com.opengamma.analytics.math.interpolation.ExponentialInterpolator1D.java Source code

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Here is the source code for com.opengamma.analytics.math.interpolation.ExponentialInterpolator1D.java

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/**
 * Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
 * 
 * Please see distribution for license.
 */
package com.opengamma.analytics.math.interpolation;

import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;

/**
 * 
 * 
 */
public class ExponentialInterpolator1D extends Interpolator1D {
    private static final long serialVersionUID = 1L;

    @Override
    public Double interpolate(final Interpolator1DDataBundle data, final Double value) {
        Validate.notNull(value, "value");
        Validate.notNull(data, "data bundle");
        final Double x1 = data.getLowerBoundKey(value);
        final Double y1 = data.get(x1);
        if (data.getLowerBoundIndex(value) == data.size() - 1) {
            return y1;
        }
        final Double x2 = data.higherKey(x1);
        final Double y2 = data.get(x2);
        final double xDiff = x2 - x1;
        return Math.pow(y1, value * (x2 - value) / xDiff / x1) * Math.pow(y2, value * (value - x1) / xDiff / x2);
    }

    @Override
    public double firstDerivative(final Interpolator1DDataBundle data, final Double value) {
        Validate.notNull(value, "value");
        Validate.notNull(data, "data bundle");
        final Double x1 = data.getLowerBoundKey(value);
        final Double y1 = data.get(x1);
        if (data.getLowerBoundIndex(value) == data.size() - 1) {
            return 0.;
        }
        final Double x2 = data.higherKey(x1);
        final Double y2 = data.get(x2);
        final double xDiff = x2 - x1;
        return Math.pow(y1, value * (x2 - value) / xDiff / x1) * Math.pow(y2, value * (value - x1) / xDiff / x2)
                * (Math.log(y1) * (x2 - 2. * value) / x1 + Math.log(y2) * (2. * value - x1) / x2) / xDiff;
    }

    @Override
    public Interpolator1DDataBundle getDataBundle(final double[] x, final double[] y) {
        return new ArrayInterpolator1DDataBundle(x, y);
    }

    @Override
    public Interpolator1DDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
        return new ArrayInterpolator1DDataBundle(x, y, true);
    }

    @Override
    public double[] getNodeSensitivitiesForValue(Interpolator1DDataBundle data, Double value) {
        return getFiniteDifferenceSensitivities(data, value);
    }

}