Preview market data interpolation APIs
The preview market data API provides an interpolation API separated from the market data retrieval. The API is mostly contained in the mr-common-lib module, with Spring configuration classes available in the mr-common-config module.
Supported interpolation types
This API supports linear and spline interpolation, with the InterpolationMode enum in the com.activeviam.mr.common.services.marketdata.interpolation.intf package providing valid options.
| Value | Details |
|---|---|
InterpolationMode.NO |
No interpolation is necessary. Provided for potential implementations with specific handling for non-interpolated market data. |
InterpolationMode.LINEAR |
Linear interpolation is required for missing data points. |
InterpolationMode.SPLINE |
Spline interpolation is required for missing data points. |
Handling market data
The interpolation API does not handle data retrieval directly, and expects the known data points to be expressed as doubles. To correctly retrieve and convert market data, market data handlers are provided in the com.activeviam.mr.common.services.marketdata.interpolation.intf and com.activeviam.mr.common.services.marketdata.interpolation.impl packages.
| Class | Type | Details |
|---|---|---|
ICurveMarketDataHandler |
Interface | Interface for retrieving CurveMarketData and converting tenors into doubles. |
ISurfaceMarketDataHandler |
Interface | Interface for retrieving SurfaceMarketData and converting tenor and moneyness values into doubles. |
ICubeMarketDataHandler |
Interface | Interface for retrieving CubeMarketData and converting tenor, moneyness and maturity values into doubles. |
TenorLabelCurveMarketDataHandler |
Implementation | Implementation of ICurveMarketDataHandler for tenors expressed as String objects. |
TenorLabelMoneynessSurfaceMarketDataHandler |
Implementation | Implementation of ISurfaceMarketDataHandler for tenor and moneyness values expressed as String objects. |
TenorAndMaturityLabelMoneynessCubeMarketDataHandler |
Implementation | Implementation of ICubeMarketDataHandler for tenor, moneyness, and maturity values expressed as String objects. |
Interpolators
Interpolators are objects that will provide an interpolated point when provided with correctly configured known data points and the required indices. All interpolators must implement the IInterpolator interface.
| Method | Return type | Details |
|---|---|---|
getMode() |
InterpolationMode |
The type of interpolation performed by the interpolator object. |
getAxis() |
int |
The number of axes of the known data points and the interpolation indices. |
from(double[] values, double[]... indices) |
IInterpolator |
Sets up the interpolator with known data points. The implementation has to check that the number of index arrays matches the result of getAxis(). |
value(double... indices) |
double |
Returns the interpolated value given the indices. A helper default validateIndices(double... indices) method is provided in the interface to check the validity of the requested indices against the supported axes. |
Alongside the base interface, specific interfaces are provided for the most commonly used number of axes, in the package com.activeviam.mr.common.services.marketdata.interpolation.interpolators.intf package.
| Interface | Details |
|---|---|
IUnivariateInterpolator |
Returns 1 on getAxis(). |
IBicubicInterpolator |
Returns 2 on getAxis(). |
ITricubicInterpolator |
Returns 3 on getAxis(). |
The interpolators provided in Atoti Market Risk use the Apache Commons Math library. As the Apache library expects unflattened matrices, conversion and sorting is handled through data classes in the com.activeviam.mr.common.services.marketdata.interpolation.interpolators.commonsmath.data package:
| Class | Input | Details |
|---|---|---|
CurveInterpolationData |
Tenors and values | Sorts the tenors as double[] and stores the associated values as double[]. |
SurfaceInterpolationData |
Tenors, moneyness, and values | Sorts the tenors and moneyness as double[], and stores the associated values as double[][]. |
CubeInterpolationData |
Tenors, moneyness, maturities, and values | Sorts the tenors, moneyness and maturities as double[], and stores the associated values as double[][][]. |
Several interpolators are provided in the com.activeviam.mr.common.services.marketdata.interpolation.interpolators.commonsmath.impl package. We do not provide a three-axis interpolator for SPLINE interpolation, as the Commons Math implementation is deprecated and considered invalid.
| Interpolator | Interpolation type | Interface | Details |
|---|---|---|---|
LinearUnivariateInterpolator |
LINEAR |
IUnivariateInterpolator |
Extends the Commons Math LinearInterpolator. |
SplineUnivariateInterpolator |
SPLINE |
IUnivariateInterpolator |
Extends the Commons Math SplineInterpolator. |
LinearBicubicInterpolator |
LINEAR |
IBicubicInterpolator |
Extends the Commons Math BicubicIntepolator. |
SplineBicubicInterpolator |
SPLINE |
IBicubicInterpolator |
Extends the Commons Math PiecewiseBicubicSplineInterpolator. |
LinearTricubicInterpolator |
LINEAR |
ITricubicInterpolator |
Extends the Commons Math TricubicInterpolator. |
Interpolation service
The interpolation service collects the interpolators and allows the retrieval of the correct interpolator for the given mode, values, and number of index axes. The retrieved interpolator is set up with the correct known data points - the from() method does not need to be called again, but can be used to set up the interpolator for a different set of points.
The service is found in the com.activeviam.mr.common.services.marketdata.interpolation.intf and com.activeviam.mr.common.services.marketdata.interpolation.impl packages.
| Class | Details |
|---|---|
IInterpolationService |
Provides a single getInterpolator(InterpolationMode mode, double[] values, double[]... indices) method returning an IInterpolator. |
InterpolationService |
Implementation of IInterpolationService that stores a set of interpolators and returns the correct interpolator for the given mode, values, and number of index axes. |
Spring configuration classes
Several Spring configuration classes are provided in the com.activeviam.mr.common.services.marketdata.interpolation package of the mr-common-config module, providing an interpolation service and interpolator implementations as Spring beans.
| Class | Details |
|---|---|
LinearUnivariateInterpolatorConfig |
Publishes a LinearUnivariateInterpolator as an IInterpolator bean. |
SplineUnivariateInterpolatorConfig |
Publishes a SplineUnivariateInterpolator as an IInterpolator bean. |
LinearBicubicInterpolatorConfig |
Publishes a LinearBicubicInterpolator as an IInterpolator bean. |
SplineBicubicInterpolatorConfig |
Publishes a SplineBicubicInterpolator as an IInterpolator bean. |
LinearTricubicInterpolatorConfig |
Publishes a LinearTricubicInterpolator as an IInterpolator bean. |
AllInterpolatorsConfig |
Imports all other *InterpolatorConfig classes. |
InterpolationServiceConfig |
Collects all IInterpolator beans and publishes an InterpolationService instance as an IInterpolationService bean. |