/**
* 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 java.util.ArrayList;
import java.util.List;
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;
/**
*
*/
public class PreviousValuePaddingTimeSeriesSamplingFunction 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 List<LocalDate> scheduledDates = new ArrayList<>();
final List<Double> scheduledData = new ArrayList<>();
int dateIndex = 0;
for (final LocalDate localDate : schedule) {
if (dateIndex < tsDates.length) {
if (tsDates[dateIndex].equals(localDate)) {
scheduledDates.add(localDate);
scheduledData.add(values[dateIndex]);
dateIndex++;
continue;
}
while (dateIndex < tsDates.length && tsDates[dateIndex].isBefore(localDate)) {
dateIndex++;
}
if (dateIndex < tsDates.length && tsDates[dateIndex].equals(localDate)) {
scheduledDates.add(localDate);
scheduledData.add(values[dateIndex]);
dateIndex++;
continue;
}
}
if (dateIndex > 0) {
scheduledDates.add(localDate);
scheduledData.add(values[dateIndex - 1]);
}
}
return ImmutableLocalDateDoubleTimeSeries.of(scheduledDates, scheduledData);
}
}