/// <summary>
/// Create a burlish stoer rational interpolation based on arbitrary points.
/// </summary>
/// <param name="points">The sample points t. Supports both lists and arrays.</param>
/// <param name="values">The sample point values x(t). Supports both lists and arrays.</param>
/// <returns>
/// An interpolation scheme optimized for the given sample points and values,
/// which can then be used to compute interpolations and extrapolations
/// on arbitrary points.
/// </returns>
public static IInterpolation RationalWithPoles(IList <double> points, IList <double> values)
{
var method = new BulirschStoerRationalInterpolation();
method.Initialize(points, values);
return(method);
}
public void FitsAtSamplePoints()
{
IInterpolation interpolation = BulirschStoerRationalInterpolation.Interpolate(_t, _x);
for (int i = 0; i < _x.Length; i++)
{
Assert.AreEqual(_x[i], interpolation.Interpolate(_t[i]), "A Exact Point " + i);
}
}
/// <summary>
/// Discount factor
/// </summary>
/// <param name="date"></param>
/// <returns></returns>
public double GetDiscountFactors(DateTime date)
{
// Convert dates to contineous time in untis of years
var t = Utilities.ConvertToDayCountFraction(SettleDate, date);
var interpolation = new BulirschStoerRationalInterpolation(T.ToArray(), DiscountFactor.ToArray());
return(interpolation.Interpolate(t));
}
public void FitsAtArbitraryPointsWithMaple(
[Values(0.1, 0.4, 1.1, 3.01, 3.02, 3.03, 3.1, 3.2, 4.5, 10.0, -10.0)] double t,
[Values(.19389203383553566255, .88132900698869875369, 3.5057665681580626913, 1548.7666642693586902, 3362.2564334253633516, -22332.603641443806014, -440.30323769822443789, -202.42421196280566349, 21.208249625210155439, -4.8936986959784751517, -3.6017584308603731307)] double x,
[Values(1e-14, 1e-14, 1e-15, 1e-10, 1e-10, 1e-8, 1e-11, 1e-12, 1e-12, 1e-13, 1e-13)] double maxAbsoluteError)
{
IInterpolation interpolation = new BulirschStoerRationalInterpolation(_t, _x);
Assert.AreEqual(x, interpolation.Interpolate(t), maxAbsoluteError, "Interpolation at {0}", t);
}
public void FitsAtSamplePoints()
{
IInterpolation interpolation = new BulirschStoerRationalInterpolation(_t, _x);
for (int i = 0; i < _x.Length; i++)
{
Assert.AreEqual(_x[i], interpolation.Interpolate(_t[i]), "A Exact Point " + i);
}
}
public void FitsAtArbitraryPointsWithMaple(
[Values(0.1, 0.4, 1.1, 3.01, 3.02, 3.03, 3.1, 3.2, 4.5, 10.0, -10.0)] double t,
[Values(.19389203383553566255, .88132900698869875369, 3.5057665681580626913, 1548.7666642693586902, 3362.2564334253633516, -22332.603641443806014, -440.30323769822443789, -202.42421196280566349, 21.208249625210155439, -4.8936986959784751517, -3.6017584308603731307)] double x,
[Values(1e-14, 1e-14, 1e-15, 1e-10, 1e-10, 1e-8, 1e-11, 1e-12, 1e-12, 1e-13, 1e-13)] double maxAbsoluteError)
{
IInterpolation interpolation = new BulirschStoerRationalInterpolation(_t, _x);
Assert.AreEqual(x, interpolation.Interpolate(t), maxAbsoluteError, "Interpolation at {0}", t);
}
/// <summary>
/// Discount factors
/// </summary>
/// <param name="dates"></param>
/// <returns></returns>
public Vector <double> GetDiscountFactors(DateTime[] dates)
{
// Convert dates to contineous time in untis of years
var t = Vector <double> .Build.DenseOfArray(Utilities.ConvertToDayCountFraction(SettleDate, dates));
var interpolation = new BulirschStoerRationalInterpolation(T.ToArray(), DiscountFactor.ToArray());
var result = Vector <double> .Build.Dense(t.Count);
t.Map(p => interpolation.Interpolate(p), result);
return(result);
}
public void FewSamples()
{
Assert.That(() => BulirschStoerRationalInterpolation.Interpolate(new double[0], new double[0]), Throws.ArgumentException);
Assert.That(BulirschStoerRationalInterpolation.Interpolate(new[] { 1.0 }, new[] { 2.0 }).Interpolate(1.0), Is.EqualTo(2.0));
}
public void FitsAtArbitraryPointsWithMaple(double t, double x, double maxAbsoluteError)
{
IInterpolation interpolation = BulirschStoerRationalInterpolation.Interpolate(_t, _x);
Assert.AreEqual(x, interpolation.Interpolate(t), maxAbsoluteError, "Interpolation at {0}", t);
}
/// <summary>
/// Create a Bulirsch Stoer rational interpolation based on arbitrary points.
/// </summary>
/// <param name="points">The sample points t.</param>
/// <param name="values">The sample point values x(t).</param>
/// <returns>
/// An interpolation scheme optimized for the given sample points and values,
/// which can then be used to compute interpolations and extrapolations
/// on arbitrary points.
/// </returns>
/// <remarks>
/// if your data is already sorted in arrays, consider to use
/// MathNet.Numerics.Interpolation.BulirschStoerRationalInterpolation.InterpolateSorted
/// instead, which is more efficient.
