Package com.opengamma.analytics.math.surface

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

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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final double[] kappa = kappaList.toDoubleArray();
    final double[] theta = thetaList.toDoubleArray();
    final double[] vol0 = vol0List.toDoubleArray();
    final double[] omega = omegaList.toDoubleArray();
    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface kappaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, kappa, INTERPOLATOR, "Heston kappa surface");
    final InterpolatedDoublesSurface thetaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, theta, INTERPOLATOR, "Heston theta surface");
    final InterpolatedDoublesSurface vol0Surface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, vol0, INTERPOLATOR, "Heston vol0 surface");
    final InterpolatedDoublesSurface omegaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, omega, INTERPOLATOR, "Heston omega surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, INTERPOLATOR, "Heston rho surface");
    final HestonFittedSurfaces fittedSurfaces = new HestonFittedSurfaces(kappaSurface, thetaSurface, vol0Surface, omegaSurface, rhoSurface, inverseJacobians, currency);
    final ValueProperties resultProperties = createValueProperties()
        .with(ValuePropertyNames.CURRENCY, currency.getCode())
        .with(ValuePropertyNames.SURFACE, surfaceName)
        .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, InstrumentTypeProperties.IR_FUTURE_OPTION).get();
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final double[] futureDelay = futureDelayList.toDoubleArray();
    final double[] alpha = alphaList.toDoubleArray();
    final double[] beta = betaList.toDoubleArray();
    final double[] nu = nuList.toDoubleArray();
    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, alpha, interpolator, "SABR alpha surface");
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, beta, interpolator, "SABR beta surface");
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, nu, interpolator, "SABR nu surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, interpolator, "SABR rho surface");
    final SABRFittedSurfaces fittedSurfaces = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    final ValueProperties resultProperties = desiredValue.getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    final ValueSpecification resultSpecification = new ValueSpecification(ValueRequirementNames.SABR_SURFACES, target.toSpecification(), resultProperties);
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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      }
    }
    if (!(surface instanceof InterpolatedDoublesSurface)) {
      throw new OpenGammaRuntimeException("Can only handle interpolated surfaces");
    }
    final InterpolatedDoublesSurface interpolatedSurface = (InterpolatedDoublesSurface) surface;
    final double[] x = interpolatedSurface.getXDataAsPrimitive();
    final double[] y = interpolatedSurface.getYDataAsPrimitive();
    final int n = x.length;
    final double[] z = new double[n];
    for (int i = 0; i < n; i++) {
      z[i] = impliedVolatility;
    }
    return InterpolatedDoublesSurface.from(x, y, z, interpolatedSurface.getInterpolator());
  }
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    final double expiry = alphaSensitivity.getXKeys()[0];
    final double maturity = alphaSensitivity.getYKeys()[0];
    final double alpha = alphaSensitivity.getValues()[0][0];
    final double nu = nuSensitivity.getValues()[0][0];
    final double rho = rhoSensitivity.getValues()[0][0];
    final InterpolatedDoublesSurface alphaSurface = data.getSABRParameter().getAlphaSurface();
    final Map<Double, Interpolator1DDataBundle> alphaDataBundle = (Map<Double, Interpolator1DDataBundle>) alphaSurface.getInterpolatorData();
    final InterpolatedDoublesSurface nuSurface = data.getSABRParameter().getNuSurface();
    final Map<Double, Interpolator1DDataBundle> nuDataBundle = (Map<Double, Interpolator1DDataBundle>) nuSurface.getInterpolatorData();
    final InterpolatedDoublesSurface rhoSurface = data.getSABRParameter().getRhoSurface();
    final Map<Double, Interpolator1DDataBundle> rhoDataBundle = (Map<Double, Interpolator1DDataBundle>) rhoSurface.getInterpolatorData();
    final DoublesPair expiryMaturity = DoublesPair.of(expiry, maturity);
    final String xInterpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.X_INTERPOLATOR_NAME);
    final String xLeftExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.LEFT_X_EXTRAPOLATOR_NAME);
    final String xRightExtrapolatorName = desiredValue.getConstraint(InterpolatedDataProperties.RIGHT_X_EXTRAPOLATOR_NAME);
    final String yInterpolatorName = desiredValue.getConstraint(InterpolatedDataProperties.Y_INTERPOLATOR_NAME);
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    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final double[] swaptionExpiries = swaptionExpiriesList.toDoubleArray();
    final double[] alpha = alphaList.toDoubleArray();
    final double[] beta = betaList.toDoubleArray();
    final double[] nu = nuList.toDoubleArray();
    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, alpha, INTERPOLATOR, "SABR alpha surface");
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, beta, INTERPOLATOR, "SABR beta surface");
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, nu, INTERPOLATOR, "SABR nu surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, rho, INTERPOLATOR, "SABR rho surface");
    final SABRFittedSurfaces fittedSurfaces = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    final ValueProperties properties = getResultProperties(currency, cubeName);
    final ValueSpecification sabrSurfacesSpecification = new ValueSpecification(ValueRequirementNames.SABR_SURFACES, target.toSpecification(), properties);
    final ValueSpecification smileIdsSpecification = new ValueSpecification(ValueRequirementNames.VOLATILITY_CUBE_FITTED_POINTS, target.toSpecification(), properties);
    return Sets.newHashSet(new ComputedValue(sabrSurfacesSpecification, fittedSurfaces), new ComputedValue(smileIdsSpecification, new FittedSmileDataPoints(fittedSmileIds, fittedRelativeStrikes)));
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