tf_quant_finance.math.piecewise.find_interval_index

Last updated: 2023-03-16.

tf_quant_finance.math.piecewise.find_interval_index#

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Function to find the index of the interval where query points lies.

tf_quant_finance.math.piecewise.find_interval_index(
    query_xs, interval_lower_xs, last_interval_is_closed=False, dtype=None,
    name=None
)

Given a list of adjacent half-open intervals [x_0, x_1), [x_1, x_2), …, [x_{n-1}, x_n), [x_n, inf), described by a list [x_0, x_1, …, x_{n-1}, x_n]. Return the index where the input query points lie. If x >= x_n, n is returned, and if x < x_0, -1 is returned. If last_interval_is_closed is set to True, the last interval [x_{n-1}, x_n] is interpreted as closed (including x_n).

Example#

interval_lower_xs = [0.25, 0.5, 1.0, 2.0, 3.0]
query_xs = [0.25, 3.0, 5.0, 0.0, 0.5, 0.8]
result = find_interval_index(query_xs, interval_lower_xs)
# result == [0, 4, 4, -1, 1, 1]

Args:#

  • query_xs: Rank 1 real Tensor of any size, the list of x coordinates for which the interval index is to be found. The values must be strictly increasing.

  • interval_lower_xs: Rank 1 Tensor of the same shape and dtype as query_xs. The values x_0, …, x_n that define the interval starts.

  • last_interval_is_closed: If set to True, the last interval is interpreted as closed.

  • dtype: Optional tf.Dtype. If supplied, the dtype for query_xs and interval_lower_xs. Default value: None which maps to the default dtype inferred from query_xs.

  • name: Optional name of the operation.

Returns:#

A tensor that matches the shape of query_xs with dtype=int32 containing the indices of the intervals containing query points. -1 means the query point lies before all intervals and n-1 means that the point lies in the last half-open interval (if last_interval_is_closed is False) or that the point lies to the right of all intervals (if last_interval_is_closed is True).

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