///
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void firstDerivativeFiniteDifferenceTest()
public virtual void firstDerivativeFiniteDifferenceTest()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator[] interps = new com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator[] {new com.opengamma.strata.math.impl.interpolation.NaturalSplineInterpolator(), new com.opengamma.strata.math.impl.interpolation.CubicSplineInterpolator(), new com.opengamma.strata.math.impl.interpolation.PiecewiseCubicHermiteSplineInterpolator(), new com.opengamma.strata.math.impl.interpolation.ConstrainedCubicSplineInterpolator(), new com.opengamma.strata.math.impl.interpolation.SemiLocalCubicSplineInterpolator() };
PiecewisePolynomialInterpolator[] interps = new PiecewisePolynomialInterpolator[]
{
new NaturalSplineInterpolator(),
new CubicSplineInterpolator(),
new PiecewiseCubicHermiteSplineInterpolator(),
new ConstrainedCubicSplineInterpolator(),
new SemiLocalCubicSplineInterpolator()
};
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nInterps = interps.length;
int nInterps = interps.Length;
for (int k = 0; k < nInterps; ++k)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xValues = new double[] {1.0, 2.8, 3.1, 5.9, 10.0, 16.0 };
double[] xValues = new double[] { 1.0, 2.8, 3.1, 5.9, 10.0, 16.0 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] yValues = new double[] {1.0, 2.0, 3.0, -2.0, 5.0, -5.0 };
double[] yValues = new double[] { 1.0, 2.0, 3.0, -2.0, 5.0, -5.0 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nData = xValues.length;
int nData = xValues.Length;
double[] yValuesUp = Arrays.copyOf(yValues, nData);
double[] yValuesDw = Arrays.copyOf(yValues, nData);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xKeys = new double[10 * nData];
double[] xKeys = new double[10 * nData];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xMin = xValues[0];
double xMin = xValues[0];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xMax = xValues[nData - 1];
double xMax = xValues[nData - 1];
for (int i = 0; i < 10 * nData; ++i)
{
xKeys[i] = xMin + (xMax - xMin) / (10 * nData - 1) * i;
}
PiecewisePolynomialResultsWithSensitivity result = interps[k].interpolateWithSensitivity(xValues, yValues);
for (int j = 0; j < nData; ++j)
{
yValuesUp[j] = yValues[j] * (1.0 + EPS);
yValuesDw[j] = yValues[j] * (1.0 - EPS);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialResultsWithSensitivity resultUp = interps[k].interpolateWithSensitivity(xValues, yValuesUp);
PiecewisePolynomialResultsWithSensitivity resultUp = interps[k].interpolateWithSensitivity(xValues, yValuesUp);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialResultsWithSensitivity resultDw = interps[k].interpolateWithSensitivity(xValues, yValuesDw);
PiecewisePolynomialResultsWithSensitivity resultDw = interps[k].interpolateWithSensitivity(xValues, yValuesDw);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] valuesUp = FUNCTION.evaluate(resultUp, xKeys).rowArray(0);
double[] valuesUp = FUNCTION.evaluate(resultUp, xKeys).rowArray(0);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] valuesDw = FUNCTION.evaluate(resultDw, xKeys).rowArray(0);
double[] valuesDw = FUNCTION.evaluate(resultDw, xKeys).rowArray(0);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] diffUp = FUNCTION.differentiate(resultUp, xKeys).rowArray(0);
double[] diffUp = FUNCTION.differentiate(resultUp, xKeys).rowArray(0);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] diffDw = FUNCTION.differentiate(resultDw, xKeys).rowArray(0);
