/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.schedule;
import org.threeten.bp.LocalDate;
import com.opengamma.timeseries.date.DateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Pad with previous value, pad with first value in series if there is insufficient data
*/
public class PreviousAndFirstValuePaddingTimeSeriesSamplingFunction implements TimeSeriesSamplingFunction {
@Override
public LocalDateDoubleTimeSeries getSampledTimeSeries(final DateDoubleTimeSeries<?> ts, final LocalDate[] schedule) {
ArgumentChecker.notNull(ts, "time series");
ArgumentChecker.notNull(schedule, "schedule");
final LocalDateDoubleTimeSeries localDateTS = ImmutableLocalDateDoubleTimeSeries.of(ts);
final LocalDate[] tsDates = localDateTS.timesArray();
final double[] values = localDateTS.valuesArrayFast();
final double[] scheduledData = new double[schedule.length];
int dateIndex = 0;
for (int i = 0; i < schedule.length; i++) {
final LocalDate localDate = schedule[i];
if (dateIndex < tsDates.length) { //TODO break out
if (tsDates[dateIndex].equals(localDate)) {
scheduledData[i] = values[dateIndex];
dateIndex++;
continue;
}
while (dateIndex < tsDates.length && tsDates[dateIndex].isBefore(localDate)) {
dateIndex++;
}
if (dateIndex < tsDates.length && tsDates[dateIndex].equals(localDate)) {
scheduledData[i] = values[dateIndex];
dateIndex++;
continue;
}
}
if (dateIndex > 0) {
scheduledData[i] = values[dateIndex - 1]; //Should never go too high
} else {
scheduledData[i] = values[0];
}
}
return ImmutableLocalDateDoubleTimeSeries.of(schedule, scheduledData);
}
}