com.opengamma.strata.math.impl.interpolation.NaturalCubicSplineInterpolator1DNodeSensitivityCalculatorTest.java Source code

Introduction

Here is the source code for com.opengamma.strata.math.impl.interpolation.NaturalCubicSplineInterpolator1DNodeSensitivityCalculatorTest.java

Source

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

import static org.testng.AssertJUnit.assertEquals;

import java.util.Arrays;
import java.util.function.Function;

import org.apache.commons.math3.random.Well44497b;
import org.testng.annotations.Test;

import com.opengamma.strata.math.impl.interpolation.data.Interpolator1DCubicSplineDataBundle;
import com.opengamma.strata.math.impl.interpolation.data.Interpolator1DDataBundle;

/**
 * Test.
 */
@Test
public class NaturalCubicSplineInterpolator1DNodeSensitivityCalculatorTest {

    private static final Well44497b RANDOM = new Well44497b(0L);
    private static final Interpolator1D INTERPOLATOR = new NaturalCubicSplineInterpolator1D();
    private static final Interpolator1DDataBundle DATA1;
    private static final double EPS = 1e-7;
    private static final Function<Double, Double> FUNCTION = new Function<Double, Double>() {

        private static final double a = -0.045;
        private static final double b = 0.03;
        private static final double c = 0.3;
        private static final double d = 0.05;

        @Override
        public Double apply(final Double x) {
            return (a + b * x) * Math.exp(-c * x) + d;
        }

    };

    static {
        final double[] t = new double[] { 0.0, 0.5, 1.0, 2.0, 3.0, 5.0, 7.0, 10.0, 15.0, 17.5, 20.0, 25.0, 30.0 };
        final int n = t.length;
        final double[] r = new double[n];
        for (int i = 0; i < n; i++) {
            r[i] = FUNCTION.apply(t[i]);
        }
        DATA1 = INTERPOLATOR.getDataBundleFromSortedArrays(t, r);
    }

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void nullInputMap() {
        INTERPOLATOR.interpolate(null, 3.);
    }

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void testHighValue() {
        INTERPOLATOR.interpolate(DATA1, 31.);
    }

    @Test(expectedExceptions = IllegalArgumentException.class)
    public void testLowValue() {
        INTERPOLATOR.interpolate(DATA1, -1.);
    }

    @Test
    public void testSensitivities() {
        final double tmax = DATA1.lastKey();
        double[] sensitivity;
        for (int i = 0; i < 100; i++) {
            final double t = tmax * RANDOM.nextDouble();
            sensitivity = INTERPOLATOR.getNodeSensitivitiesForValue(DATA1, t);
            for (int j = 0; j < sensitivity.length; j++) {
                assertEquals(getSensitivity(DATA1, INTERPOLATOR, t, j), sensitivity[j], EPS);
            }
        }
    }

    @Test
    public void testYieldCurve() {
        final double[] fwdTimes = new double[] { 0.0, 1.0, 2.0, 5.0, 10.0, 20.0, 31.0 };
        final int n = fwdTimes.length;
        final double[] rates = new double[n];
        for (int i = 0; i < n; i++) {
            rates[i] = FUNCTION.apply(fwdTimes[i]);
        }
        final Interpolator1DCubicSplineDataBundle data = new Interpolator1DCubicSplineDataBundle(
                INTERPOLATOR.getDataBundleFromSortedArrays(fwdTimes, rates));
        final double[] sensitivity1 = INTERPOLATOR.getNodeSensitivitiesForValue(data, 0.25);
        final double[] sensitivity2 = INTERPOLATOR.getNodeSensitivitiesForValue(data, 0.25, true);
        for (int j = 0; j < sensitivity1.length; j++) {
            assertEquals(sensitivity1[j], sensitivity2[j], EPS);
        }
    }

    private double getSensitivity(final Interpolator1DDataBundle model, final Interpolator1D interpolator,
            final double t, final int node) {
        final double[] x = model.getKeys();
        final double[] y = model.getValues();
        final int n = y.length;
        double[] yUp = new double[n];
        double[] yDown = new double[n];
        yUp = Arrays.copyOf(y, n);
        yDown = Arrays.copyOf(y, n);
        yUp[node] += EPS;
        yDown[node] -= EPS;
        final Interpolator1DDataBundle modelUp = interpolator.getDataBundleFromSortedArrays(x, yUp);
        final Interpolator1DDataBundle modelDown = interpolator.getDataBundleFromSortedArrays(x, yDown);
        final double up = interpolator.interpolate(modelUp, t);
        final double down = interpolator.interpolate(modelDown, t);
        return (up - down) / 2.0 / EPS;
    }
}