Package com.opengamma.analytics.financial.model.interestrate.definition

Examples of com.opengamma.analytics.financial.model.interestrate.definition.LiborMarketModelDisplacedDiffusionParameters

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  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = parameters.getNbFactor();
    final double[][] volLMM = parameters.getVolatility();
    final double[] timeLMM = parameters.getIborTime();
    // 3. Link cfe dates to lmm
    final int[] indCFDate = new int[nbCFInit];
    int indStart = nbCFInit - 1;
    int indEnd = 0;
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      indCFDate[loopcf] = Arrays.binarySearch(timeLMM, cftInit[loopcf]);
      if (indCFDate[loopcf] < 0) {
        if (timeLMM[-indCFDate[loopcf] - 1] - cftInit[loopcf] < TIME_TOLERANCE) {
          indCFDate[loopcf] = -indCFDate[loopcf] - 1;
        } else {
          if (cftInit[loopcf] - timeLMM[-indCFDate[loopcf] - 2] < TIME_TOLERANCE) {
            indCFDate[loopcf] = -indCFDate[loopcf] - 2;
          } else {
            Validate.isTrue(true, "Instrument time incompatible with LMM parametrisation");
          }
        }
      }
      if (indCFDate[loopcf] < indStart) {
        indStart = indCFDate[loopcf];
      }
      if (indCFDate[loopcf] > indEnd) {
        indEnd = indCFDate[loopcf];
      }
    }
    final int nbCF = indEnd - indStart + 1;
    final double[] cfa = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfa[indCFDate[loopcf] - indStart] = cfaInit[loopcf];
    }
    final double[] cft = new double[nbCF];
    System.arraycopy(timeLMM, indStart, cft, 0, nbCF);

    final double[] dfLMM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dfLMM[loopcf] = multicurves.getDiscountFactor(ccy, cft[loopcf]);
    }
    final double[][] gammaLMM = new double[nbCF - 1][nbFactor];
    final double[] deltaLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getAccrualFactor(), indStart, deltaLMM, 0, nbCF - 1);
    final double[] aLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getDisplacement(), indStart, aLMM, 0, nbCF - 1);
    final double[] liborLMM = new double[nbCF - 1];
    final double amr = parameters.getMeanReversion();
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      gammaLMM[loopcf] = volLMM[indStart + loopcf];
      liborLMM[loopcf] = (dfLMM[loopcf] / dfLMM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    // TODO: 4. cfe modification (for roller coasters)
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  public double[][] presentValueLMMSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = parameters.getNbFactor();
    final double[][] volLMM = parameters.getVolatility();
    final double[] timeLMM = parameters.getIborTime();
    // 3. Link cfe dates to lmm
    final int[] indCFDate = new int[nbCFInit];
    int indStart = nbCFInit - 1;
    int indEnd = 0;
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      indCFDate[loopcf] = Arrays.binarySearch(timeLMM, cftInit[loopcf]);
      if (indCFDate[loopcf] < 0) {
        if (timeLMM[-indCFDate[loopcf] - 1] - cftInit[loopcf] < TIME_TOLERANCE) {
          indCFDate[loopcf] = -indCFDate[loopcf] - 1;
        } else {
          if (cftInit[loopcf] - timeLMM[-indCFDate[loopcf] - 2] < TIME_TOLERANCE) {
            indCFDate[loopcf] = -indCFDate[loopcf] - 2;
          } else {
            Validate.isTrue(true, "Instrument time incompatible with LMM");
          }
        }
      }
      if (indCFDate[loopcf] < indStart) {
        indStart = indCFDate[loopcf];
      }
      if (indCFDate[loopcf] > indEnd) {
        indEnd = indCFDate[loopcf];
      }
    }
    final int nbCF = indEnd - indStart + 1;
    final double[] cfa = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfa[indCFDate[loopcf] - indStart] = cfaInit[loopcf];
    }
    final double[] cft = new double[nbCF];
    System.arraycopy(timeLMM, indStart, cft, 0, nbCF);

