index = java.util.Arrays.binarySearch(timeDiscretization,time);
if(index < 0) {
index = -index-1;
}
return index;
}
@Override
public double[] getAsDoubleArray() {
// Note: This is a deep copy
return timeDiscretization.clone();
}
@Override
public ArrayList getAsArrayList() {
final ArrayList times = new ArrayList<>(timeDiscretization.length);
for (final double aTimeDiscretization : timeDiscretization) {
times.add(aTimeDiscretization);
}
return times;
}
@Override
public TimeDiscretization getTimeShiftedTimeDiscretization(final double timeShift) {
final double[] newTimeDiscretization = new double[timeDiscretization.length];
for (int timeIndex = 0; timeIndex < timeDiscretization.length; timeIndex++) {
newTimeDiscretization[timeIndex] = roundToTimeTickSize(timeDiscretization[timeIndex] + timeShift);
}
return new TimeDiscretizationFromArray(newTimeDiscretization);
}
@Override
public TimeDiscretization filter(DoublePredicate timesToKeep) {
return new TimeDiscretizationFromArray(Arrays.stream(timeDiscretization).filter(timesToKeep), getTickSize());
}
/**
* @param that Another time discretization containing points to add to the time discretization.
* @return A new time discretization containing both the time points of this and the other discretization.
*/
@Override
public TimeDiscretization union(final TimeDiscretization that) {
return new TimeDiscretizationFromArray(
Stream.concat(Arrays.stream(timeDiscretization).boxed(), Arrays.stream(that.getAsDoubleArray()).boxed()),
Math.min(timeTickSize, that.getTickSize()));
}
@Override
public TimeDiscretization intersect(final TimeDiscretization that) {
final Set intersectionSet = Arrays.stream(timeDiscretization).boxed().collect(Collectors.toSet());
intersectionSet.retainAll(that.getAsArrayList());
return new TimeDiscretizationFromArray(intersectionSet, Math.max(timeTickSize, that.getTickSize()));
}
@Override
public double getTickSize() {
return timeTickSize;
}
@Override
public Iterator iterator() {
return this.getAsArrayList().iterator();
}
@Override
public String toString() {
return "TimeDiscretizationFromArray [timeDiscretizationFromArray="
+ Arrays.toString(timeDiscretization) + ", timeTickSize="
+ timeTickSize + "]";
}
@Override
public int hashCode() {
final int prime = 31;
int result = 1;
result = prime * result + Arrays.hashCode(timeDiscretization);
long temp;
temp = Double.doubleToLongBits(timeTickSize);
result = prime * result + (int) (temp ^ (temp >>> 32));
return result;
}
@Override
public boolean equals(final Object obj) {
if (this == obj) {
return true;
}
if (obj == null) {
return false;
}
if (getClass() != obj.getClass()) {
return false;
}
final TimeDiscretizationFromArray other = (TimeDiscretizationFromArray) obj;
if (!Arrays.equals(timeDiscretization, other.timeDiscretization)) {
return false;
}
return Double.doubleToLongBits(timeTickSize) == Double.doubleToLongBits(other.timeTickSize);
}
private double roundToTimeTickSize(final double time) {
return Math.rint(time/timeTickSize)*timeTickSize;
}
}