Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

84
85
86
87
88
89
90
91
92
93
94
95
96
97
    final double pvBar = 1.0;
    final double discountFactorBar = coupon.getFactor() * (estimatedIndex / coupon.getIndexStartValue() * convextityAdjustment - (coupon.payNotional() ? 0.0 : 1.0)) * coupon.getNotional() * pvBar;
    final double estimatedIndexBar = coupon.getFactor() / coupon.getIndexStartValue() * convextityAdjustment * discountFactor * coupon.getNotional() * pvBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexBar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
View Full Code Here
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
    final double estimatedIndexBar = coupon.getFactor() / coupon.getIndexStartValue() * convexityAdjustment * discountFactor * coupon.getNotional() * pvBar;
    final double estimatedIndexMonth1Bar = (1 - coupon.getWeight()) * estimatedIndexBar;
    final double estimatedIndexMonth0Bar = coupon.getWeight() * estimatedIndexBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexMonth0Bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexMonth1Bar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
View Full Code Here
241
242
243
244
245
246
247
248
249
250
251
    final InterestRateCurveSensitivity cmsCoupon1CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon1, sabrData);
    final InterestRateCurveSensitivity cmsCoupon2CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon2, sabrData);
    final InterestRateCurveSensitivity cmsCap1CurveSensitivity = _methodCmsCap.presentValueCurveSensitivity(cmsCap1, sabrData);
    final InterestRateCurveSensitivity cmsCap2CurveSensitivity = _methodCmsCap.presentValueCurveSensitivity(cmsCap2, sabrData);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cmsSpread.getPaymentTime(), -cmsSpread.getPaymentTime() * discountFactorPayment));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(cmsSpread.getFundingCurveName(), list);
    final InterestRateCurveSensitivity dfCurveSensitivity = new InterestRateCurveSensitivity(resultMap);
    InterestRateCurveSensitivity result;
    result = dfCurveSensitivity.multipliedBy(discountFactorPaymentBar);
View Full Code Here
126
127
128
129
130
131
132
133
134
    final double dfEndBar = pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
    final double pv2Bar = -spreadBar / (notional1 * dfEnd);
    final MultipleCurrencyInterestRateCurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, curves);
    final InterestRateCurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, curves.getFxRates()).getSensitivity(ccy2);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
    final InterestRateCurveSensitivity dfEndDr = InterestRateCurveSensitivity.of(name2, list);
    return pv2Dr.multipliedBy(pv2Bar).plus(dfEndDr);
  }
View Full Code Here
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
    final double estimatedIndexEndMonth0bar = coupon.getWeightEnd() * estimatedIndexEndBar;
    final double estimatedIndexStartMonth1bar = (1 - coupon.getWeightStart()) * estimatedIndexStartBar;
    final double estimatedIndexStartMonth0bar = coupon.getWeightStart() * estimatedIndexStartBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexEndMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexEndMonth1bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[0], estimatedIndexStartMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[1], estimatedIndexStartMonth1bar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
View Full Code Here
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
    final double discountFactorBar = (estimatedIndexEnd / estimatedIndexStart - (coupon.payNotional() ? 0.0 : 1.0) + coupon.getFactor()) * coupon.getNotional() * pvBar;
    final double estimatedIndexEndBar = 1.0 / estimatedIndexStart * discountFactor * coupon.getNotional() * pvBar;
    final double estimatedIndexStartBar = -estimatedIndexEnd / (estimatedIndexStart * estimatedIndexStart) * discountFactor * coupon.getNotional() * pvBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexEndBar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime(), estimatedIndexStartBar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
View Full Code Here
97
98
99
100
101
102
103
104
105
106
107
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final double[] volatilityAdjoint = sabr.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
 
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
    final double df = sabr.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final double[] volatilityAdjoint = sabr.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final DoublesPair expiryMaturity = new DoublesPair(cap.getFixingTime(), maturity);
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    sensi.addAlpha(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, cap.getNotional() * cap.getPaymentYearFraction() * df * bsAdjoint[2] * volatilityAdjoint[6]);
 
View Full Code Here
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
    final double estimatedIndexEndMonth0bar = coupon.getWeightEnd() * estimatedIndexEndBar;
    final double estimatedIndexStartMonth1bar = (1 - coupon.getWeightStart()) * estimatedIndexStartBar;
    final double estimatedIndexStartMonth0bar = coupon.getWeightStart() * estimatedIndexStartBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexEndMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexEndMonth1bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[0], estimatedIndexStartMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[1], estimatedIndexStartMonth1bar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
View Full Code Here
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getZeroCouponConvexityAdjustment(cap, black);
    final double forward = indexEndValue / cap.getIndexStartValue() * convexityAdjustment;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeight() / cap.getIndexStartValue() * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue() * convexityAdjustment));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
 
View Full Code Here
TOP

Related Classes of com.opengamma.util.tuple.DoublesPair

  • com.opengamma.analytics.financial.forex.method.ForexNonDeliverableOptionBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackTermStructureMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaVannaVolgaMethod
  • com.opengamma.analytics.financial.forex.method.PresentValueVolatilitySensitivityDataBundleTest
  • com.opengamma.analytics.financial.forex.provider.ForexNonDeliverableOptionBlackSmileMethod
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.