    final double[] dfLMM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dfLMM[loopcf] = multicurves.getDiscountFactor(ccy, cft[loopcf]);
    }
    final double[][] gammaLMM = new double[nbCF - 1][nbFactor];
    final double[] deltaLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getAccrualFactor(), indStart, deltaLMM, 0, nbCF - 1);
    final double[] aLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getDisplacement(), indStart, aLMM, 0, nbCF - 1);
    final double[] liborLMM = new double[nbCF - 1];
    final double amr = parameters.getMeanReversion();
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      gammaLMM[loopcf] = volLMM[indStart + loopcf];
      liborLMM[loopcf] = (dfLMM[loopcf] / dfLMM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    // TODO: 4. cfe modification (for roller coasters)
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  public double[] presentValueDDSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = parameters.getNbFactor();
    final double[][] volLMM = parameters.getVolatility();
    final double[] timeLMM = parameters.getIborTime();
    // 3. Link cfe dates to lmm
    final int[] indCFDate = new int[nbCFInit];
    int indStart = nbCFInit - 1;
    int indEnd = 0;
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      indCFDate[loopcf] = Arrays.binarySearch(timeLMM, cftInit[loopcf]);
      if (indCFDate[loopcf] < 0) {
        if (timeLMM[-indCFDate[loopcf] - 1] - cftInit[loopcf] < TIME_TOLERANCE) {
          indCFDate[loopcf] = -indCFDate[loopcf] - 1;
        } else {
          if (cftInit[loopcf] - timeLMM[-indCFDate[loopcf] - 2] < TIME_TOLERANCE) {
            indCFDate[loopcf] = -indCFDate[loopcf] - 2;
          } else {
            Validate.isTrue(true, "Instrument time incompatible with LMM");
          }
        }
      }
      if (indCFDate[loopcf] < indStart) {
        indStart = indCFDate[loopcf];
      }
      if (indCFDate[loopcf] > indEnd) {
        indEnd = indCFDate[loopcf];
      }
    }
    final int nbCF = indEnd - indStart + 1;
    final double[] cfa = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfa[indCFDate[loopcf] - indStart] = cfaInit[loopcf];
    }
    final double[] cft = new double[nbCF];
    System.arraycopy(timeLMM, indStart, cft, 0, nbCF);

