/**
* Copyright (C) 2009 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.timeseries.filter;
import org.slf4j.Logger;
import org.slf4j.LoggerFactory;
import com.opengamma.timeseries.date.localdate.ImmutableLocalDateDoubleTimeSeries;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleEntryIterator;
import com.opengamma.timeseries.date.localdate.LocalDateDoubleTimeSeries;
import com.opengamma.util.ArgumentChecker;
/**
* Filter that partitions the time-series points to be within a fixed min/max range.
*/
public class ExtremeValueDoubleTimeSeriesFilter extends TimeSeriesFilter {
/** Logger. */
private static final Logger s_logger = LoggerFactory.getLogger(ExtremeValueDoubleTimeSeriesFilter.class);
private static final LocalDateDoubleTimeSeries EMPTY_SERIES = ImmutableLocalDateDoubleTimeSeries.EMPTY_SERIES;
private double _minValue;
private double _maxValue;
/**
* Creates an instance.
*
* @param minValue the minimum value
* @param maxValue the maximum value
*/
public ExtremeValueDoubleTimeSeriesFilter(final double minValue, final double maxValue) {
if (minValue >= maxValue) {
throw new IllegalArgumentException("Minumum value must be less than maximum value");
}
_minValue = minValue;
_maxValue = maxValue;
}
//-------------------------------------------------------------------------
public void setMinimumValue(final double minValue) {
if (minValue >= _maxValue) {
throw new IllegalArgumentException("Minimum value must be less than maximum value");
}
_minValue = minValue;
}
public void setMaximumValue(final double maxValue) {
if (maxValue <= _minValue) {
throw new IllegalArgumentException("Maximum value must be greater than mimumum value");
}
_maxValue = maxValue;
}
public void setRange(final double minValue, final double maxValue) {
if (minValue >= maxValue) {
throw new IllegalArgumentException("Minumum value must be less than maximum value");
}
_minValue = minValue;
_maxValue = maxValue;
}
//-------------------------------------------------------------------------
@Override
public FilteredTimeSeries evaluate(final LocalDateDoubleTimeSeries ts) {
ArgumentChecker.notNull(ts, "ts");
if (ts.isEmpty()) {
s_logger.info("Time series was empty");
return new FilteredTimeSeries(EMPTY_SERIES, EMPTY_SERIES);
}
final int n = ts.size();
final int[] filteredDates = new int[n];
final double[] filteredData = new double[n];
final int[] rejectedDates = new int[n];
final double[] rejectedData = new double[n];
final LocalDateDoubleEntryIterator it = ts.iterator();
int i = 0, j = 0;
while (it.hasNext()) {
int date = it.nextTimeFast();
double value = it.currentValue();
if (value > _maxValue || value < _minValue) {
rejectedDates[j] = date;
rejectedData[j++] = value;
} else {
filteredDates[i] = date;
filteredData[i++] = value;
}
}
return getFilteredSeries(filteredDates, filteredData, i, rejectedDates, rejectedData, j);
}
}