REF: splines restructure

rust/curves/curve.rs

@@ -32,6 +32,11 @@ pub trait CurveInterpolation {
         // let timestamp = date.and_utc().timestamp();
         index_left(&nodes.keys(), &date_timestamp, None)
     }
+
+    /// Calibrate the interpolator to the Curve nodes if necessary
+    fn calibrate(&self, nodes: &NodesTimestamp) -> Result<(), PyErr> {
+        Ok(())
+    }
 }
 
 impl<T: CurveInterpolation, U: DateRoll> CurveDF<T, U> {

rust/curves/interpolation/intp_log_cubic.rs

@@ -1,66 +1,72 @@
-use crate::curves::interpolation::utils::log_linear_interp;
 use crate::curves::nodes::NodesTimestamp;
 use crate::curves::CurveInterpolation;
-use crate::dual::DualsOrF64;
-use bincode::{deserialize, serialize};
+use crate::dual::{Number, ADOrder, NumberPPSpline, set_order_clone, Dual, Dual2};
+use crate::splines::{PPSplineF64, PPSplineDual, PPSplineDual2};
 use chrono::NaiveDateTime;
 use pyo3::prelude::*;
-use pyo3::types::{PyBytes, PyTuple};
-use pyo3::{pyclass, pymethods, Bound, PyResult, Python};
+use pyo3::{pyclass, pymethods};
 use serde::{Deserialize, Serialize};
 use std::cmp::PartialEq;
 
-/// Define log-linear interpolation of nodes.
+/// Define log-cubic interpolation of nodes.
 #[pyclass(module = "rateslib.rs")]
-#[derive(Clone, Debug, PartialEq, Serialize, Deserialize)]
-pub struct LogCubicInterpolator<T: NumberMapping> {
-    spline: T
+#[derive(Clone, PartialEq, Serialize, Deserialize)]
+pub struct LogCubicInterpolator {
+    spline: NumberPPSpline
 }
 
 #[pymethods]
-impl<T> LogCubicInterpolator
-where          T: PartialOrd + Signed + Clone + Sum + Zero,
-   for<'a> &'a T: Sub<&'a T, Output = T>,
-   for<'a> &'a f64: Mul<&'a T, Output = T>,
-{
+impl LogCubicInterpolator {
     #[new]
-    pub fn new(t: Vec<f64>, c: Option<Vec<T>>) -> Self {
-        let spline: PPSpline<T> = PPSpline.new(3_usize, t, c);
-        LogCubicInterpolator {
-            spline
+    pub fn new(t: Vec<f64>, ad: ADOrder, c: Option<Vec<Number>>) -> Self {
+        match (c, ad) {
+            (Some(v), ADOrder::Zero) => {
+                let c_: Vec<f64> = v.iter().map(|x| set_order_clone(&x, ADOrder::Zero, vec![])).map(f64::from).collect();
+                let spline = NumberPPSpline::F64(PPSplineF64::new(3, t, Some(c_)));
+                LogCubicInterpolator {spline}
+            }
+            (Some(v), ADOrder::One) => {
+                let c_: Vec<Dual> = v.iter().map(|x| set_order_clone(&x, ADOrder::One, vec![])).map(Dual::from).collect();
+                let spline = NumberPPSpline::Dual(PPSplineDual::new(3, t, Some(c_)));
+                LogCubicInterpolator {spline}
+            }
+            (Some(v), ADOrder::Two) => {
+                let c_: Vec<Dual2> = v.iter().map(|x| set_order_clone(&x, ADOrder::Zero, vec![])).map(Dual2::from).collect();
+                let spline = NumberPPSpline::Dual2(PPSplineDual2::new(3, t, Some(c_)));
+                LogCubicInterpolator {spline}
+            }
+            (None, ADOrder::Zero) => {LogCubicInterpolator {spline: NumberPPSpline::F64(PPSplineF64::new(3, t, None))}},
+            (None, ADOrder::One) => {LogCubicInterpolator {spline: NumberPPSpline::Dual(PPSplineDual::new(3, t, None))}},
+            (None, ADOrder::Two) => {LogCubicInterpolator {spline: NumberPPSpline::Dual2(PPSplineDual2::new(3, t, None))}},
         }
     }
+    //
+    // // Pickling
+    // pub fn __setstate__(&mut self, state: Bound<'_, PyBytes>) -> PyResult<()> {
+    //     *self = deserialize(state.as_bytes()).unwrap();
+    //     Ok(())
+    // }
+    // pub fn __getstate__<'py>(&self, py: Python<'py>) -> PyResult<Bound<'py, PyBytes>> {
+    //     Ok(PyBytes::new_bound(py, &serialize(&self).unwrap()))
+    // }
+    // pub fn __getnewargs__<'py>(&self, py: Python<'py>) -> PyResult<(Vec<f64>, Option<Vec<T>>)> {
+    //     Ok((self.t.clone(), ))
+    // }
+}
 
