Package it.unimi.dsi.fastutil.doubles

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

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    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().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_CMS_SPREAD);
    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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    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().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_CMS_SPREAD);
    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_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().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_CMS_SPREAD_EXTRAPOLATION);
    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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    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().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_CMS_SPREAD_EXTRAPOLATION);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiDiscMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvDisc.get(loopnode);
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    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedForward, sabrBundleCurveUp, curvesUpName[1], bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsCap.getSensitivities().get(curvesUpName[1]);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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    }
    for (int loopcpn = 0; loopcpn < CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_CAP_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(capBumpedDisc, sabrBundleCurveUp, curvesUpName[0], bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvDisc = pvcsCap.getSensitivities().get(curvesUpName[0]);
    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_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());
      forwardTime.add(cpn.getFixingPeriodEndTime());
    }
    final double[] nodeTimesForward = forwardTime.toDoubleArray();
    final double[] sensiForwardMethod = SensitivityFiniteDifference.curveSensitivity(floorBumpedForward, SABR_BUNDLE, FORWARD_CURVE_NAME, bumpedCurveName, nodeTimesForward, deltaShift,
        METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvForward = pvcsFloor.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int loopnode = 0; loopnode < sensiForwardMethod.length; loopnode++) {
      final DoublesPair pairPv = sensiPvForward.get(loopnode);
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    }
    for (int loopcpn = 0; loopcpn < CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) CMS_FLOOR_SPREAD.getUnderlyingSwap2().getSecondLeg().getNthPayment(loopcpn);
      discTime.add(cpn.getPaymentTime());
    }
    final double[] nodeTimesDisc = discTime.toDoubleArray();
    final double[] sensiDiscMethod = SensitivityFiniteDifference.curveSensitivity(floorBumpedDisc, SABR_BUNDLE, FUNDING_CURVE_NAME, bumpedCurveName, nodeTimesDisc, deltaShift, METHOD_CMS_SPREAD);
    final List<DoublesPair> sensiPvDisc = pvcsFloor.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_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();
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    final DoubleAVLTreeSet discTime = new DoubleAVLTreeSet();
    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> fdSense = FDCurveSensitivityCalculator.curveSensitvityFDCalculator(SWAPTION_LONG_REC, METHOD_BLACK, CURVES_BLACK, CURVES_NAME[0], nodeTimesDisc, TOLERANCE_DELTA);
    assertSensitivityEquals(sensiPvDisc, fdSense, TOLERANCE_DELTA);
  }
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