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

Interface IInterpolation<T,​U>

    • Method Detail

      • getMarketDataInterpolate

        IMarketDataset<T,​U> getMarketDataInterpolate​(RuntimeData<U> runtimeData,
                                                   IMarketDataset<T,​U> inputData)
        Main function for interpolation returns a dataset interpolated from the input data
        Parameters:
        runtimeData - Context values used for interpolation
        inputData - The data to interpolate
        Returns:
        The interpolated data

      • getPreMarketDataInterpolationFunction

        BiFunction<Double,​U,​U> getPreMarketDataInterpolationFunction​(IServiceContext context,
                                                                         int axisIndex,
                                                                         String sensitivityKind,
                                                                         String sensitivityName,
                                                                         String riskClass)
        Retrieves a function that performs a calculation on the market data for a given axis before interpolation of market data is done
        Parameters:
        context - The caller context
        axisIndex - index of the axis
        sensitivityKind - The type of sensitivity delta / gamma /vega / ....
        sensitivityName - sensitivity name
        riskClass - risk class
        Returns:
        A function with that prototype (pillar, md) -> intermediate, pillar is the current location of the md, interpolation will be made on intermediate Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, md) = (pillar, md) -> md

      • getPostMarketDataInterpolationFunction

        BiFunction<Double,​U,​U> getPostMarketDataInterpolationFunction​(IServiceContext context,
                                                                          int axisIndex,
                                                                          String sensitivityKind,
                                                                          String sensitivityName,
                                                                          String riskClass)
        Retrieves a function that performs a calculation on the market data for a given axis after interpolation of market data is done
        Parameters:
        context - The caller context
        axisIndex - index of the axis
        sensitivityKind - The type of sensitivity delta / gamma /vega / ....
        sensitivityName - sensitivity name
        riskClass - risk class
        Returns:
        A function with that prototype (pillar, intermediate) -> md, pillar is the target location of the md, intermediate is the interpolated value Pre and Post functions must give identity on a non interpolated point for consistency Post(pillar, Pre(pillar, md) = (pillar, md) -> md

      • interpolation

        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)
        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
        Returns:
        the interpolated value