-    // Pickling
-    pub fn __setstate__(&mut self, state: Bound<'_, PyBytes>) -> PyResult<()> {
-        *self = deserialize(state.as_bytes()).unwrap();
-        Ok(())
-    }
-    pub fn __getstate__<'py>(&self, py: Python<'py>) -> PyResult<Bound<'py, PyBytes>> {
-        Ok(PyBytes::new_bound(py, &serialize(&self).unwrap()))
-    }
-    pub fn __getnewargs__<'py>(&self, py: Python<'py>) -> PyResult<(Vec<f64>, Option<Vec<T>>)> {
-        Ok((self.t.clone(), ))
+impl CurveInterpolation for LogCubicInterpolator {
+    fn interpolated_value(&self, nodes: &NodesTimestamp, date: &NaiveDateTime) -> Number {
+        Number::F64(2.3)
     }
-}
 
-impl CurveInterpolation for LogLinearInterpolator {
-    fn interpolated_value(&self, nodes: &NodesTimestamp, date: &NaiveDateTime) -> DualsOrF64 {
-        let x = date.and_utc().timestamp();
-        let index = self.node_index(nodes, x);
+    /// Calibrate the interpolator to the Curve nodes if necessary
+    fn calibrate(&self, nodes: &NodesTimestamp) -> Result<(), PyErr> {
+        // will call csolve on the spline with the appropriate data.
+        let t = self.spline.t().clone();
+        let t_min = t[0]; let t_max = t[t.len()-1];
 
-        macro_rules! interp {
-            ($Variant: ident, $indexmap: expr) => {{
-                let (x1, y1) = $indexmap.get_index(index).unwrap();
-                let (x2, y2) = $indexmap.get_index(index + 1_usize).unwrap();
-                DualsOrF64::$Variant(log_linear_interp(*x1 as f64, y1, *x2 as f64, y2, x as f64))
-            }};
-        }
-        match nodes {
-            NodesTimestamp::F64(m) => interp!(F64, m),
-            NodesTimestamp::Dual(m) => interp!(Dual, m),
-            NodesTimestamp::Dual2(m) => interp!(Dual2, m),
-        }
+        let f = nodes.clone().iter().filter(|(k,v)| (k as f64) >= t_min && (k as f64) <= t_max);
+        Ok(())
     }
 }
 
@@ -81,11 +87,12 @@
     }
 
     #[test]
-    fn test_log_linear() {
+    fn test_log_cubic() {
         let nts = nodes_timestamp_fixture();
-        let ll = LogLinearInterpolator::new();
-        let result = ll.interpolated_value(&nts, &ndt(2000, 7, 1));
-        // expected = exp(0 + (182 / 366) * (ln(0.99) - ln(1.0)) = 0.995015
-        assert_eq!(result, DualsOrF64::F64(0.9950147597711371));
+        let s = nts.get_index_as_f64(0).0;
+        let m = nts.get_index_as_f64(1).0;
+        let e = nts.get_index_as_f64(2).0;
+        let t = vec![s, s, s, s, m, e, e, e, e];
+        let ll = LogCubicInterpolator::new(t, ADOrder::Zero, None);
     }
 }

rust/curves/interpolation/mod.rs

@@ -1,10 +1,11 @@
 pub(crate) mod interpolation_py;
 
 pub(crate) mod intp_flat_backward;
 pub(crate) mod intp_flat_forward;
 pub(crate) mod intp_linear;
 pub(crate) mod intp_linear_zero_rate;
 pub(crate) mod intp_log_linear;
+pub(crate) mod intp_log_cubic;
 pub(crate) mod intp_null;
 
 pub(crate) mod utils;

rust/curves/nodes.rs

@@ -19,16 +19,6 @@
     Dual2(IndexMap<i64, Dual2>),
 }
 
-impl NodesTimestamp {
-    pub fn first_key(&self) -> i64 {
-        match self {
-            NodesTimestamp::F64(m) => *m.first().unwrap().0,
-            NodesTimestamp::Dual(m) => *m.first().unwrap().0,
-            NodesTimestamp::Dual2(m) => *m.first().unwrap().0,
-        }
-    }
-}
-
 impl From<Nodes> for NodesTimestamp {
     fn from(value: Nodes) -> Self {
         match value {
@@ -76,6 +66,14 @@
     //     }
     // }
 
+    pub fn first_key(&self) -> i64 {
+        match self {
+            NodesTimestamp::F64(m) => *m.first().unwrap().0,
+            NodesTimestamp::Dual(m) => *m.first().unwrap().0,
+            NodesTimestamp::Dual2(m) => *m.first().unwrap().0,
+        }
+    }
+
     pub(crate) fn sort_keys(&mut self) {
         match self {
             NodesTimestamp::F64(m) => m.sort_keys(),
@@ -92,6 +90,24 @@
         }
     }
 