/// </remarks>
public static IInterpolation RationalWithPoles(IEnumerable <double> points, IEnumerable <double> values)
{
return(BulirschStoerRationalInterpolation.Interpolate(points, values));
}
public void FitsAtArbitraryPointsWithMaple(double t, double x, double maxAbsoluteError)
{
IInterpolation interpolation = new BulirschStoerRationalInterpolation(_t, _x);
Assert.AreEqual(x, interpolation.Interpolate(t), maxAbsoluteError, "Interpolation at {0}", t);
}
private static void checkSplines(Commons.SplineBox spline, Chart chart)
{
spline.dict = new Dictionary <double, double>();
Commons.xlist = Commons.X.ToList <double>();
Commons.ylist = Commons.Y.ToList <double>();
double step = 0.3;
if (spline.POWER == 1)
{
spline.dict = new Dictionary <double, double>();
LinearSplineInterpolation splineInterpol = new LinearSplineInterpolation();
splineInterpol.Init(Commons.xlist, Commons.ylist);
for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
{
// spline.listX.Add(i);
spline.dict.Add(i, splineInterpol.Interpolate(i));
//spline.listY.Add(splineInterpol.Interpolate(i));
}
}
else if (spline.POWER == 2)
{
spline.dict = new Dictionary <double, double>();
QuadraticSpline quadraticSplineInterpol = new QuadraticSpline();
quadraticSplineInterpol.Init(Commons.xlist, Commons.ylist);
for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
{
//spline.listX.Add(i);
//spline.listY.Add(quadraticSplineInterpol.Interpolate(i));
spline.dict.Add(i, quadraticSplineInterpol.Interpolate(i));
}
}
else if (spline.POWER > 2 && spline.POWER < 5)
{
spline.dict = new Dictionary <double, double>();
CubicSplineInterpolation cubicSplineInterpol = new CubicSplineInterpolation();
cubicSplineInterpol.Init(Commons.xlist, Commons.ylist);
for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
{
//spline.listX.Add(i);
//spline.listY.Add(cubicSplineInterpol.Interpolate(i));
spline.dict.Add(i, cubicSplineInterpol.Interpolate(i));
}
}
else if (spline.POWER >= 5)
{
spline.dict = new Dictionary <double, double>();
BulirschStoerRationalInterpolation nevilleInterpol = new BulirschStoerRationalInterpolation(Commons.X, Commons.Y);
for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
{
spline.dict.Add(i, nevilleInterpol.Interpolate(i));
}
}
/*
* switch(spline.POWER)
* {
* case 1:
* LinearSplineInterpolation splineInterpol = new LinearSplineInterpolation();
* splineInterpol.Init(Commons.xlist, Commons.ylist);
* for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i+=step)
* {
* // spline.listX.Add(i);
* spline.dict.Add(i, splineInterpol.Interpolate(i));
* //spline.listY.Add(splineInterpol.Interpolate(i));
* }
* break;
* case 2:
* //MessageBox.Show("do not work for now");
* QuadraticSpline quadraticSplineInterpol = new QuadraticSpline();
* quadraticSplineInterpol.Init(Commons.xlist, Commons.ylist);
* for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
* {
* //spline.listX.Add(i);
* //spline.listY.Add(quadraticSplineInterpol.Interpolate(i));
* spline.dict.Add(i, quadraticSplineInterpol.Interpolate(i));
* }
* break;
* case 3:
* CubicSplineInterpolation cubicSplineInterpol = new CubicSplineInterpolation();
* cubicSplineInterpol.Init(Commons.xlist, Commons.ylist);
* for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
* {
* //spline.listX.Add(i);
* //spline.listY.Add(cubicSplineInterpol.Interpolate(i));
* spline.dict.Add(i, cubicSplineInterpol.Interpolate(i));
* }
* break;
* default:
* CubicSplineInterpolation cubicSplineInterpol1 = new CubicSplineInterpolation();
* QuadraticSpline quadraticSplineInterpol1 = new QuadraticSpline();
* //MathNet.Numerics.Interpolation.NevillePolynomialInterpolation
* BulirschStoerRationalInterpolation nevilleInterpol = new BulirschStoerRationalInterpolation(Commons.X, Commons.Y);
* NevillePolynomialInterpolation logLinearInterpol = new NevillePolynomialInterpolation(Commons.X, Commons.Y);
* cubicSplineInterpol1.Init(Commons.xlist, Commons.ylist);
* quadraticSplineInterpol1.Init(Commons.xlist, Commons.ylist);
* for (double i = Convert.ToInt32(Commons.X[0]); i < Commons.X[Commons.X.Length - 1]; i += step)
* {
* //spline.listX.Add(i);
* //spline.listY.Add(cubicSplineInterpol1.Interpolate(i));
* // if (Commons.xlist.Contains(i)&&spline.POWER%2!=0)
*
* ///if (spline.POWER % 2 != 0)
* // spline.dict.Add(i, cubicSplineInterpol1.Interpolate(i + spline.POWER * 1.5));
* //else spline.dict.Add(i, quadraticSplineInterpol1.Interpolate(i + spline.POWER * 1.5));
*
* ///spline.dict.Add(i, nevilleInterpol.Interpolate(i));
* //spline.dict.Add(i, logLinearInterpol.Interpolate(i));
* //else if (Commons.xlist.Contains(i) && spline.POWER%2==0)
* // spline.dict.Add(i, quadraticSplineInterpol1.Interpolate(i+spline.POWER*1.5));
* }
* break;
* }*/
}
