Package com.activeviam.risk.ref.services.impl.marketdataretrieval

Class AInterpolation<T,U>

java.lang.Object

com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation<T,U>

Type Parameters:

T - The result vector type

U - The boxed type of an item of the result

All Implemented Interfaces:

IInterpolation<T,U>

Direct Known Subclasses:

InterpolationDouble, InterpolationVector

public abstract class AInterpolation<T,U>
extends Object
implements IInterpolation<T,U>

Interpolation utility

Field Summary

Fields

Modifier and Type	Field	Description
protected IInterpolationConfiguration	interpolationConfiguration
protected IMaturityConverter	maturityConverter

Constructor Summary

Constructors

Modifier	Constructor	Description
protected	AInterpolation(IMaturityConverter maturityConverter, IInterpolationConfiguration interpolationConfiguration)

Method Summary

Modifier and Type	Method	Description
protected void	applyCalculation(BiFunction<Double,U,U> calculation, Double pillar, com.quartetfs.fwk.impl.Pair<U,String> applyResult, boolean generateDebugString)	Apply a computation to the result if not null and take care of the debug string
protected int	computeShift(int pillar, TreeMap<Double,Integer>[] matToLoc, int axis)	This function compute the shift on the data vector corresponding to the given pillar according to the pillar set topology
protected TreeMap<Double,Integer>	convertBucketToMaturity(RuntimeData<U> runtimeData, IMarketDataRetrievalService.IPillarSet inputPillars)	This function returns an ordered map that can be used to find interpolation vectors
protected void	generateDebugString(boolean generateDebugString, Double position, com.quartetfs.fwk.impl.Pair<U,String> result, Double p0)	The debug string for a one pillar result
protected String	getDebugString(com.quartetfs.fwk.impl.Pair<U,String> result)	Extract the debug string of the pair value / debug
IMarketDataset<T,U>	getMarketDataInterpolate(RuntimeData<U> runtimeData, IMarketDataset<T,U> inputData)	This function is computing the result by interpolation
protected void	handleDebug(boolean generateDebugString, com.quartetfs.fwk.impl.Pair<U,String> result, Supplier<String> debug)	Fill the debug string with the debug provider
protected com.quartetfs.fwk.impl.Pair<U,String>	interpolate(RuntimeData<U> runtimeData, IMarketDataset<T,U> values, int depth, double[] location, int[] interpolationOrder, TreeMap<Double,Integer>[] matToLoc, int shift)	This function will interpolate an output plot from an input set of values
protected void	interpolate(RuntimeData<U> runtimeData, IMarketDataset<T,U> result, IMarketDataset<T,U> values, int depth, double[] location, int[] interpolationOrder, TreeMap<Double,Integer>[] matToLoc, int shift)	This function will fill a vector with interpolated data
protected com.quartetfs.fwk.impl.Pair<U,String>	interpolation(boolean generateDebugString, Double position, NavigableSet<Double> plots, BiFunction<Double,U,U> preInterpolationCalculation, BiFunction<Double,U,U> postInterpolationCalculation, Function<Double,com.quartetfs.fwk.impl.Pair<U,String>> retriever, com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation.ConvolutionMethod<U> convolution)	Linear interpolation between two plots of a value
protected NavigableSet<Double>	removeOnePlot(NavigableSet<Double> plots, Double plot)	This function copy a list and remove one plot of it

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface com.activeviam.risk.ref.services.impl.marketdataretrieval.IInterpolation

getPostMarketDataInterpolationFunction, getPreMarketDataInterpolationFunction, interpolation

Field Detail

maturityConverter

protected final IMaturityConverter maturityConverter

interpolationConfiguration

protected final IInterpolationConfiguration interpolationConfiguration

Constructor Detail

AInterpolation

protected AInterpolation(IMaturityConverter maturityConverter,
                         IInterpolationConfiguration interpolationConfiguration)

Method Detail

getMarketDataInterpolate

public IMarketDataset<T,U> getMarketDataInterpolate(RuntimeData<U> runtimeData,
                                                          IMarketDataset<T,U> inputData)

This function is computing the result by interpolation

Specified by:

getMarketDataInterpolate in interface IInterpolation<T,U>

Parameters:

runtimeData - infrastructure references

inputData - the input values to convert

Returns:

the resulting MD vector

convertBucketToMaturity

protected TreeMap<Double,Integer> convertBucketToMaturity(RuntimeData<U> runtimeData,
                                                                IMarketDataRetrievalService.IPillarSet inputPillars)

