Package com.opengamma.analytics.math.surface

Examples of com.opengamma.analytics.math.surface.InterpolatedDoublesSurface

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   * @param sabrFunction The SABR function.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1AlphaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift, 0.05 + shift,
        0.05 + shift, 0.05 + shift, 0.05 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift, 0.06 + shift}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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   * @param sabrFunction The SABR function.
   * @param shift The shift.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1BetaBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10},
        new double[] {0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05,
            0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.5 + shift, 0.5 + shift, 0.5 + shift,
        0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift,
        0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift, 0.5 + shift}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25,
        -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5, 10, 100, 0.0, 0.5, 1, 2, 5,
        10, 100}, new double[] {0, 0, 0, 0, 0, 0, 0, 1, 1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10, 10, 100, 100, 100, 100, 100, 100, 100}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50,
        0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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  /**
   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Rho data is bumped by the shift with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1RhoBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift, -0.25 + shift,
        -0.25 + shift, -0.25 + shift, -0.25 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift, 0.00 + shift}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30, 0.30}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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  /**
   * Create a set of SABR parameter surface (linearly interpolated) with a given SABR function. Nu data is bumped by 0.0001 with respect to SABR1.
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR1NuBumped(final VolatilityFunctionProvider<SABRFormulaData> sabrFunction, final double shift) {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06, 0.06}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0,
        1, 1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {-0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00},
        INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10, 0.0, 0.5, 1, 2, 5, 10}, new double[] {0, 0, 0, 0, 0, 0, 1,
        1, 1, 1, 1, 1, 10, 10, 10, 10, 10, 10}, new double[] {0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift, 0.50 + shift,
        0.50 + shift, 0.50 + shift, 0.50 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift, 0.30 + shift}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, sabrFunction);
  }
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   * Create a set of SABR parameter surface (linearly interpolated and flat extrapolated) with a given SABR function.
   * The expirations and tenors are not on a full grid (short expiries with shorter tenors).
   * @return The SABR parameters parameters.
   */
  public static SABRInterestRateParameters createSABR2() {
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.05,
        0.06, 0.07, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.07, 0.03, 0.04, 0.05, 0.06, 0.03, 0.04, 0.05, 0.06, 0.04, 0.05, 0.06}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.5, 0.5,
        0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0,
        10.0, 10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {-0.25,
        -0.25, -0.25, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, -0.10, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.00, 0.10, 0.10, 0.10}, INTERPOLATOR_2D);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.25, 0.25, 0.25, 0.50, 0.50, 0.50, 0.50, 1.0, 1.0, 1.0, 1.0, 1.0, 5.0, 5.0, 5.0, 5.0, 10.0, 10.0, 10.0,
        10.0, 20.0, 20.0, 20.0}, new double[] {1.0, 2.0, 5.0, 1.0, 2.0, 5.0, 10.0, 1.0, 2.0, 5.0, 10.0, 20, 2.0, 5.0, 10.0, 20.0, 2.0, 5.0, 10.0, 20.0, 5.0, 10.0, 20.0}, new double[] {0.50, 0.50,
        0.50, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.40, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35, 0.35}, INTERPOLATOR_2D);
    return new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT, new SABRHaganVolatilityFunction());
  }
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    // Yield curves
    final YieldCurveBundle CURVES = new YieldCurveBundle();
    CURVES.setCurve(FUNDING_CURVE_NAME, CURVE_5);
    CURVES.setCurve(FORWARD_CURVE_NAME, CURVE_4);
    // Parameter surfaces are expiry - maturity - parameter
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.05, 0.05, 0.05, 0.05, 0.05, 0.06, 0.06, 0.06, 0.06, 0.06 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface alphaVolatility = new VolatilitySurface(alphaSurface);
