Package it.unimi.dsi.fastutil.doubles

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

108
109
110
111
112
113
114
115
116
117
118
    }
    final ValueProperties properties = Iterables.getOnlyElement(desiredValues).getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    final ISDAYieldCurveAndSpreadsProvider data = new ISDAYieldCurveAndSpreadsProvider(calibrationTimes.toArray(new ZonedDateTime[calibrationTimes.size()]),
        marketSpreads.toDoubleArray(), yieldCurve);
    final HazardRateCurve curve = CALCULATOR.calibrateHazardRateCurve(cdsOption.getUnderlyingCDS(), data, valuationTime);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.HAZARD_RATE_CURVE, target.toSpecification(), properties);
    return Collections.singleton(new ComputedValue(spec, curve));
  }
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
          }
        } else {
          s_logger.info("Had a null value for tenor number " + j);
        }
      }
      smile[i] = new SmileDeltaParameters(t, deltas.toDoubleArray(), volatilities.toDoubleArray());
    }
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = new SmileDeltaTermStructureParametersStrikeInterpolation(smile, interpolator);
    final ValueProperties.Builder resultProperties = createValueProperties()
        .with(ValuePropertyNames.SURFACE, surfaceName)
View Full Code Here
176
177
178
179
180
181
182
183
184
185
186
            secondVolatility.add((Double) secondVolatilityObject);
            volatilityTime.add(t);
          }
        }
        final G2ppPiecewiseConstantParameters g2ppParameters = new G2ppPiecewiseConstantParameters(new double[] {firstMeanReversion, secondMeanReversion},
            new double[][] {firstVolatility.toDoubleArray(), secondVolatility.toDoubleArray()}, volatilityTime.toDoubleArray(), correlation);
        return Collections.singleton(new ComputedValue(result, g2ppParameters));
      }

      @Override
      public ComputationTargetType getTargetType() {
View Full Code Here
133
134
135
136
137
138
139
140
141
142
143
    }
    final ValueProperties properties = desiredValues.iterator().next().getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return getComputedValue(definition, yieldCurve, volatility, calibrationTimes.toArray(new ZonedDateTime[calibrationTimes.size()]),
        marketSpreads.toDoubleArray(), hazardRateCurve, valuationTime, target, properties);
  }

  @Override
  public ComputationTargetType getTargetType() {
    return FinancialSecurityTypes.CREDIT_DEFAULT_SWAP_OPTION_SECURITY;
View Full Code Here
183
184
185
186
187
188
189
190
191
192
193
          previousStrip = strip;
          nInstruments++;
        }
      }
      nodesPerCurve.put(curveName, nInstruments);
      curveNodes.put(curveName, nodeTimes.toDoubleArray());
      interpolators.put(curveName, interpolator);
    }
    final double absoluteTolerance = Double.parseDouble(absoluteToleranceName);
    final double relativeTolerance = Double.parseDouble(relativeToleranceName);
    final int iterations = Integer.parseInt(iterationsName);
View Full Code Here
270
271
272
273
274
275
276
277
278
279
280
          final DoubleArrayList nodePoints = new DoubleArrayList(fixedDates.size()); //TODO what about equal node points?
          for (final LocalDate fixedDate : fixedDates) {
            nodePoints.add(TimeCalculator.getTimeBetween(valuationDate, fixedDate)); //TODO what to do if the fixed date is before the valuation date?
          }
          final double anchor = nodePoints.get(0); //TODO should the anchor go into the definition?
          return new GeneratorCurveYieldInterpolatedAnchorNode(nodePoints.toDoubleArray(), anchor, interpolator);
        }
        return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
      }
      throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
    }
View Full Code Here
253
254
255
256
257
258
259
260
261
262
263
    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 DoubleMatrix2D jacobianMatrix = jacobianCalculator.evaluate(new DoubleMatrix1D(fittedYields));
    final YieldCurve curve = YieldCurve.from(InterpolatedDoublesCurve.from(nodeTimes.toDoubleArray(), fittedYields, interpolator));
    final ComputationTargetSpecification targetSpec = target.toSpecification();
    final ValueProperties curveProperties = getCurveProperties(curveCalculationConfigName, domesticCurveName, absoluteToleranceName, relativeToleranceName,
        iterationsName, decompositionName, useFiniteDifferenceName, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
View Full Code Here
156
157
158
159
160
161
162
163
164
165
166
          } 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);
  }
View Full Code Here
101
102
103
104
105
106
107
108
109
110
111
            }
          } 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) {
View Full Code Here
144
145
146
147
148
149
150
151
152
153
154
          } 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);
  }
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.