Package it.unimi.dsi.fastutil.doubles

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

315
316
317
318
319
320
321
322
323
324
325
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    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);
    assertEquals("Sensitivity finite difference method: number of node", SWAP_TENOR_YEAR * 4, sensiDiscMethod.length);
    final List<DoublesPair> sensiPvDisc = pvsSwaption.getSensitivities().get(CURVES_NAME[0]);
    final List<DoublesPair> fdSense = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_PAYER_LONG, METHOD_HW, BUNDLE_HW, CURVES_NAME[0], nodeTimesDisc, 1e-8);

View Full Code Here
121
122
123
124
125
126
127
128
129
130
131
    for (int loopcpn = 0; loopcpn < SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final List<DoublesPair> sensiPvFwd = pvcsSwaption.getSensitivities().get(CURVES_NAME[2]);
    final List<DoublesPair> fdSenseFwd = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[2], nodeTimesForward, TOLERANCE_DELTA);
    assertSensitivityEquals(sensiPvFwd, fdSenseFwd, TOLERANCE_DELTA);
    // 2. Discounting curve sensitivity
    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
View Full Code Here
132
133
134
135
136
137
138
139
140
141
142
    discTime.add(SWAPTION_LONG_REC.getSettlementTime());
    for (int loopcpn = 0; loopcpn < SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final List<DoublesPair> sensiPvDisc = pvcsSwaption.getSensitivities().get(CURVES_NAME[0]);
    final List<DoublesPair> fdSenseDsc = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[0], nodeTimesDisc, TOLERANCE_DELTA);
    assertSensitivityEquals(sensiPvDisc, fdSenseDsc, TOLERANCE_DELTA);
  }
View Full Code Here
254
255
256
257
258
259
260
261
262
263
264
    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_LMM, CURVES_NAME[1], bumpedCurveName, nodeTimesForward, deltaShift, METHOD_LMM);
    final List<DoublesPair> sensiPvForward = pvsSwaption.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
      assertEquals("Sensitivity swaption pv to forward curve: Node " + loopnode, nodeTimesForward[loopnode], pairPv.getFirst(), 1E-8);
View Full Code Here
270
271
272
273
274
275
276
277
278
279
280
    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_LMM, CURVES_NAME[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_LMM);
    final List<DoublesPair> sensiPvDisc = pvsSwaption.getSensitivities().get(CURVES_NAME[0]);
    assertEquals("Sensitivity finite difference method: number of node", SWAP_TENOR_YEAR * 4 + 1, sensiPvDisc.size());
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. 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.