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.5,
        0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5, 0.5 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface betaVolatility = new VolatilitySurface(betaSurface);
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        -0.25, -0.25, -0.25, -0.25, -0.25, 0.00, 0.00, 0.00, 0.00, 0.00 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface rhoVolatility = new VolatilitySurface(rhoSurface);
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(new double[] {0.0, 0.5, 1, 2, 5, 0.0, 0.5, 1, 2, 5 }, new double[] {1, 1, 1, 1, 1, 5, 5, 5, 5, 5 }, new double[] {
        0.50,
        0.50, 0.50, 0.50, 0.50, 0.30, 0.30, 0.30, 0.30, 0.30 }, new GridInterpolator2D(LINEAR, LINEAR));
    //    final VolatilitySurface nuVolatility = new VolatilitySurface(nuSurface);
    final SABRInterestRateParameters sabrParameter = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, DAY_COUNT_STANDARD);
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
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  @Override
  public Object convertForDisplay(ResultConverterCache context, ValueSpecification valueSpec, LocalVolatilitySurfaceMoneyness value, ConversionMode mode) {
    Map<String, Object> result = new HashMap<String, Object>();
    if (value.getSurface() instanceof InterpolatedDoublesSurface) {
      InterpolatedDoublesSurface interpolated = (InterpolatedDoublesSurface) value.getSurface();
      result.put("xCount", interpolated.getXData().length);
      result.put("yCount", interpolated.getYData().length);
      if (mode == ConversionMode.FULL) {
        Double[] xs = interpolated.getXData();
        Double[] ys = interpolated.getYData();
        List<Double> uniqueX = new ArrayList<Double>();
        List<Double> uniqueY = new ArrayList<Double>();
        for (Double x : xs) {
          if (!uniqueX.contains(x)) {
            uniqueX.add(x);
          }
        }
        for (Double y : ys) {
          if (!uniqueY.contains(y)) {
            uniqueY.add(y);
          }
        }
        Collections.sort(uniqueX);
        Collections.sort(uniqueY);     
        Object[] xLabels = new Object[uniqueX.size()];
        Object[] yLabels = new Object[uniqueY.size()];
        double[][] surface = new double[xs.length][ys.length];
        boolean[][] missingValues = new boolean[xs.length][ys.length];
        for (int i = 0; i < uniqueX.size(); i++) {
          xLabels[i] = uniqueX.get(i).toString();
          for (int j = 0; j < uniqueY.size(); j++) {
            if (i == 0) {
              yLabels[j] = uniqueY.get(j).toString();
            }
            try {
              surface[i][j] = interpolated.getZValue(uniqueX.get(i), uniqueY.get(i));
            } catch (MathException e) {
              surface[i][j] = Double.MAX_VALUE;
              missingValues[i][j] = true;
            }
          }
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  @Override
  public Object convertForDisplay(ResultConverterCache context, ValueSpecification valueSpec, BlackVolatilitySurfaceMoneyness value, ConversionMode mode) {
    Map<String, Object> result = new HashMap<String, Object>();
    if (value.getSurface() instanceof InterpolatedDoublesSurface) {
      InterpolatedDoublesSurface interpolated = (InterpolatedDoublesSurface) value.getSurface();
      result.put("xCount", interpolated.getXData().length);
      result.put("yCount", interpolated.getYData().length);
      if (mode == ConversionMode.FULL) {
        Double[] xs = interpolated.getXData();
        Double[] ys = interpolated.getYData();
        List<Double> uniqueX = new ArrayList<Double>();
        List<Double> uniqueY = new ArrayList<Double>();
        for (Double x : xs) {
          if (!uniqueX.contains(x)) {
            uniqueX.add(x);
          }
        }
        for (Double y : ys) {
          if (!uniqueY.contains(y)) {
            uniqueY.add(y);
          }
        }
        Collections.sort(uniqueX);
        Collections.sort(uniqueY);     
        Object[] xLabels = new Object[uniqueX.size()];
        Object[] yLabels = new Object[uniqueY.size()];
        double[][] surface = new double[xs.length][ys.length];
        boolean[][] missingValues = new boolean[xs.length][ys.length];
        for (int i = 0; i < uniqueX.size(); i++) {
          xLabels[i] = LABEL_FORMAT.format(uniqueX.get(i));
          for (int j = 0; j < uniqueY.size(); j++) {
            if (i == 0) {
              yLabels[j] = LABEL_FORMAT.format(uniqueY.get(j));
            }
            try {
              surface[i][j] = interpolated.getZValue(uniqueX.get(i), uniqueY.get(i));
            } catch (MathException e) {
              surface[i][j] = Double.MAX_VALUE;
              missingValues[i][j] = true;
            }
          }
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   * Create the same surface as createBlackSwaptionEUR6() but with a given parallel shift.
   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
View Full Code Here
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