Package it.unimi.dsi.fastutil.doubles

Examples of it.unimi.dsi.fastutil.doubles.DoubleArrayList

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  /**
   * Sets the volatility parameters.
   * @param volatility The volatility parameters.
   */
  public void setVolatility(final double[] volatility) {
    _volatility = new DoubleArrayList(volatility);
  }
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    }
    for (int i = 0; i < nDeltas; i++) {
      final Number delta = deltaValues[i + 1];
      if (delta != null) {
        deltas[i] = delta.doubleValue() / 100.;
        final DoubleArrayList riskReversalList = new DoubleArrayList();
        final DoubleArrayList strangleList = new DoubleArrayList();
        for (int j = 0; j < nExpiries; j++) {
          final Double rr = fxVolatilitySurface.getVolatility(tenors[j], ObjectsPair.of(delta, FXVolQuoteType.RISK_REVERSAL));
          final Double s = fxVolatilitySurface.getVolatility(tenors[j], ObjectsPair.of(delta, FXVolQuoteType.BUTTERFLY));
          if (rr != null && s != null) {
            riskReversalList.add(rr);
            strangleList.add(s);
          } else {
            s_logger.info("Had a null value for tenor number " + j);
          }
        }
        riskReversals[i] = riskReversalList.toDoubleArray();
        strangle[i] = strangleList.toDoubleArray();
      }
    }
    final boolean isCallData = true; //TODO this shouldn't be hard-coded
    return new ForexSmileDeltaSurfaceDataBundle(forwardCurve, expiries, deltas, atms, riskReversals, strangle, isCallData);
  }
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      Double atm = fxVolatilitySurface.getVolatility(tenor, ObjectsPair.of(deltaValues[0], FXVolQuoteType.ATM));
      if (atm != null) {
        if (shiftMultiplier != 1) {
          atm = atm * shiftMultiplier;
        }
        final DoubleArrayList deltas = new DoubleArrayList();
        final DoubleArrayList riskReversals = new DoubleArrayList();
        final DoubleArrayList butterflies = new DoubleArrayList();
        for (int j = 0; j < nSmileValues; j++) {
          final Number delta = deltaValues[j + 1];
          if (delta != null) {
            Double rr = fxVolatilitySurface.getVolatility(tenor, ObjectsPair.of(delta, FXVolQuoteType.RISK_REVERSAL));
            Double butterfly = fxVolatilitySurface.getVolatility(tenor, ObjectsPair.of(delta, FXVolQuoteType.BUTTERFLY));
            if (rr != null && butterfly != null) {
              rr = rr * shiftMultiplier;
              butterfly = butterfly * shiftMultiplier;
              deltas.add(delta.doubleValue() / 100.);
              riskReversals.add(rr);
              butterflies.add(butterfly);
            }
          } else {
            s_logger.info("Had a null delta value for tenor {}", j);
          }
        }
        smile.add(new SmileDeltaParameters(t, atm, deltas.toDoubleArray(), riskReversals.toDoubleArray(), butterflies.toDoubleArray()));
      } else {
        s_logger.info("Could not get atm data for tenor {}", tenor);
      }
    }
    if (smile.size() == 0) {
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    }
    for (int i = 0; i < nDeltas; i++) {
      final Number delta = deltaValues[i + 1];
      if (delta != null) {
        deltas[i] = delta.doubleValue() / 100.;
        final DoubleArrayList riskReversalList = new DoubleArrayList();
        final DoubleArrayList strangleList = new DoubleArrayList();
        for (int j = 0; j < nExpiries; j++) {
          final Double rr = fxVolatilitySurface.getVolatility(tenors[j], ObjectsPair.of(delta, FXVolQuoteType.RISK_REVERSAL));
          final Double s = fxVolatilitySurface.getVolatility(tenors[j], ObjectsPair.of(delta, FXVolQuoteType.BUTTERFLY));
          if (rr != null && s != null) {
            riskReversalList.add(rr);
            strangleList.add(s);
          } else {
            s_logger.info("Had a null value for tenor number " + j);
          }
        }
        riskReversals[i] = riskReversalList.toDoubleArray();
        strangle[i] = strangleList.toDoubleArray();
      }
    }
    final boolean isCallData = true; //TODO this shouldn't be hard-coded
    return new ForexSmileDeltaSurfaceDataBundle(forwardCurve, expiries, deltas, atms, riskReversals, strangle, isCallData);
  }
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