Module net.finmath.lib
Package net.finmath.time

Class TimeDiscretizationFromArray

java.lang.Object
net.finmath.time.TimeDiscretizationFromArray
All Implemented Interfaces:
Serializable, Iterable<Double>, TimeDiscretization
Direct Known Subclasses:
TenorFromArray
public class TimeDiscretizationFromArray extends Object implements Serializable, TimeDiscretization
This class represents a set of discrete points in time.
It handles the mapping from time indices to time points and back. It uses a time tick size ("quantum"). This is to make comparison of times safe. The default tick size is 1.0 / (365.0 * 24.0) (which corresponds to one hour if 1.0 is a non-leap-year): Times are rounded to the nearest multiple of 1.0 / (365.0 * 24.0). This property can be configured via a System.setProperty("net.finmath.functions.TimeDiscretization.timeTickSize"). Objects of this class are immutable.
Version:
1.6
Author:
Christian Fries
See Also:
Serialized Form

  • Constructor Details

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(DoubleStream times, double tickSize, boolean allowDuplicates)
      Constructs a time discretization using the given tick size. The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
      Parameters:
      times - A non closed and not necessarily sorted stream containing the time points.
      tickSize - A non-negative double representing the smallest time span distinguishable.
      allowDuplicates - If true, the time discretization allows duplicate entries.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(DoubleStream times, double tickSize)
      Constructs a time discretization using the given tick size.
      Parameters:
      times - A non closed and not necessarily sorted stream containing the time points.
      tickSize - A non-negative double representing the smallest time span distinguishable.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(DoubleStream times, boolean allowDuplicates)
      Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles. The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
      Parameters:
      times - A double stream of time points for the time discretization.
      allowDuplicates - If true, the time discretization allows duplicate entries.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(DoubleStream times)
      Constructs a time discretization from a (non closed and not necessarily sorted) stream of doubles.
      Parameters:
      times - A double stream of time points for the time discretization.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Stream<Double> times, double tickSize, boolean allowDuplicates)
      Constructs a time discretization using the given tick size.
      Parameters:
      times - A non closed and not necessarily sorted stream containing the time points.
      tickSize - A non-negative double representing the smallest time span distinguishable.
      allowDuplicates - If true, the time discretization allows duplicate entries.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Stream<Double> times, double tickSize)
      Constructs a time discretization using the given tick size. The time discretization will be sorted. Duplicate entries are allowed if allowDuplicates is true, otherwise duplicate entries are removed.
      Parameters:
      times - A non closed and not necessarily sorted stream containing the time points.
      tickSize - A non-negative double representing the smallest time span distinguishable.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Stream<Double> times)
      Constructs a time discretization from a (non closed and not necessarily sorted) stream of boxed doubles.
      Parameters:
      times - A double stream of time points for the time discretization.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Iterable<Double> times, double tickSize, boolean allowDuplicates)
      Constructs a time discretization using the given tick size. The iteration of the iterable does not have to happen in order.
      Parameters:
      times - The time to constitute the time discretization.
      tickSize - A non-negative double representing the smallest time span distinguishable.
      allowDuplicates - If true, the time discretization allows duplicate entries.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Iterable<Double> times, double tickSize)
      Constructs a time discretization using the given tick size. The iteration of the iterable does not have to happen in order.
      Parameters:
      times - The time to constitute the time discretization.
      tickSize - A non-negative double representing the smallest time span distinguishable.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Iterable<Double> times, boolean allowDuplicates)
      Constructs a time discretization from an iterable of doubles. The iteration does not have to happen in order.
      Parameters:
      times - The time to constitute the time discretization.
      allowDuplicates - If true, the time discretization allows duplicate entries.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Iterable<Double> times)
      Constructs a time discretization from an iterable of doubles. The iteration does not have to happen in order.
      Parameters:
      times - The time to constitute the time discretization.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(double... times)
      Constructs a time discretization from a given set of doubles. The given array does not need to be sorted.
      Parameters:
      times - Given array or arguments list of discretization points.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Double[] times)
      Constructs a time discretization from a given set of Doubles. The given array does not need to be sorted.
      Parameters:
      times - Given boxed array of discretization points.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(Double[] times, double tickSize)
      Constructs a time discretization using the given tick size. The given array does not need to be sorted.
      Parameters:
      times - Given boxed array of discretization points.
      tickSize - A non-negative double representing the smallest time span distinguishable.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(double initial, int numberOfTimeSteps, double deltaT)
      Constructs an equi-distant time discretization with points timeDiscretizationFromArray[i] being for(i=0; i ≤ timeSteps; i++) timeDiscretizationFromArray[i] = initial + i * deltaT;
      Parameters:
      initial - First discretization point.
      numberOfTimeSteps - Number of time steps.
      deltaT - Time step size.

    • TimeDiscretizationFromArray

      public TimeDiscretizationFromArray​(double initial, double last, double deltaT, TimeDiscretizationFromArray.ShortPeriodLocation shortPeriodLocation)
      Constructs an equi-distant time discretization with stub periods at start or end.
      Parameters:
      initial - First discretization point.
      last - Last time steps.
      deltaT - Time step size.
      shortPeriodLocation - Placement of the stub period.

  • Method Details

    • getNumberOfTimes

      public int getNumberOfTimes()
      Specified by:
      getNumberOfTimes in interface TimeDiscretization
      Returns:
      Returns the number of time discretization points.

    • getNumberOfTimeSteps

      public int getNumberOfTimeSteps()
      Specified by:
      getNumberOfTimeSteps in interface TimeDiscretization
      Returns:
      Returns the number of time steps (= number of discretization points-1).

