def test_FinInterpolate():
import time
xValues = np.array([0.25, 0.5, 0.75, 1.0, 2.0, 3.0, 5.0, 10.0])
a = -0.1
b = 0.002
yValues = []
for x in xValues:
y = math.exp(a * x + b * x * x)
yValues.append(y)
yValues = np.array(yValues)
xInterpolateValues = np.linspace(0.0, 10.0, 20)
testCases.header("METHOD", "X", "Y_INTERPOLATED")
for interp_type in InterpTypes:
yInterpValues = []
start = time.time()
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
for x in xInterpolateValues:
y_int = interpolator.interpolate(x)
testCases.print(interp_type, x, y_int)
yInterpValues.append(y_int)
end = time.time()
if PLOT_GRAPHS:
plt.figure(figsize=(12, 10))
plt.plot(xValues, yValues, color='r', marker='o')
plt.plot(xInterpolateValues,
yInterpValues,
color='b',
label=str(interp_type))
plt.legend()
xp = np.array([0.2, 0.4, 0.45, 0.6, 0.82, 0.93, 0.99])
yp = np.array([0.4, 0.9, 0.32, 0.2, 0.22, 0.10, 0.28])
n = 10000
testCases.header("LABEL", "TIME")
interpolator = Interpolator(interp_type)
interpolator.fit(xp, yp)
start = time.time()
for i in range(0, n):
interpolator.interpolate(0.8)
end = time.time()
testCases.print("10000 Interpolations", end - start)
def test_FinInterpolate():
for interp_type in InterpTypes:
yInterpValues = []
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
for x in xInterpolateValues:
y_int = interpolator.interpolate(x)
yInterpValues.append(y_int)
def test_LINEAR_ZERO_RATES():
interp_type = InterpTypes.LINEAR_ZERO_RATES
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 8
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 4.2105
assert round(y_int, 4) == 0.6800
index = 13
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 6.8421
assert round(y_int, 4) == 0.5540
index = 18
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 9.4737
assert round(y_int, 4) == 0.4640
def test_LINEAR_FWD_RATES():
interp_type = InterpTypes.LINEAR_FWD_RATES
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 3
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 1.5789
assert round(y_int, 4) == 0.8581
index = 15
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 7.8947
assert round(y_int, 4) == 0.5119
index = 19
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 10.0
assert round(y_int, 4) == 0.4493
def test_FLAT_FWD_RATES():
interp_type = InterpTypes.FLAT_FWD_RATES
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 0
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 0.0
assert round(y_int, 4) == 1.0
index = 5
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 2.6316
assert round(y_int, 4) == 0.7797
index = 10
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 5.2632
assert round(y_int, 4) == 0.6260
def test_PCHIP_LOG_DISCOUNT():
interp_type = InterpTypes.PCHIP_LOG_DISCOUNT
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 3
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 1.5789
assert round(y_int, 4) == 0.8582
index = 8
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 4.2105
assert round(y_int, 4) == 0.6796
index = 13
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 6.8421
assert round(y_int, 4) == 0.5551
def test_NATCUBIC_ZERO_RATES():
interp_type = InterpTypes.NATCUBIC_ZERO_RATES
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 2
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 1.0526
assert round(y_int, 4) == 0.9021
index = 7
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 3.6842
assert round(y_int, 4) == 0.7109
index = 12
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 6.3158
assert round(y_int, 4) == 0.5759
def test_NATCUBIC_LOG_DISCOUNT():
interp_type = InterpTypes.NATCUBIC_LOG_DISCOUNT
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 4
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 2.1053
assert round(y_int, 4) == 0.8174
index = 9
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 4.7368
assert round(y_int, 4) == 0.6512
index = 14
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 7.3684
assert round(y_int, 4) == 0.5355
def test_FINCUBIC_ZERO_RATES():
interp_type = InterpTypes.FINCUBIC_ZERO_RATES
interpolator = Interpolator(interp_type)
interpolator.fit(xValues, yValues)
index = 1
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 0.5263
assert round(y_int, 4) == 0.9493
index = 6
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 3.1579
assert round(y_int, 4) == 0.7439
index = 11
x = xInterpolateValues[index]
y_int = interpolator.interpolate(x)
assert round(x, 4) == 5.7895
assert round(y_int, 4) == 0.6007