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

Class InterpolationVector

java.lang.Object

com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation<com.qfs.vector.IVector[],com.qfs.vector.IVector>

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

All Implemented Interfaces:

IInterpolation<com.qfs.vector.IVector[],com.qfs.vector.IVector>

public class InterpolationVector
extends AInterpolation<com.qfs.vector.IVector[],com.qfs.vector.IVector>

Field Summary

Fields inherited from class com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation

interpolationConfiguration, maturityConverter

Constructor Summary

Constructors

Constructor	Description
InterpolationVector(IMaturityConverter maturityConverter, IInterpolationConfiguration interpolationConfiguration)

Method Summary

Modifier and Type	Method	Description
protected BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector>	getIVectorFromDoubleFunction(BinaryOperator<Double> interpolationCalculation)
BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector>	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
BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector>	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
com.quartetfs.fwk.impl.Pair<com.qfs.vector.IVector,String>	interpolation(boolean generateDebugString, Double position, NavigableSet<Double> plots, BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> preInterpolationCalculation, BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> postInterpolationCalculation, Function<Double,com.quartetfs.fwk.impl.Pair<com.qfs.vector.IVector,String>> retriever)	Linear interpolation between two plots of a value

Methods inherited from class com.activeviam.risk.ref.services.impl.marketdataretrieval.AInterpolation

applyCalculation, computeShift, convertBucketToMaturity, generateDebugString, getDebugString, getMarketDataInterpolate, handleDebug, interpolate, interpolate, interpolation, removeOnePlot

Methods inherited from class java.lang.Object

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

Constructor Detail

InterpolationVector

public InterpolationVector(IMaturityConverter maturityConverter,
                           IInterpolationConfiguration interpolationConfiguration)

Method Detail

getPreMarketDataInterpolationFunction

public BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> getPreMarketDataInterpolationFunction(IServiceContext context,
                                                                                                                          int axisIndex,
                                                                                                                          String sensitivityKind,
                                                                                                                          String sensitivityName,
                                                                                                                          String riskClass)

Description copied from interface: IInterpolation

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

public BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> getPostMarketDataInterpolationFunction(IServiceContext context,
                                                                                                                           int axisIndex,
                                                                                                                           String sensitivityKind,
                                                                                                                           String sensitivityName,
                                                                                                                           String riskClass)

Description copied from interface: IInterpolation

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

getIVectorFromDoubleFunction

protected BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> getIVectorFromDoubleFunction(BinaryOperator<Double> interpolationCalculation)

interpolation

public com.quartetfs.fwk.impl.Pair<com.qfs.vector.IVector,String> interpolation(boolean generateDebugString,
                                                                                      Double position,
                                                                                      NavigableSet<Double> plots,
                                                                                      BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> preInterpolationCalculation,
                                                                                      BiFunction<Double,com.qfs.vector.IVector,com.qfs.vector.IVector> postInterpolationCalculation,
                                                                                      Function<Double,com.quartetfs.fwk.impl.Pair<com.qfs.vector.IVector,String>> retriever)

Description copied from interface: IInterpolation

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