Package it.unimi.dsi.fastutil.doubles

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

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          k.add(strike);
          sigma.add(vol);
        }
      }
    }
    final Surface<Double, Double, Double> surface = InterpolatedDoublesSurface.from(t.toDoubleArray(), k.toDoubleArray(), sigma.toDoubleArray(), _interpolator);
    final VolatilitySurface volatilitySurface = new VolatilitySurface(surface);
    return Collections.singleton(new ComputedValue(_result, volatilitySurface));
  }

  @Override
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            previousStrip = strip;
            nInstruments++;
          }
        }
        nodesPerCurve.put(curveName, nInstruments);
        curveNodes.put(curveName, nodeTimes.toDoubleArray());
        interpolators.put(curveName, interpolator);
      }
      if (marketValues.size() != totalStrips) {
        s_logger.info("Could not get market values for {}", valuationDate);
        valuationDate = valuationDate.plusDays(1);
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        final ValueSpecification futurePriceCurveResult = new ValueSpecification(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
            target.toSpecification(),
            createValueProperties()
            .with(ValuePropertyNames.CURVE, curveName)
            .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType()).get());
        final NodalDoublesCurve curve = NodalDoublesCurve.from(xList.toDoubleArray(), prices.toDoubleArray());
        final ComputedValue futurePriceCurveResultValue = new ComputedValue(futurePriceCurveResult, curve);
        return Sets.newHashSet(futurePriceCurveResultValue);
      }

    };
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      final MultipleYieldCurveFinderDataBundle data = new MultipleYieldCurveFinderDataBundle(derivatives, marketValues.toDoubleArray(), knownCurve, curveNodes,
          interpolators, useFiniteDifference, fxMatrix);
      final NewtonVectorRootFinder rootFinder = new BroydenVectorRootFinder(absoluteTolerance, relativeTolerance, iterations, decomposition);
      final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new MultipleYieldCurveFinderFunction(data, PAR_RATE_CALCULATOR);
      final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new MultipleYieldCurveFinderJacobian(data, PAR_RATE_SENSITIVITY_CALCULATOR);
      final double[] fittedYields = rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initialRatesGuess.toDoubleArray())).getData();
      final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));

      domesticCurves.put(valuationDate, curve);
    }
    final Set<ComputedValue> result = new HashSet<>();
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        final ValueSpecification futurePriceCurveResult = new ValueSpecification(ValueRequirementNames.FUTURE_PRICE_CURVE_DATA,
            target.toSpecification(),
            createValueProperties()
                .with(ValuePropertyNames.CURVE, curveName)
                .with(InstrumentTypeProperties.PROPERTY_SURFACE_INSTRUMENT_TYPE, getInstrumentType()).get());
        final NodalDoublesCurve curve = NodalDoublesCurve.from(xList.toDoubleArray(), prices.toDoubleArray());
        final ComputedValue futurePriceCurveResultValue = new ComputedValue(futurePriceCurveResult, curve);
        return Sets.newHashSet(futurePriceCurveResultValue);
      }

    };
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        } else {
          s_logger.error("Value was null when getting required input data " + factor.getExposureExternalId());
        }
      }
    }
    final StringLabelledMatrix1D labelledMatrix = new StringLabelledMatrix1D(indices.toArray(new String[] {}), labels.toArray(), values.toDoubleArray());
    final ValueSpecification valueSpecification = new ValueSpecification(CREDIT_SENSITIVITIES_REQUIREMENT, target.toSpecification(), createCurrencyValueProperties(target).get());
    return Collections.singleton(new ComputedValue(valueSpecification, labelledMatrix));
  }

  private List<FactorExposureData> decodeSensitivities(final SecuritySource secSource, final RawSecurity rawSecurity) {
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        tList.add(DateUtils.getDifferenceInYears(now, now.plus(tenor.getPeriod())));
        fxList.add(fxForward);
      }
      final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName,
          leftExtrapolatorName, rightExtrapolatorName);
      return InterpolatedDoublesCurve.from(tList.toDoubleArray(), fxList.toDoubleArray(), interpolator);
    }
  }
}
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      }
      if (availableVols.size() == 0) {
        throw new OpenGammaRuntimeException("No volatility values found for expiry " + expiries[i]);
      }
      fullStrikes[i] = availableStrikes.toDoubleArray();
      fullValues[i] = availableVols.toDoubleArray();
    }
    return Pair.of(fullStrikes, fullValues);
  }

  public static Triple<double[], double[][], double[][]> getStrikesAndValues(final double[] expiries, final double[] strikes, final VolatilitySurfaceData<Object, Object> volatilitySurface,
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      if (availableVols.size() == 0) {
        throw new OpenGammaRuntimeException("No volatility values found for expiry " + expiries[i]);
      } else if (availableVols.size() >= minNumberOfStrikes) {
        availableExpiries.add(expiries[i]);
        fullStrikes.add(availableStrikes.toDoubleArray());
        fullValues.add(availableVols.toDoubleArray());
      }
    }
    return new Triple<>(availableExpiries.toDoubleArray(), fullStrikes.toArray(new double[0][]), fullValues.toArray(new double[0][]));
  }
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          availableStrikes.add((Double) strikeValues[j]);
          availableVols.add(vol);
        }
      }
      strikes[i] = availableStrikes.toDoubleArray();
      values[i] = availableVols.toDoubleArray();
    }
    return new Triple<>(getArrayOfDoubles(expiries), strikes, values);
  }

  public static SmileSurfaceDataBundle getDataFromStandardQuotes(final ForwardCurve forwardCurve, final VolatilitySurfaceData<Object, Object> volatilitySurface) {
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