+    /// Refactors the `get_index` method of an IndexMap and type casts the return values.
+    pub(crate) fn get_index_as_f64(&self, index: usize) -> (f64, Number) {
+        match self {
+            NodesTimestamp::F64(m) => {
+                let (k, v) = m.get_index(index).unwrap();
+                (*k as f64, Number::F64(*v))
+            },
+            NodesTimestamp::Dual(m) => {
+                let (k, v) = m.get_index(index).unwrap();
+                (*k as f64, Number::Dual(v.clone()))
+            },
+            NodesTimestamp::Dual2(m) => {
+                let (k, v) = m.get_index(index).unwrap();
+                (*k as f64, Number::Dual2(v.clone()))
+            },
+        }
+    }
+
     pub(crate) fn index_map(&self) -> IndexMap<NaiveDateTime, Number> {
         macro_rules! create_map {
             ($map:ident, $Variant:ident) => {
@@ -111,21 +127,3 @@
         }
     }
 }
-
-//     /// Refactors the `get_index` method of an IndexMap and type casts the return values.
-//     pub(crate) fn get_index_as_f64(&self, index: usize) -> (f64, Number) {
-//         match self {
-//             NodesTimestamp::F64(m) => {
-//                 let (k, v) = m.get_index(index).unwrap();
-//                 (*k as f64, Number::F64(*v))
-//             },
-//             NodesTimestamp::Dual(m) => {
-//                 let (k, v) = m.get_index(index).unwrap();
-//                 (*k as f64, Number::Dual(v.clone()))
-//             },
-//             NodesTimestamp::Dual2(m) => {
-//                 let (k, v) = m.get_index(index).unwrap();
-//                 (*k as f64, Number::Dual2(v.clone()))
-//             },
-//         }
-//     }

rust/dual/enums.rs

@@ -56,6 +56,17 @@ pub enum NumberPPSpline {
     Dual2(PPSplineDual2),
 }
 
+impl NumberPPSpline {
+    /// Return a reference to the knot sequence of the inner pp-spline.
+    pub fn t(&self) -> &Vec<f64> {
+        match self {
+            NumberPPSpline::F64(s) => s.inner.t(),
+            NumberPPSpline::Dual(s) => s.inner.t(),
+            NumberPPSpline::Dual2(s) => s.inner.t(),
+        }
+    }
+}
+
 /// Generic trait indicating a function exists to map one [Number] to another.
 ///
 /// An example of this trait is used by certain [PPSpline] indicating that an x-value as

rust/splines/spline.rs

@@ -398,27 +398,30 @@
         }
     }
 }
 
-/// Definitive [f64] type variant of a [PPSpline].
-#[pyclass(module = "rateslib.rs")]
-#[derive(Clone, Deserialize, Serialize)]
-pub struct PPSplineF64 {
-    pub(crate) inner: PPSpline<f64>,
-}
+macro_rules! define_specific_type_splines {
+    ($name: ident, $type: ident) => {
+
+        #[doc = concat!("Definitive [", stringify!($type), "] type variant of a [PPSpline]")]
+        #[pyclass(module = "rateslib.rs")]
+        #[derive(Clone, Deserialize, Serialize)]
+        pub struct $name {
+            pub(crate) inner: PPSpline<$type>,
+        }
 
-/// Definitive [Dual] type variant of a [PPSpline].
-#[pyclass(module = "rateslib.rs")]
-#[derive(Clone, Deserialize, Serialize)]
-pub struct PPSplineDual {
-    pub(crate) inner: PPSpline<Dual>,
+        impl $name {
+            pub fn new(k: usize, t: Vec<f64>, c: Option<Vec<$type>>) -> Self {
+                Self {
+                    inner: PPSpline::new(k, t, c),
+                }
+            }
+        }
+    }
 }
+define_specific_type_splines!(PPSplineF64, f64);
+define_specific_type_splines!(PPSplineDual, Dual);
+define_specific_type_splines!(PPSplineDual2, Dual2);
 
-/// Definitive [Dual2] type variant of a [PPSpline].
-#[pyclass(module = "rateslib.rs")]
-#[derive(Clone, Deserialize, Serialize)]
-pub struct PPSplineDual2 {
-    pub(crate) inner: PPSpline<Dual2>,
-}
 
 impl PartialEq for PPSplineF64 {
     /// Equality of `PPSplineF64` if

rust/splines/spline_py.rs

@@ -18,7 +18,7 @@ macro_rules! create_interface {
         impl $name {
             #[new]
             #[pyo3(signature = (k, t, c=None))]
-            fn new(k: usize, t: Vec<f64>, c: Option<Vec<$type>>) -> Self {
+            fn new_py(k: usize, t: Vec<f64>, c: Option<Vec<$type>>) -> Self {
                 Self {
                     inner: PPSpline::new(k, t, c),
                 }