com.opengamma.analytics.math.interpolation.MonotonicIncreasingInterpolator1D.java Source code

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Here is the source code for com.opengamma.analytics.math.interpolation.MonotonicIncreasingInterpolator1D.java

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/**
 * Copyright (C) 2011 - 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.NotImplementedException;
import org.apache.commons.lang.Validate;

import com.opengamma.analytics.math.interpolation.data.ArrayInterpolator1DDataBundle;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DDataBundle;
import com.opengamma.analytics.math.interpolation.data.Interpolator1DMonotonicIncreasingDataBundle;

/**
 * 
 */
public class MonotonicIncreasingInterpolator1D 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");
        Validate.isTrue(data instanceof Interpolator1DMonotonicIncreasingDataBundle);
        final Interpolator1DMonotonicIncreasingDataBundle miData = (Interpolator1DMonotonicIncreasingDataBundle) data;

        final int n = data.size() - 1;
        final double[] xData = data.getKeys();
        final double[] yData = data.getValues();

        double h, dx, a, b;
        if (value < data.firstKey()) {
            h = 0;
            dx = value;
            a = miData.getA(0);
            b = miData.getB(0);
        } else if (value > data.lastKey()) {
            h = yData[n];
            dx = value - xData[n];
            a = miData.getA(n + 1);
            b = miData.getB(n + 1);
        } else {
            final int low = data.getLowerBoundIndex(value);
            h = yData[low];
            dx = value - xData[low];
            a = miData.getA(low + 1);
            b = miData.getB(low + 1);
        }
        if (Math.abs(b * dx) < 1e-8) {
            return h + a * (dx + b * dx * dx / 2);
        }
        return h + a / b * (Math.exp(b * dx) - 1);

    }

    @Override
    public double firstDerivative(final Interpolator1DDataBundle data, final Double value) {
        Validate.notNull(value, "value");
        Validate.notNull(data, "data bundle");
        Validate.isTrue(data instanceof Interpolator1DMonotonicIncreasingDataBundle);
        final Interpolator1DMonotonicIncreasingDataBundle miData = (Interpolator1DMonotonicIncreasingDataBundle) data;

        final int n = data.size() - 1;
        final double[] xData = data.getKeys();
        final double[] yData = data.getValues();

        double h, dx, a, b;
        if (value < data.firstKey()) {
            h = 0;
            dx = value;
            a = miData.getA(0);
            b = miData.getB(0);
        } else if (value > data.lastKey()) {
            h = yData[n];
            dx = value - xData[n];
            a = miData.getA(n + 1);
            b = miData.getB(n + 1);
        } else {
            final int low = data.getLowerBoundIndex(value);
            h = yData[low];
            dx = value - xData[low];
            a = miData.getA(low + 1);
            b = miData.getB(low + 1);
        }
        if (Math.abs(b * dx) < 1e-8) {
            return h + a * (dx + b * dx * dx / 2);
        }

        return a * Math.exp(b * dx);

    }

    @Override
    public double[] getNodeSensitivitiesForValue(final Interpolator1DDataBundle data, final Double value) {
        throw new NotImplementedException();
    }

    @Override
    public Interpolator1DDataBundle getDataBundle(final double[] x, final double[] y) {
        return new Interpolator1DMonotonicIncreasingDataBundle(new ArrayInterpolator1DDataBundle(x, y));
    }

    @Override
    public Interpolator1DDataBundle getDataBundleFromSortedArrays(final double[] x, final double[] y) {
        return new Interpolator1DMonotonicIncreasingDataBundle(new ArrayInterpolator1DDataBundle(x, y, true));
    }

}