    • getTime

      public double getTime​(int timeIndex)
      Description copied from interface: TimeDiscretization
      Returns the time for the given time index.
      Specified by:
      getTime in interface TimeDiscretization
      Parameters:
      timeIndex - Time index
      Returns:
      Returns the time for a given time index.

    • getTimeStep

      public double getTimeStep​(int timeIndex)
      Description copied from interface: TimeDiscretization
      Returns the time step from the given time index to the next one.
      Specified by:
      getTimeStep in interface TimeDiscretization
      Parameters:
      timeIndex - Time index
      Returns:
      Returns the time step

    • getTimeIndex

      public int getTimeIndex​(double time)
      Description copied from interface: TimeDiscretization
      Returns the time index for the given time. If the given time is not in the time discretization the method returns a negative number being (-insertionPoint-1).
      Specified by:
      getTimeIndex in interface TimeDiscretization
      Parameters:
      time - The time.
      Returns:
      Returns the time index for a given time.

    • getTimeIndexNearestLessOrEqual

      public int getTimeIndexNearestLessOrEqual​(double time)
      Description copied from interface: TimeDiscretization
      Returns the time index for the time in the time discretization which is the nearest to the given time, being less or equal (i.e. max(i : timeDiscretizationFromArray[i] ≤ time where timeDiscretizationFromArray[i] ≤ timeDiscretizationFromArray[j]) for i ≤ j.
      Specified by:
      getTimeIndexNearestLessOrEqual in interface TimeDiscretization
      Parameters:
      time - Given time.
      Returns:
      Returns a time index or -1, if the given time is smaller than the this.getFirstTime().

    • getTimeIndexNearestGreaterOrEqual

      public int getTimeIndexNearestGreaterOrEqual​(double time)
      Description copied from interface: TimeDiscretization
      Returns the time index for the time in the time discretization which is the nearest to the given time, being greater or equal (i.e. min(i : timeDiscretizationFromArray[i] ≥ time where timeDiscretizationFromArray[i] ≤ timeDiscretizationFromArray[j]) for i ≤ j.
      Specified by:
      getTimeIndexNearestGreaterOrEqual in interface TimeDiscretization
      Parameters:
      time - Given time.
      Returns:
      Returns a time index or getNumberOfTimes(), if the given time is smaller than the this.getLastTime().

    • getAsDoubleArray

      public double[] getAsDoubleArray()
      Description copied from interface: TimeDiscretization
      Return a clone of this time discretization as double[].
      Specified by:
      getAsDoubleArray in interface TimeDiscretization
      Returns:
      The time discretization as double[]

    • getAsArrayList

      public ArrayList<Double> getAsArrayList()
      Description copied from interface: TimeDiscretization
      Return a clone of this time discretization as ArrayList<Double>. Note that this method is costly in terms of performance.
      Specified by:
      getAsArrayList in interface TimeDiscretization
      Returns:
      The time discretization as ArrayList<Double>

    • getTimeShiftedTimeDiscretization

      public TimeDiscretization getTimeShiftedTimeDiscretization​(double timeShift)
      Description copied from interface: TimeDiscretization
      Return a new time discretization where all time points have been shifted by a given time shift.
      Specified by:
      getTimeShiftedTimeDiscretization in interface TimeDiscretization
      Parameters:
      timeShift - A time shift applied to all discretization points.
      Returns:
      A new time discretization where all time points have been shifted by the given time shift.

    • filter

      public TimeDiscretization filter​(DoublePredicate timesToKeep)
      Description copied from interface: TimeDiscretization
      Create a new TimeDiscretization with a subset of this time discretization.
      Specified by:
      filter in interface TimeDiscretization
      Parameters:
      timesToKeep - True if the time point should belong to the new TimeDiscretization
      Returns:
      A TimeDiscretization with a subset of this time discretization.

    • union

      public TimeDiscretization union​(TimeDiscretization that)
      Description copied from interface: TimeDiscretization
      Returns the union of this time discretization with another one. This means that the times of the other time discretization will be added. In case the tick sizes differ the union will have the smaller tick size, i. e. the finer precision. Note that when the differing tick sizes are not integer multiples of each other time points might get shifted due to rounding; for example a.intersect(a.union(b)) might not be equal to a.
      Specified by:
      union in interface TimeDiscretization
      Parameters:
      that - Another time discretization containing points to add to the time discretization.
      Returns:
      A new time discretization containing both the time points of this and the other discretization.

    • intersect

      public TimeDiscretization intersect​(TimeDiscretization that)
      Description copied from interface: TimeDiscretization
      Returns the intersection of this time discretization with another one. This means that all times not contained in the other time discretization will be removed. In case the tick sizes differ the intersection will have the greater tick size, i. e. the coarser precision. Note that when the differing tick sizes are not integer multiples of each other time points might get shifted due to rounding; for example a.intersect(a.union(b)) might not be equal to a.
      Specified by:
      intersect in interface TimeDiscretization
      Parameters:
      that - Another time discretization containing points to add to the time discretization.
      Returns:
      A new time discretization containing both the time points of this and the other discretization.

    • getTickSize

      public double getTickSize()
      Description copied from interface: TimeDiscretization
      Returns the smallest time span distinguishable in this time discretization.
      Specified by:
      getTickSize in interface TimeDiscretization
      Returns:
      A non-negative double containing the tick size.

    • iterator

      public Iterator<Double> iterator()
      Specified by:
      iterator in interface Iterable<Double>

    • toString

      public String toString()
      Overrides:
      toString in class Object

    • hashCode

      public int hashCode()
      Overrides:
      hashCode in class Object

    • equals

      public boolean equals​(Object obj)
      Overrides:
      equals in class Object