/**
* Copyright (C) 2013 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.math.impl.interpolation;
import static org.testng.Assert.assertEquals;
import static org.testng.Assert.assertTrue;
import org.testng.annotations.Test;
import com.opengamma.strata.math.impl.function.PiecewisePolynomialFunction1D;
/**
* Test.
*/
@Test
public class MonotonicityPreservingCubicSplineInterpolatorTest {
private static final double EPS = 1e-13;
private static final double INF = 1. / 0.;
/**
*
*/
public void localMonotonicityIncTest() {
final double[] xValues = new double[] {2., 3., 5., 8., 9., 13. };
final double[] yValues = new double[] {1., 1.01, 2., 2.1, 2.2, 2.201 };
PiecewisePolynomialInterpolator interp = new NaturalSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
final int nKeys = 111;
double key0 = 2.;
for (int i = 1; i < nKeys; ++i) {
final double key = 2. + 11. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) >= 0.);
key0 = 2. + 11. / (nKeys - 1) * i;
}
}
/**
*
*/
public void localMonotonicityClampedTest() {
final double[] xValues = new double[] {-2., 3., 4., 8., 9.1, 10. };
final double[] yValues = new double[] {0., 10., 9.5, 2., 1.1, -2.2, -2.6, 0. };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
final int nKeys = 121;
double key0 = -2.;
for (int i = 1; i < nKeys; ++i) {
final double key = -2. + 12. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) <= 0.);
key0 = -2. + 11. / (nKeys - 1) * i;
}
}
/**
*
*/
public void localMonotonicityClampedMultiTest() {
final double[] xValues = new double[] {-2., 3., 4., 8., 9.1, 10. };
final double[][] yValues = new double[][] { {0., 10., 9.5, 2., 1.1, -2.2, -2.6, 0. }, {10., 10., 9.5, 2., 1.1, -2.2, -2.6, 10. } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
final int nKeys = 121;
double key0 = -2.;
for (int i = 1; i < nKeys; ++i) {
final double key = -2. + 12. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) <= 0.);
key0 = -2. + 11. / (nKeys - 1) * i;
}
key0 = -2.;
for (int i = 1; i < nKeys; ++i) {
final double key = -2. + 12. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(1) - function.evaluate(resultPos, key0).get(1) <= 0.);
key0 = -2. + 11. / (nKeys - 1) * i;
}
}
/**
*
*/
public void localMonotonicityDecTest() {
final double[] xValues = new double[] {-2., 3., 4., 8., 9.1, 10. };
final double[] yValues = new double[] {10., 9.5, 2., 1.1, -2.2, -2.6 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
final int nKeys = 121;
double key0 = -2.;
for (int i = 1; i < nKeys; ++i) {
final double key = -2. + 12. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) <= 0.);
key0 = -2. + 11. / (nKeys - 1) * i;
}
}
/**
* local extrema are not necessarily at data-points
*/
public void extremumTest() {
final double[] xValues = new double[] {1., 2., 3., 4., 5., 6., 7., 8 };
final double[][] yValues = new double[][] { {1., 1., 2., 4., 4., 2., 1., 1. }, {10., 10., 6., 4., 4., 6., 10., 10. } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
assertTrue(function.evaluate(resultPos, 4.5).get(0) - function.evaluate(resultPos, 4).get(0) >= 0.);
assertTrue(function.evaluate(resultPos, 4.5).get(0) - function.evaluate(resultPos, 5).get(0) >= 0.);
assertTrue(function.evaluate(resultPos, 4.5).get(1) - function.evaluate(resultPos, 4).get(1) <= 0.);
assertTrue(function.evaluate(resultPos, 4.5).get(1) - function.evaluate(resultPos, 5).get(1) <= 0.);
final int nKeys = 41;
double key0 = 1.;
for (int i = 1; i < nKeys; ++i) {
final double key = 1. + 3. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) >= 0.);
key0 = 1. + 3. / (nKeys - 1) * i;
}
key0 = 1.;
for (int i = 1; i < nKeys; ++i) {
final double key = 1. + 3. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(1) - function.evaluate(resultPos, key0).get(1) <= 0.);
key0 = 1. + 3. / (nKeys - 1) * i;
}
key0 = 5.;
for (int i = 1; i < nKeys; ++i) {
final double key = 5. + 3. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) <= 0.);
key0 = 5. + 3. / (nKeys - 1) * i;
}
key0 = 5.;
for (int i = 1; i < nKeys; ++i) {
final double key = 5. + 3. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(1) - function.evaluate(resultPos, key0).get(1) >= 0.);
key0 = 5. + 3. / (nKeys - 1) * i;
}
}
/**
* PiecewiseCubicHermiteSplineInterpolator is not modified except the first 2 and last 2 intervals
*/
public void localMonotonicityDec2Test() {
final double[] xValues = new double[] {-2., 3., 4., 8., 9.1, 10., 12., 14. };
final double[] yValues = new double[] {11., 9.5, 2., 1.1, -2.2, -2.6, 2., 2. };
PiecewisePolynomialInterpolator interp = new PiecewiseCubicHermiteSplineInterpolator();
PiecewisePolynomialResult result = interp.interpolate(xValues, yValues);
PiecewisePolynomialFunction1D function = new PiecewisePolynomialFunction1D();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
PiecewisePolynomialResult resultPos = interpPos.interpolate(xValues, yValues);
assertEquals(resultPos.getDimensions(), result.getDimensions());
assertEquals(resultPos.getNumberOfIntervals(), result.getNumberOfIntervals());
assertEquals(resultPos.getOrder(), result.getOrder());
for (int i = 2; i < resultPos.getNumberOfIntervals() - 2; ++i) {
for (int j = 0; j < 4; ++j) {
assertEquals(resultPos.getCoefMatrix().get(i, j), result.getCoefMatrix().get(i, j), EPS);
}
}
final int nKeys = 121;
double key0 = -2.;
for (int i = 1; i < nKeys; ++i) {
final double key = -2. + 12. / (nKeys - 1) * i;
assertTrue(function.evaluate(resultPos, key).get(0) - function.evaluate(resultPos, key0).get(0) <= 0.);
key0 = -2. + 11. / (nKeys - 1) * i;
}
}
/*
* Error tests
*/
/**
* Primary interpolation method should be cubic.
