Package it.unimi.dsi.fastutil.doubles

Examples of it.unimi.dsi.fastutil.doubles.DoubleAVLTreeSet.toDoubleArray()

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    for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(swptBumpedForward, BUNDLE_HW, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_HW_APPROXIMATION);
    final List<DoublesPair> sensiPvForward = pvsSwaption.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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    discTime.add(SWAPTION_PAYER_LONG.getSettlementTime());
    for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(swptBumpedDisc, BUNDLE_HW, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_HW_APPROXIMATION);
    assertEquals("Sensitivity finite difference method: number of node", 11, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsSwaption.getSensitivities().get(CURVES_NAME[0]);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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    for (int loopp = 0; loopp < cpnON.getFixingPeriodStartTimes().length; loopp++) {
      discTime.add(cpnON.getFixingPeriodEndTimes()[loopp]);
    }
    final CouponFixedAccruedCompounding cpnF = SWAPTION_LONG_REC.getUnderlyingSwap().getFirstLeg().getNthPayment(0);
    discTime.add(cpnF.getPaymentTime());
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
    final List<DoublesPair> fdSense = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[0], nodeTimesDisc, 0.0);
    assertSensitivityEquals(sensiPvDisc, fdSense, TOLERANCE_DELTA);
  }
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    final DoubleAVLTreeSet dscTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final Coupon cpn = ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      dscTime.add(cpn.getPaymentTime());
    }
    final double[] timesDsc = dscTime.toDoubleArray();
    final List<DoublesPair> pvcsFDDscMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[0], timesDsc, 1.0E-2);
    final List<DoublesPair> pvcsADDscMC = pvcsMC.getSensitivities().get(CURVES_NAMES[0]);
    assertSensitivityEquals(pvcsFDDscMC, pvcsADDscMC, deltaTolerancePrice);
    // Fwd curve
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
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    for (int loopcpn = 1; loopcpn < ANNUITY_RATCHET_FIXED.getNumberOfPayments(); loopcpn++) {
      final CouponIborRatchet cpn = (CouponIborRatchet) ANNUITY_RATCHET_FIXED.getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] timesFwd = forwardTime.toDoubleArray();
    final List<DoublesPair> pvcsFDFwdMC = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(ANNUITY_RATCHET_FIXED, calculator, BUNDLE_HW, CURVES_NAMES[1], timesFwd, 1.0E-2);
    final List<DoublesPair> pvcsADFwdMC = pvcsMC.getSensitivities().get(CURVES_NAMES[1]);
    assertSensitivityEquals(pvcsFDFwdMC, pvcsADFwdMC, deltaTolerancePrice);
  }
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    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_CAP.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift, METHOD);
    assertEquals("Sensitivity finite difference method: number of node", nodeTimesForward.length, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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    discTime.add(capBumpedDisc.getPaymentTime());
    for (int loopcpn = 0; loopcpn < CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
      assertEquals("Sensitivity CMS cap/floor pv to forward curve: Node " + loopnode, nodeTimesDisc[loopnode], pairPv.getFirst(), 1E-8);
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    for (int loopcpn = 0; loopcpn < SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_PAYER_LONG.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(swptBumpedForward, BUNDLE_HW, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD_HW);
    //    assertEquals("Sensitivity finite difference method: number of node", 2, sensiForwardMethod.length);
    final List<DoublesPair> sensiPvForward = pvsSwaption.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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