Package com.opengamma.strata.pricer.credit

Class DoublesScheduleGenerator

java.lang.Object

com.opengamma.strata.pricer.credit.DoublesScheduleGenerator

public class DoublesScheduleGenerator
extends Object

The Doubles schedule generator.

This is a utility for combining and truncating ascending arrays of doubles. The main application of this class is IsdaCdsProductPricer.

Method Summary

Modifier and Type	Method	Description
static DoubleArray	getIntegrationsPoints(double start, double end, DoubleArray discountCurveNodes, DoubleArray creditCurveNodes)	Combines the discount curve nodes and credit curve nodes.
static DoubleArray	truncateSetInclusive(double lower, double upper, DoubleArray set)	Truncates an array of doubles.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

getIntegrationsPoints

public static DoubleArray getIntegrationsPoints(double start,
                                                double end,
                                                DoubleArray discountCurveNodes,
                                                DoubleArray creditCurveNodes)

Combines the discount curve nodes and credit curve nodes.

The combined numbers are returned only if the values strictly between the specified start and end.

The start and end values are added at the beginning and end of the list. If two times are very close (defined as less than half a day - 1/730 years different) only the smaller value is kept (with the exception of the end value which takes precedence).

Parameters:

start - the first time in the list

end - the last time in the list

discountCurveNodes - the discount curve node set

creditCurveNodes - the credit curve node

Returns:

the combined list between start and end

truncateSetInclusive

public static DoubleArray truncateSetInclusive(double lower,
                                               double upper,
                                               DoubleArray set)

Truncates an array of doubles.

The number set is truncated so that it contains only the values between lower and upper, plus the values of lower and higher (as the first and last entry respectively).

If no values met this criteria an array just containing lower and upper is returned. If the first (last) entry of set is too close to lower (upper), defined by TOL, the first (last) entry of set is replaced by lower (upper).

Parameters:

lower - the lower value

upper - the upper value

set - the numbers must be sorted in ascending order

Returns:

the truncated array