* Note that CubicSplineInterpolator returns a linear or quadratic function in certain situations
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void lowDegreeTest() {
final double[] xValues = new double[] {1., 2., 3. };
final double[] yValues = new double[] {0., 0.1, 0.05 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void lowDegreeMultiTest() {
final double[] xValues = new double[] {1., 2., 3. };
final double[][] yValues = new double[][] { {0., 0.1, 0.05 }, {0., 0.1, 1.05 } };
PiecewisePolynomialInterpolator interp = new LinearInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void dataShortTest() {
final double[] xValues = new double[] {1., 2. };
final double[] yValues = new double[] {0., 0.1 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void dataShortMultiTest() {
final double[] xValues = new double[] {1., 2., };
final double[][] yValues = new double[][] { {0., 0.1 }, {0., 0.1 } };
PiecewisePolynomialInterpolator interp = new PiecewiseCubicHermiteSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void coincideDataTest() {
final double[] xValues = new double[] {1., 1., 3. };
final double[] yValues = new double[] {0., 0.1, 0.05 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void coincideDataMultiTest() {
final double[] xValues = new double[] {1., 2., 2. };
final double[][] yValues = new double[][] { {2., 0., 0.1, 0.05, 2. }, {1., 0., 0.1, 1.05, 2. } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void diffDataTest() {
final double[] xValues = new double[] {1., 2., 3., 4. };
final double[] yValues = new double[] {0., 0.1, 0.05 };
PiecewisePolynomialInterpolator interp = new NaturalSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void diffDataMultiTest() {
final double[] xValues = new double[] {1., 2., 3., 4. };
final double[][] yValues = new double[][] { {2., 0., 0.1, 0.05, 2. }, {1., 0., 0.1, 1.05, 2. } };
PiecewisePolynomialInterpolator interp = new NaturalSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullXdataTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[] yValues = new double[] {0., 0.1, 0.05, 0.2 };
xValues = null;
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullYdataTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[] yValues = new double[] {0., 0.1, 0.05, 0.2 };
yValues = null;
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullXdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[][] yValues = new double[][] { {0., 0.1, 0.05, 0.2 }, {0., 0.1, 0.05, 0.2 } };
xValues = null;
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nullYdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[][] yValues = new double[][] { {0., 0.1, 0.05, 0.2 }, {0., 0.1, 0.05, 0.2 } };
yValues = null;
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void infXdataTest() {
double[] xValues = new double[] {1., 2., 3., INF };
double[] yValues = new double[] {0., 0.1, 0.05, 0.2 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void infYdataTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[] yValues = new double[] {0., 0., 0.1, 0.05, 0.2, INF };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nanXdataTest() {
double[] xValues = new double[] {1., 2., 3., Double.NaN };
double[] yValues = new double[] {0., 0.1, 0.05, 0.2 };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nanYdataTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[] yValues = new double[] {0., 0., 0.1, 0.05, 0.2, Double.NaN };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void infXdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., INF };
double[][] yValues = new double[][] { {0., 0.1, 0.05, 0.2 }, {0., 0.1, 0.05, 0.2 } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void infYdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[][] yValues = new double[][] { {0., 0., 0.1, 0.05, 0.2, 1. }, {0., 0., 0.1, 0.05, 0.2, INF } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nanXdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., Double.NaN };
double[][] yValues = new double[][] { {0., 0.1, 0.05, 0.2 }, {0., 0.1, 0.05, 0.2 } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
/**
*
*/
@Test(expectedExceptions = IllegalArgumentException.class)
public void nanYdataMultiTest() {
double[] xValues = new double[] {1., 2., 3., 4. };
double[][] yValues = new double[][] { {0., 0., 0.1, 0.05, 0.2, 1.1 }, {0., 0., 0.1, 0.05, 0.2, Double.NaN } };
PiecewisePolynomialInterpolator interp = new CubicSplineInterpolator();
PiecewisePolynomialInterpolator interpPos = new MonotonicityPreservingCubicSplineInterpolator(interp);
interpPos.interpolate(xValues, yValues);
}
}