Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
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      cfaInitBar[loopcf] = cfaBar[indCFDate[loopcf] - indStart];
    }

    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(cft[loopcf], -cft[loopcf] * dfLMM[loopcf] * dfLMMBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurves.getName(ccy), listDfSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
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    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
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    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensiSABR.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensiSABR.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensiSABR.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }

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      _nbFixedPeriod = swaption.getUnderlyingSwap().getFixedLeg().getPayments().length;
      _nbFixedPaymentYear = (int) Math.round(1.0 / swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getPaymentYearFraction());
      _timeToExpiry = swaption.getTimeToExpiry();
      final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
      _maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
      final DoublesPair expiryMaturity = new DoublesPair(_timeToExpiry, _maturity);
      final double alpha = sabrParameter.getAlpha(expiryMaturity);
      final double beta = sabrParameter.getBeta(expiryMaturity);
      final double rho = sabrParameter.getRho(expiryMaturity);
      final double nu = sabrParameter.getNu(expiryMaturity);
      _sabrData = new SABRFormulaData(alpha, beta, rho, nu);
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    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      discountedCashFlowBar[loopcf] = ncdf[loopcf] * pvBar;
      dfBar[loopcf] = cfe.getNthPayment(loopcf).getAmount() * discountedCashFlowBar[loopcf];
      cfeAmountBar[loopcf] = df[loopcf] * discountedCashFlowBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(hullWhite.getMulticurveProvider().getName(ccy), listDfSensi);

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    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, curveBlack.getMulticurveProvider());
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double discountFactorSettle = curveBlack.getMulticurveProvider().getDiscountFactor(swaption.getCurrency(), swaption.getSettlementTime());
    final DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), swaption.getMaturityTime());
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
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    final double[] dPvdTheta = dPvdThetaMat.getData()[0];

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
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