This function returns an ordered map that can be used to find interpolation vectors

Parameters:

runtimeData - infrastructure references

inputPillars - The pillar set to convert

Returns:

an ordered map maturity -> pillar number

interpolate

protected void interpolate(RuntimeData<U> runtimeData,
                           IMarketDataset<T,U> result,
                           IMarketDataset<T,U> values,
                           int depth,
                           double[] location,
                           int[] interpolationOrder,
                           TreeMap<Double,Integer>[] matToLoc,
                           int shift)

This function will fill a vector with interpolated data

Parameters:

runtimeData - infrastructure references

result - the filled vector with the computed results

values - the input values

depth - the depth of the recursive loop

location - the current computed location in term of days on each axis

interpolationOrder - the requested axis order of the interpolation

matToLoc - the interpolation map and the pillar description in term of nr of days

shift - the current computed location in term of position in the result vector

interpolate

protected com.quartetfs.fwk.impl.Pair<U,String> interpolate(RuntimeData<U> runtimeData,
                                                                  IMarketDataset<T,U> values,
                                                                  int depth,
                                                                  double[] location,
                                                                  int[] interpolationOrder,
                                                                  TreeMap<Double,Integer>[] matToLoc,
                                                                  int shift)

This function will interpolate an output plot from an input set of values

Parameters:

runtimeData - infrastructure references

values - the input data

depth - the current depth of processing, the axis order

location - the coordinates to interpolate

interpolationOrder - the requested axis order of the interpolation

matToLoc - the interpolation map and the pillar description in term of nr of days

shift - the current computed shift in the input data

Returns:

the current interpolated value x the debug string

computeShift

protected int computeShift(int pillar,
                           TreeMap<Double,Integer>[] matToLoc,
                           int axis)

This function compute the shift on the data vector corresponding to the given pillar according to the pillar set topology

Parameters:

pillar - The pillar number we want to convert into shift

matToLoc - The data topology

axis - The axis number of the related pillar

Returns:

A shift compatible with the data vector

interpolation

protected com.quartetfs.fwk.impl.Pair<U,String> interpolation(boolean generateDebugString,
                                                                    Double position,
                                                                    NavigableSet<Double> plots,
                                                                    BiFunction<Double,U,U> preInterpolationCalculation,
                                                                    BiFunction<Double,U,U> postInterpolationCalculation,
                                                                    Function<Double,com.quartetfs.fwk.impl.Pair<U,String>> retriever,
                                                                    com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation.ConvolutionMethod<U> convolution)

Linear interpolation between two plots of a value

Parameters:

generateDebugString - flag to enable the generation of the interpolation debug string

position - the position to interpolate

plots - the available reference positions

preInterpolationCalculation - The functions computed before the interpolation of market data is performed, defined for the current axis.

postInterpolationCalculation - The functions computed after the interpolation of market data is performed, defined for the current axis.

retriever - the function that return the value on a reference plot

convolution - the function that combines two values for interpolation

Returns:

the interpolated value

removeOnePlot

protected NavigableSet<Double> removeOnePlot(NavigableSet<Double> plots,
                                             Double plot)

This function copy a list and remove one plot of it

Parameters:

plots - the input list

plot - the plot to remove

Returns:

a copied list with one less plot

getDebugString

protected String getDebugString(com.quartetfs.fwk.impl.Pair<U,String> result)

Extract the debug string of the pair value / debug

Parameters:

result - the pair containing the debug string

Returns:

the debug string or empty

handleDebug

protected void handleDebug(boolean generateDebugString,
                           com.quartetfs.fwk.impl.Pair<U,String> result,
                           Supplier<String> debug)

Fill the debug string with the debug provider

Parameters:

generateDebugString - is debug enabled

result - the result that will be filled

debug - the debug string provider (the string is only computed if needed)

generateDebugString

protected void generateDebugString(boolean generateDebugString,
                                   Double position,
                                   com.quartetfs.fwk.impl.Pair<U,String> result,
                                   Double p0)

The debug string for a one pillar result

Parameters:

generateDebugString - is debug enabled

position - the requested location

result - the result to fill

p0 - the retrieved location

applyCalculation

protected void applyCalculation(BiFunction<Double,U,U> calculation,
                                Double pillar,
                                com.quartetfs.fwk.impl.Pair<U,String> applyResult,
                                boolean generateDebugString)

Apply a computation to the result if not null and take care of the debug string

Parameters:

calculation - the conversion function

pillar - the location for the conversion

applyResult - the result to modify

generateDebugString - is debug activated