    final double[] dfLMM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dfLMM[loopcf] = multicurves.getDiscountFactor(ccy, cft[loopcf]);
    }
    final double[][] gammaLMM = new double[nbCF - 1][nbFactor];
    final double[] deltaLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getAccrualFactor(), indStart, deltaLMM, 0, nbCF - 1);
    final double[] aLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getDisplacement(), indStart, aLMM, 0, nbCF - 1);
    final double[] liborLMM = new double[nbCF - 1];
    final double amr = parameters.getMeanReversion();
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      gammaLMM[loopcf] = volLMM[indStart + loopcf];
      liborLMM[loopcf] = (dfLMM[loopcf] / dfLMM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    // TODO: 4. cfe modification (for roller coasters)
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      final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
    final double multFact = Math.signum(cfe.getNthPayment(0).getAmount());
    final boolean isCall = (cfe.getNthPayment(0).getAmount() < 0);
    final double[] cftInit = new double[nbCFInit];
    final double[] cfaInit = new double[nbCFInit];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cftInit[loopcf] = cfe.getNthPayment(loopcf).getPaymentTime();
      cfaInit[loopcf] = cfe.getNthPayment(loopcf).getAmount() * -multFact;
    }
    final double timeToExpiry = swaption.getTimeToExpiry();
    // 2. Model data
    final int nbFactor = parameters.getNbFactor();
    final double[][] volLMM = parameters.getVolatility();
    final double[] timeLMM = parameters.getIborTime();
    // 3. Link cfe dates to lmm
    final int[] indCFDate = new int[nbCFInit];
    int indStart = nbCFInit - 1;
    int indEnd = 0;
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      indCFDate[loopcf] = Arrays.binarySearch(timeLMM, cftInit[loopcf]);
      if (indCFDate[loopcf] < 0) {
        if (timeLMM[-indCFDate[loopcf] - 1] - cftInit[loopcf] < TIME_TOLERANCE) {
          indCFDate[loopcf] = -indCFDate[loopcf] - 1;
        } else {
          if (cftInit[loopcf] - timeLMM[-indCFDate[loopcf] - 2] < TIME_TOLERANCE) {
            indCFDate[loopcf] = -indCFDate[loopcf] - 2;
          } else {
            Validate.isTrue(true, "Instrument time incompatible with LMM");
          }
        }
      }
      if (indCFDate[loopcf] < indStart) {
        indStart = indCFDate[loopcf];
      }
      if (indCFDate[loopcf] > indEnd) {
        indEnd = indCFDate[loopcf];
      }
    }
    final int nbCF = indEnd - indStart + 1;
    final double[] cfa = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCFInit; loopcf++) {
      cfa[indCFDate[loopcf] - indStart] = cfaInit[loopcf];
    }
    final double[] cft = new double[nbCF];
    System.arraycopy(timeLMM, indStart, cft, 0, nbCF);
    final double[] dfLMM = new double[nbCF];
    for (int loopcf = 0; loopcf < nbCF; loopcf++) {
      dfLMM[loopcf] = multicurves.getDiscountFactor(ccy, cft[loopcf]);
    }
    final double[][] gammaLMM = new double[nbCF - 1][nbFactor];
    final double[] deltaLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getAccrualFactor(), indStart, deltaLMM, 0, nbCF - 1);
    final double[] aLMM = new double[nbCF - 1];
    System.arraycopy(parameters.getDisplacement(), indStart, aLMM, 0, nbCF - 1);
    final double[] liborLMM = new double[nbCF - 1];
    final double amr = parameters.getMeanReversion();
    for (int loopcf = 0; loopcf < nbCF - 1; loopcf++) {
      gammaLMM[loopcf] = volLMM[indStart + loopcf];
      liborLMM[loopcf] = (dfLMM[loopcf] / dfLMM[loopcf + 1] - 1.0d) / deltaLMM[loopcf];
    }
    final double[] cfaMod = new double[nbCF + 1];
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   */
  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
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  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvdPhi = new double[2 * nbPeriods];
    // Implementation note: Derivative of the priced swaptions wrt the calibration parameters (multiplicative factor and additive term)
    // Implementation note: Phi is a vector with the multiplicative factors on the volatility and then the additive terms on the displacements.
    final double[][] dPvdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmmBundle);
    final double[] dPvdDis = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaption, lmmBundle);
    for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
      for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvdPhi[loopperiod] += dPvdGamma[loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
          dPvdPhi[nbPeriods + loopperiod] += dPvdDis[loopsub];
        }
      }
    }

    final double[][] dPvCaldPhi = new double[nbCalibrations][2 * nbPeriods];
    // Implementation note: Derivative of the calibration swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][][] dPvCaldGamma = new double[nbCalibrations][][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    final double[][] dPvCaldDis = new double[nbCalibrations][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldDis[loopcal] = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
        for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldPhi[loopcal][loopperiod] += dPvCaldGamma[loopcal][loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
            dPvCaldPhi[loopcal][nbPeriods + loopperiod] += dPvCaldDis[loopcal][loopsub];
          }
        }
      }
    }
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  public Triple<CurrencyAmount, PresentValueSABRSensitivityDataBundle, InterestRateCurveSensitivity> presentValueAndSensitivity(final SwaptionPhysicalFixedIbor swaption,
      final SABRInterestRateDataBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective objective = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationObjective(lmmParameters);
    final SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine calibrationEngine = new SwaptionPhysicalLMMDDSuccessiveLeastSquareCalibrationEngine(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, METHOD_SWAPTION_SABR);
    calibrationEngine.calibrate(curves);
    final LiborMarketModelDisplacedDiffusionDataBundle lmmBundle = new LiborMarketModelDisplacedDiffusionDataBundle(lmmParameters, curves);

    // 1. PV

    final CurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();