double[] diffDw = FUNCTION.differentiate(resultDw, xKeys).rowArray(0);
for (int i = 0; i < 10 * nData; ++i)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xKeyUp = xKeys[i] * (1.0 + EPS);
double xKeyUp = xKeys[i] * (1.0 + EPS);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xKeyDw = xKeys[i] * (1.0 - EPS);
double xKeyDw = xKeys[i] * (1.0 - EPS);
double valueFinite = 0.5 * (valuesUp[i] - valuesDw[i]) / EPS / yValues[j];
double senseFinite = 0.5 * (diffUp[i] - diffDw[i]) / EPS / yValues[j];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resNodeSensitivity = FUNCTION.nodeSensitivity(result, xKeys[i]).get(j);
double resNodeSensitivity = FUNCTION.nodeSensitivity(result, xKeys[i]).get(j);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resNodeSensitivityXkeyUp = FUNCTION.nodeSensitivity(result, xKeyUp).get(j);
double resNodeSensitivityXkeyUp = FUNCTION.nodeSensitivity(result, xKeyUp).get(j);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resNodeSensitivityXkeyDw = FUNCTION.nodeSensitivity(result, xKeyDw).get(j);
double resNodeSensitivityXkeyDw = FUNCTION.nodeSensitivity(result, xKeyDw).get(j);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double senseFiniteXkey = 0.5 * (resNodeSensitivityXkeyUp - resNodeSensitivityXkeyDw) / EPS / xKeys[i];
double senseFiniteXkey = 0.5 * (resNodeSensitivityXkeyUp - resNodeSensitivityXkeyDw) / EPS / xKeys[i];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resDiffNodeSensitivity = FUNCTION.differentiateNodeSensitivity(result, xKeys[i]).get(j);
double resDiffNodeSensitivity = FUNCTION.differentiateNodeSensitivity(result, xKeys[i]).get(j);
assertEquals(valueFinite, resNodeSensitivity, Math.Max(Math.Abs(yValues[j]) * EPS, EPS));
assertEquals(senseFinite, resDiffNodeSensitivity, Math.Max(Math.Abs(yValues[j]) * EPS, EPS));
assertEquals(senseFiniteXkey, resDiffNodeSensitivity, Math.Max(Math.Abs(xKeys[i]) * EPS, EPS));
}
yValuesUp[j] = yValues[j];
yValuesDw[j] = yValues[j];
}
}
}
///
//JAVA TO C# CONVERTER TODO TASK: Most Java annotations will not have direct .NET equivalent attributes:
//ORIGINAL LINE: @Test public void clampedSecondDerivativeFiniteDifferenceTest()
public virtual void clampedSecondDerivativeFiniteDifferenceTest()
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator[] interps = new com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialInterpolator[] {new com.opengamma.strata.math.impl.interpolation.CubicSplineInterpolator() };
PiecewisePolynomialInterpolator[] interps = new PiecewisePolynomialInterpolator[] { new CubicSplineInterpolator() };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nInterps = interps.length;
int nInterps = interps.Length;
for (int k = 0; k < nInterps; ++k)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xValues = new double[] {1.0, 2.8, 3.1, 5.9, 10.0, 16.0 };
double[] xValues = new double[] { 1.0, 2.8, 3.1, 5.9, 10.0, 16.0 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] bcs = new double[] {-2.0, -1.5, 0.0, 1.0 / 3.0, 3.2 };
double[] bcs = new double[] { -2.0, -1.5, 0.0, 1.0 / 3.0, 3.2 };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nBcs = bcs.length;
int nBcs = bcs.Length;
for (int l = 0; l < nBcs; ++l)
{
for (int m = 0; m < nBcs; ++m)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] yValues = new double[] {bcs[l], 1.0, 2.0, 3.0, -2.0, 5.0, -5.0, bcs[m] };
double[] yValues = new double[] { bcs[l], 1.0, 2.0, 3.0, -2.0, 5.0, -5.0, bcs[m] };
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final int nData = xValues.length;
