Package com.opengamma.financial.analytics.volatility.fittedresults

Examples of com.opengamma.financial.analytics.volatility.fittedresults.SABRFittedSurfaces

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      final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
      for (int i = 0; i < pairFields.size(); i++) {
        final DoubleMatrix2D matrix = deserializer.fieldValueToObject(DoubleMatrix2D.class, matricesFields.get(i));
        inverseJacobians.put((DoublesPair) deserializer.fieldValueToObject(Pair.class, pairFields.get(i)), matrix);
      }
      return new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    }
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    final InterpolatedDoublesSurface nuSurface = sabrResults.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = sabrResults.getRhoSurface();
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>();
    inverseJacobians.put(new DoublesPair(0, 1), new DoubleMatrix2D(new double[][] { {1, 2 }, {3, 4 } }));
    inverseJacobians.put(new DoublesPair(2, 1), new DoubleMatrix2D(new double[][] { {10, 20 }, {30, 40 } }));
    final SABRFittedSurfaces fits = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    assertEquals(fits, cycleObject(SABRFittedSurfaces.class, fits));
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, VolatilityFunctionFactory.HAGAN_FORMULA);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement cubeRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object sabrSurfacesObject = inputs.getValue(cubeRequirement);
    if (sabrSurfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get SABR fitted surfaces");
    }
    final SABRFittedSurfaces sabrFittedSurfaces = (SABRFittedSurfaces) sabrSurfacesObject;
    final ValueRequirement fittedPointsRequirement = new ValueRequirement(ValueRequirementNames.VOLATILITY_CUBE_FITTED_POINTS, ComputationTargetSpecification.of(currency),
        getFittedPointsProperties(cubeName, currency.getCode(), fittingMethod));
    final Object fittedDataPointsObject = inputs.getValue(fittedPointsRequirement);
    if (fittedDataPointsObject == null) {
      throw new OpenGammaRuntimeException("Could not get fitted points for cube");
    }
    final FittedSmileDataPoints fittedDataPoints = (FittedSmileDataPoints) fittedDataPointsObject;
    final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = sabrFittedSurfaces.getInverseJacobians();
    final DoubleLabelledMatrix2D alphaSensitivity = (DoubleLabelledMatrix2D) alphaSensitivityObject;
    final DoubleLabelledMatrix2D nuSensitivity = (DoubleLabelledMatrix2D) nuSensitivityObject;
    final DoubleLabelledMatrix2D rhoSensitivity = (DoubleLabelledMatrix2D) rhoSensitivityObject;
    final double expiry = alphaSensitivity.getXKeys()[0];
    final double maturity = alphaSensitivity.getYKeys()[0];
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final SABRInterestRateParameters modelParameters = new SABRInterestRateParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, VolatilityFunctionFactory.HAGAN_FORMULA);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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    final double[] rho = rhoList.toDoubleArray();
    final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, alpha, interpolator, "SABR alpha surface");
    final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, beta, interpolator, "SABR beta surface");
    final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, nu, interpolator, "SABR nu surface");
    final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(fittedOptionExpiry, futureDelay, rho, interpolator, "SABR rho surface");
    final SABRFittedSurfaces fittedSurfaces = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians);
    final ValueProperties resultProperties = desiredValue.getConstraints().copy()
        .withoutAny(ValuePropertyNames.FUNCTION)
        .with(ValuePropertyNames.FUNCTION, getUniqueId()).get();
    final ValueSpecification resultSpecification = new ValueSpecification(ValueRequirementNames.SABR_SURFACES, target.toSpecification(), resultProperties);
    final ValueSpecification fittedPointsSpecification = new ValueSpecification(ValueRequirementNames.VOLATILITY_SURFACE_FITTED_POINTS, target.toSpecification(), resultProperties);
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    final ValueRequirement surfacesRequirement = getCubeRequirement(cubeName, currency, fittingMethod);
    final Object surfacesObject = inputs.getValue(surfacesRequirement);
    if (surfacesObject == null) {
      throw new OpenGammaRuntimeException("Could not get " + surfacesRequirement);
    }
    final SABRFittedSurfaces surfaces = (SABRFittedSurfaces) surfacesObject;
    final InterpolatedDoublesSurface alphaSurface = surfaces.getAlphaSurface();
    final InterpolatedDoublesSurface betaSurface = surfaces.getBetaSurface();
    final InterpolatedDoublesSurface nuSurface = surfaces.getNuSurface();
    final InterpolatedDoublesSurface rhoSurface = surfaces.getRhoSurface();
    final DoubleFunction1D correlationFunction = getCorrelationFunction();
    final SABRInterestRateCorrelationParameters modelParameters = new SABRInterestRateCorrelationParameters(alphaSurface, betaSurface, rhoSurface, nuSurface, dayCount, correlationFunction);
    return new SABRInterestRateDataBundle(modelParameters, yieldCurves);
  }
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