    // 2. SABR sensitivities

    final double[] dPvdPhi = new double[2 * nbPeriods];
    // Implementation note: Derivative of the priced swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][] dPvdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmmBundle);
    final double[] dPvdDis = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaption, lmmBundle);
    for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
      for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvdPhi[loopperiod] += dPvdGamma[loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
          dPvdPhi[nbPeriods + loopperiod] += dPvdDis[loopsub];
        }
      }
    }

    final double[][] dPvCaldPhi = new double[nbCalibrations][2 * nbPeriods];
    // Implementation note: Derivative of the calibration swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][][] dPvCaldGamma = new double[nbCalibrations][][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    final double[][] dPvCaldDis = new double[nbCalibrations][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldDis[loopcal] = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaptionCalibration[loopcal], lmmBundle);
    }
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
        for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldPhi[loopcal][loopperiod] += dPvCaldGamma[loopcal][loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
            dPvCaldPhi[loopcal][nbPeriods + loopperiod] += dPvCaldDis[loopcal][loopsub];
          }
        }
      }
    }
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvdPhi = new double[2 * nbPeriods];
    // Implementation note: Derivative of the priced swaptions wrt the calibration parameters (multiplicative factor and additive term)
    // Implementation note: Phi is a vector with the multiplicative factors on the volatility and then the additive terms on the displacements.
    final double[][] dPvdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmm);
    final double[] dPvdDis = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaption, lmm);
    for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
      for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvdPhi[loopperiod] += dPvdGamma[loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
          dPvdPhi[nbPeriods + loopperiod] += dPvdDis[loopsub];
        }
      }
    }

    final double[][] dPvCaldPhi = new double[nbCalibrations][2 * nbPeriods];
    // Implementation note: Derivative of the calibration swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][][] dPvCaldGamma = new double[nbCalibrations][][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmm);
    }
    final double[][] dPvCaldDis = new double[nbCalibrations][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldDis[loopcal] = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaptionCalibration[loopcal], lmm);
    }
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
        for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldPhi[loopcal][loopperiod] += dPvCaldGamma[loopcal][loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
            dPvCaldPhi[loopcal][nbPeriods + loopperiod] += dPvCaldDis[loopcal][loopsub];
          }
        }
      }
    }
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    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);

    // 1. PV

    final MultipleCurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmm);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();

    // 2. SABR sensitivities

    final double[] dPvdPhi = new double[2 * nbPeriods];
    // Implementation note: Derivative of the priced swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][] dPvdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmm);
    final double[] dPvdDis = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaption, lmm);
    for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
      for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
        for (int loopfact = 0; loopfact < nbFact; loopfact++) {
          dPvdPhi[loopperiod] += dPvdGamma[loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
          dPvdPhi[nbPeriods + loopperiod] += dPvdDis[loopsub];
        }
      }
    }

    final double[][] dPvCaldPhi = new double[nbCalibrations][2 * nbPeriods];
    // Implementation note: Derivative of the calibration swaptions wrt the calibration parameters (multiplicative factor and additive term)
    final double[][][] dPvCaldGamma = new double[nbCalibrations][][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmm);
    }
    final double[][] dPvCaldDis = new double[nbCalibrations][];
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      dPvCaldDis[loopcal] = METHOD_SWAPTION_LMM.presentValueDDSensitivity(swaptionCalibration[loopcal], lmm);
    }
    for (int loopcal = 0; loopcal < nbCalibrations; loopcal++) {
      for (int loopperiod = 0; loopperiod < nbPeriods; loopperiod++) {
        for (int loopsub = instrumentIndex.get(loopperiod * nbStrikes); loopsub < instrumentIndex.get((loopperiod + 1) * nbStrikes); loopsub++) {
          for (int loopfact = 0; loopfact < nbFact; loopfact++) {
            dPvCaldPhi[loopcal][loopperiod] += dPvCaldGamma[loopcal][loopsub][loopfact] * lmmParameters.getVolatility()[loopsub][loopfact];
            dPvCaldPhi[loopcal][nbPeriods + loopperiod] += dPvCaldDis[loopcal][loopsub];
          }
        }
      }
    }
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