Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

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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(cfe.getDiscountCurve(), listDfSensi);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
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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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    BillTransaction billBumped = BILL_TRA_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
    final double[] nodeTimesCre = new double[] {billBumped.getBillPurchased().getEndTime() };
    final double[] sensi = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[1], bumpedCurveName, nodeTimesCre, deltaShift, METHOD_TRANSACTION);
    final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
    for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
      final DoublesPair pairPv = sensiPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimesCre[loopnode], pairPv.getFirst(), 1E-8);
      AssertJUnit.assertEquals("Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
    }
    // Discounting curve sensitivity
    billBumped = BILL_TRA_DEFINITION.toDerivative(REFERENCE_DATE, bumpedCurveName, NAME_CURVES[1]);
    final double[] nodeTimesDsc = new double[] {billBumped.getBillPurchased().getSettlementTime() };
    final double[] sensiDsc = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[0], bumpedCurveName, nodeTimesDsc, deltaShift, METHOD_TRANSACTION);
    final List<DoublesPair> sensiDscPv = pvcsComputed.getSensitivities().get(NAME_CURVES[0]);
    for (int loopnode = 0; loopnode < sensiDsc.length; loopnode++) {
      final DoublesPair pairPv = sensiDscPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimesDsc[loopnode], pairPv.getFirst(), 1E-8);
      AssertJUnit.assertEquals("Bill Security: curve sensitivity", pairPv.second, sensiDsc[loopnode], deltaTolerancePrice);
    }
  }
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    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      sensi.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      sensi.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    return sensi;
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    final double[] dPvAmdRho = matrix.getTranspose(dPvAmdRhoMatrix).getData()[0];
    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      pvss.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      pvss.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    // Curve sensitivity
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    final BillSecurity billBumped = BILL_IAM_SEC_DEFINITION.toDerivative(REFERENCE_DATE, NAME_CURVES[0], bumpedCurveName);
    final double[] nodeTimes = new double[] {billBumped.getEndTime() };
    final double[] sensi = SensitivityFiniteDifference.curveSensitivity(billBumped, CURVE_BUNDLE, NAME_CURVES[1], bumpedCurveName, nodeTimes, deltaShift, METHOD_SECURITY);
    final List<DoublesPair> sensiPv = pvcsComputed.getSensitivities().get(NAME_CURVES[1]);
    for (int loopnode = 0; loopnode < sensi.length; loopnode++) {
      final DoublesPair pairPv = sensiPv.get(loopnode);
      assertEquals("Bill Security: curve sensitivity - Node " + loopnode, nodeTimes[loopnode], pairPv.getFirst(), 1E-8);
      AssertJUnit.assertEquals("Bill Security: curve sensitivity", pairPv.second, sensi[loopnode], deltaTolerancePrice);
    }
  }
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   * [3] the derivative w.r.t. to alpha, [4] the derivative w.r.t. to beta, [5] the derivative w.r.t. to rho, [6] the derivative w.r.t. to nu.
   */
  public double[] getVolatilityAdjoint(final double expiryTime, final double maturity, final double strike, final double forward) {
    ArgumentChecker.isTrue(_sabrFunction instanceof SABRHaganVolatilityFunction, "Adjoint volatility available only for Hagan formula");
    final SABRHaganVolatilityFunction sabrHaganFunction = (SABRHaganVolatilityFunction) _sabrFunction;
    final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
    final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
    final double[] result = sabrHaganFunction.getVolatilityAdjoint(option, forward, data);
    return result;
  }
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    final Map<String, List<DoublesPair>> result = new HashMap<>();
    for (final Map.Entry<String, List<DoublesPair>> entry : temp.entrySet()) {
      final List<DoublesPair> unadjusted = entry.getValue();
      final ArrayList<DoublesPair> adjusted = new ArrayList<>(unadjusted.size());
      for (final DoublesPair pair : unadjusted) {
        final DoublesPair newPair = new DoublesPair(pair.first, pair.second * Math.exp(-zSpread * pair.first));
        adjusted.add(newPair);
      }
      result.put(entry.getKey(), adjusted);
    }
    return result;
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    final Map<String, List<DoublesPair>> result = new HashMap<>();
    for (final Map.Entry<String, List<DoublesPair>> entry : temp.entrySet()) {
      final List<DoublesPair> unadjusted = entry.getValue();
      final ArrayList<DoublesPair> adjusted = new ArrayList<>(unadjusted.size());
      for (final DoublesPair pair : unadjusted) {
        final DoublesPair newPair = new DoublesPair(pair.first, -pair.second * Math.exp(-zSpread * pair.first) / dPricedZ);
        adjusted.add(newPair);
      }
      result.put(entry.getKey(), adjusted);
    }
    return result;
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