int nData = xValues.Length;
double[] yValuesUp = Arrays.copyOf(yValues, nData + 2);
double[] yValuesDw = Arrays.copyOf(yValues, nData + 2);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] xKeys = new double[10 * nData];
double[] xKeys = new double[10 * nData];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xMin = xValues[0];
double xMin = xValues[0];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xMax = xValues[nData - 1];
double xMax = xValues[nData - 1];
for (int i = 0; i < 10 * nData; ++i)
{
xKeys[i] = xMin + (xMax - xMin) / (10 * nData - 1) * i;
}
PiecewisePolynomialResultsWithSensitivity result = interps[k].interpolateWithSensitivity(xValues, yValues);
for (int j = 0; j < nData; ++j)
{
yValuesUp[j + 1] = yValues[j + 1] * (1.0 + EPS);
yValuesDw[j + 1] = yValues[j + 1] * (1.0 - EPS);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialResultsWithSensitivity resultUp = interps[k].interpolateWithSensitivity(xValues, yValuesUp);
PiecewisePolynomialResultsWithSensitivity resultUp = interps[k].interpolateWithSensitivity(xValues, yValuesUp);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final com.opengamma.strata.math.impl.interpolation.PiecewisePolynomialResultsWithSensitivity resultDw = interps[k].interpolateWithSensitivity(xValues, yValuesDw);
PiecewisePolynomialResultsWithSensitivity resultDw = interps[k].interpolateWithSensitivity(xValues, yValuesDw);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] diffUp = FUNCTION.differentiateTwice(resultUp, xKeys).toArray()[0];
double[] diffUp = FUNCTION.differentiateTwice(resultUp, xKeys).toArray()[0];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double[] diffDw = FUNCTION.differentiateTwice(resultDw, xKeys).toArray()[0];
double[] diffDw = FUNCTION.differentiateTwice(resultDw, xKeys).toArray()[0];
for (int i = 0; i < 10 * nData; ++i)
{
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xKeyUp = xKeys[i] * (1.0 + EPS);
double xKeyUp = xKeys[i] * (1.0 + EPS);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double xKeyDw = xKeys[i] * (1.0 - EPS);
double xKeyDw = xKeys[i] * (1.0 - EPS);
double senseFinite = 0.5 * (diffUp[i] - diffDw[i]) / EPS / yValues[j + 1];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resdiffNodeSensitivityXkeyUp = FUNCTION.differentiateNodeSensitivity(result, xKeyUp).get(j);
double resdiffNodeSensitivityXkeyUp = FUNCTION.differentiateNodeSensitivity(result, xKeyUp).get(j);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resdiffNodeSensitivityXkeyDw = FUNCTION.differentiateNodeSensitivity(result, xKeyDw).get(j);
double resdiffNodeSensitivityXkeyDw = FUNCTION.differentiateNodeSensitivity(result, xKeyDw).get(j);
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double senseFiniteXkey = 0.5 * (resdiffNodeSensitivityXkeyUp - resdiffNodeSensitivityXkeyDw) / EPS / xKeys[i];
double senseFiniteXkey = 0.5 * (resdiffNodeSensitivityXkeyUp - resdiffNodeSensitivityXkeyDw) / EPS / xKeys[i];
//JAVA TO C# CONVERTER WARNING: The original Java variable was marked 'final':
//ORIGINAL LINE: final double resDiffTwiceNodeSensitivity = FUNCTION.differentiateTwiceNodeSensitivity(result, xKeys[i]).get(j);
double resDiffTwiceNodeSensitivity = FUNCTION.differentiateTwiceNodeSensitivity(result, xKeys[i]).get(j);
assertEquals(senseFinite, resDiffTwiceNodeSensitivity, Math.Max(Math.Abs(yValues[j + 1]) * EPS, EPS));
assertEquals(senseFiniteXkey, resDiffTwiceNodeSensitivity, Math.Max(Math.Abs(xKeys[i]) * EPS, EPS));
}
yValuesUp[j + 1] = yValues[j + 1];
yValuesDw[j + 1] = yValues[j + 1];
}
}
}
}
}
