Examples of com.opengamma.util.tuple.DoublesPair

com.opengamma.util.tuple.DoublesPair
An immutable pair consisting of two {@code double} elements.
The class provides direct access to the primitive types and implements the relevant fastutil interface.
This class is immutable and thread-safe.

    final double forwardBar = -futureConvexityFactor * priceBar;
    final double dfForwardEndBar = -dfForwardStart / (dfForwardEnd * dfForwardEnd) / future.getFixingPeriodAccrualFactor() * forwardBar;
    final double dfForwardStartBar = 1.0 / (future.getFixingPeriodAccrualFactor() * dfForwardEnd) * forwardBar;
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(future.getFixingPeriodStartTime(), -future.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(future.getFixingPeriodEndTime(), -future.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(future.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }

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    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    double time;
    final List<DoublesPair> list = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      time = annuityFixed.getNthPayment(loopcpn).getPaymentTime();
      final DoublesPair s = new DoublesPair(time, -time * discountingCurve.getDiscountFactor(time) * annuityFixed.getNthPayment(loopcpn).getPaymentYearFraction()
          * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional()));
      list.add(s);
    }
    return list;
  }

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    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    double time;
    final List<DoublesPair> list = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      time = annuityFixed.getNthPayment(loopcpn).getPaymentTime();
      final DoublesPair s = new DoublesPair(time, -time * discountingCurve.getDiscountFactor(time)
          * dayCount.getDayCountFraction(annuityFixed.getNthPayment(loopcpn).getAccrualStartDate(), annuityFixed.getNthPayment(loopcpn).getAccrualEndDate(), calendar)
          * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional()));
      list.add(s);
    }
    return list;

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    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    double time;
    final List<DoublesPair> list = new ArrayList<>();
    for (int loopcpn = 0; loopcpn < annuityFixed.getPayments().length; loopcpn++) {
      time = annuityFixed.getNthPayment(loopcpn).getPaymentTime();
      final DoublesPair s = new DoublesPair(time, -time * discountingCurve.getDiscountFactor(time)
          * dayCount.getDayCountFraction(annuityFixed.getNthPayment(loopcpn).getAccrualStartDate(), annuityFixed.getNthPayment(loopcpn).getAccrualEndDate())
          * Math.abs(annuityFixed.getNthPayment(loopcpn).getNotional()));
      list.add(s);
    }
    return list;

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      dfBar[loopfix + 1] += -df[loopfix] / (df[loopfix + 1] * df[loopfix + 1]) * interestBar;
    }
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listOIS = new ArrayList<>();
    for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
      listOIS.add(new DoublesPair(future.getFixingPeriodTime()[loopfix], -future.getFixingPeriodTime()[loopfix] * df[loopfix] * dfBar[loopfix]));
    }
    resultMap.put(future.getOISCurveName(), listOIS);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }

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   * @param strike The strike.
   * @param forward The forward.
   * @return The volatility.
   */
  public double getVolatility(final double expiryTime, final double maturity, final double strike, final double forward) {
    final DoublesPair expiryMaturity = new DoublesPair(expiryTime, maturity);
    final SABRFormulaData data = new SABRFormulaData(getAlpha(expiryMaturity), getBeta(expiryMaturity), getRho(expiryMaturity), getNu(expiryMaturity));
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, expiryTime, true);
    final Function1D<SABRFormulaData, Double> funcSabrLongPayer = _sabrFunction.getVolatilityFunction(option, forward);
    return funcSabrLongPayer.evaluate(data);
  }

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    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData.getMulticurveProvider());
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);

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      result = result.multipliedBy(-1);
    }
    final MultipleCurrencyMulticurveSensitivity pvcs = MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
    // SABR sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    pvss.addAlpha(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[3]);
    pvss.addBeta(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[4]);
    pvss.addRho(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[5]);
    pvss.addNu(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[6]);

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      final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, pvbpModified, volatility);
      final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
      return func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0);
    }
    // With extrapolation
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);

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    // Derivative of the forward and pvbp with respect to the rates.
    final InterestRateCurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final InterestRateCurveSensitivity forwardModifiedDr = new InterestRateCurveSensitivity(PRSC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData));
    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final double alpha = sabrData.getSABRParameter().getAlpha(expiryMaturity);
    final double beta = sabrData.getSABRParameter().getBeta(expiryMaturity);
    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);

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