com.gordoni.opal.LSInterpolator.java Source code

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Here is the source code for com.gordoni.opal.LSInterpolator.java

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/*
 * AACalc - Asset Allocation Calculator
 * Copyright (C) 2009, 2011-2015 Gordon Irlam
 *
 * This program is free software: you can redistribute it and/or modify
 * it under the terms of the GNU Affero General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This program is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU Affero General Public License for more details.
 *
 * You should have received a copy of the GNU Affero General Public License
 * along with this program.  If not, see <http://www.gnu.org/licenses/>.
 */

package com.gordoni.opal;

import java.util.Arrays;

import org.apache.commons.math3.analysis.UnivariateFunction;
import org.apache.commons.math3.analysis.interpolation.SplineInterpolator;
import org.apache.commons.math3.analysis.interpolation.UnivariateInterpolator;

class LSInterpolator extends Interpolator {
    MapPeriod mp;
    boolean linear_spline;

    double xval[];
    double yval[];
    double fval[][];

    UnivariateFunction f[];

    public double value(double[] p) {
        double x = p[0];
        x = Math.max(x, mp.floor[0]);
        x = Math.min(x, mp.ceiling[0]);
        double y = p[1];
        y = Math.max(y, mp.floor[1]);
        y = Math.min(y, mp.ceiling[1]);
        if (!linear_spline) {
            // spline-linear.
            double tmp = x;
            x = y;
            y = tmp;
        }
        int xindex = Arrays.binarySearch(xval, x);
        if (xindex < 0)
            xindex = -xindex - 2;
        int x1;
        int x2;
        if (xindex + 1 > xval.length - 1) {
            x1 = xindex;
            x2 = xindex - 1;
        } else {
            x1 = xindex;
            x2 = xindex + 1;
        }
        double v1 = f[x1].value(y);
        double v2 = f[x2].value(y);
        double v = v1 + (x - xval[x1]) / (xval[x2] - xval[x1]) * (v2 - v1);
        int yindex = Arrays.binarySearch(yval, y);
        if (yindex < 0)
            yindex = -yindex - 2;
        double fmin = Math.min(fval[x1][yindex], fval[x2][yindex]);
        double fmax = Math.max(fval[x1][yindex], fval[x2][yindex]);
        if (yindex + 1 < yval.length) {
            fmin = Math.min(fmin, fval[x1][yindex + 1]);
            fmin = Math.min(fmin, fval[x2][yindex + 1]);
            fmax = Math.max(fmax, fval[x1][yindex + 1]);
            fmax = Math.max(fmax, fval[x2][yindex + 1]);
        }
        v = Math.max(v, fmin);
        v = Math.min(v, fmax);
        return v;
    }

    public LSInterpolator(MapPeriod mp, int what, boolean linear_spline) {
        this.mp = mp;
        this.linear_spline = linear_spline;

        Scenario scenario = mp.scenario;
        Config config = scenario.config;

        xval = new double[mp.length[0]];
        for (int i = 0; i < xval.length; i++)
            xval[(xval.length - 1) - i] = scenario.scale[0].bucket_to_pf(mp.bottom[0] + i);
        yval = new double[mp.length[1]];
        for (int i = 0; i < yval.length; i++)
            yval[(yval.length - 1) - i] = scenario.scale[1].bucket_to_pf(mp.bottom[1] + i);

        fval = new double[mp.length[0]][mp.length[1]];
        MapPeriodIterator<MapElement> mpitr = mp.iterator();
        while (mpitr.hasNext()) {
            int[] bucket = mpitr.nextIndex().clone();
            MapElement me = mpitr.next();
            int xindex = (xval.length - 1) - (bucket[0] - mp.bottom[0]);
            int yindex = (yval.length - 1) - (bucket[1] - mp.bottom[1]);
            fval[xindex][yindex] = getWhat(me, what);
        }
        if (!linear_spline) {
            // spline-linear.
            double tmp[] = xval;
            xval = yval;
            yval = tmp;
            fval = Utils.zipDoubleArrayArray(fval);
        }

        this.f = new UnivariateFunction[fval.length];
        for (int i = 0; i < fval.length; i++) {
            UnivariateInterpolator interpolator;
            interpolator = new SplineInterpolator();
            this.f[i] = interpolator.interpolate(yval, fval[i]);
        }
    }
}