Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

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    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    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 DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
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    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<>();
    final List<DoublesPair> listFunding = 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.getDiscountingCurveName(), listFunding);
    resultMap.put(future.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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    final String curveName = future.getForwardCurveName();
    final YieldAndDiscountCurve curve = curves.getCurve(curveName);
    final double ta = future.getFixingPeriodStartTime();
    final double tb = future.getFixingPeriodEndTime();
    final double ratio = curve.getDiscountFactor(ta) / curve.getDiscountFactor(tb) / future.getFixingPeriodAccrualFactor();
    final DoublesPair s1 = new DoublesPair(ta, -ta * ratio);
    final DoublesPair s2 = new DoublesPair(tb, tb * ratio);
    final List<DoublesPair> temp = new ArrayList<>();
    temp.add(s1);
    temp.add(s2);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, temp);
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    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
      cfeAmountBar[loopcf] = (df[loopcf] * adjustments[loopcf]) / df[0] * priceBar;
    }
    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final DoublesPair dfSensi = new DoublesPair(cfe.getNthPayment(loopcf).getPaymentTime(), -cfe.getNthPayment(loopcf).getPaymentTime() * df[loopcf] * dfBar[loopcf]);
      listDfSensi.add(dfSensi);
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(cfe.getDiscountCurve(), listDfSensi);
    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
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    // Backward sweep
    final double pvbpBar = 1.0;
    final double dfBar = coupon.getPaymentYearFraction() * coupon.getNotional() * pvbpBar;
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    resultMapDsc.put(coupon.getFundingCurveName(), listDiscounting);
    return new InterestRateCurveSensitivity(resultMapDsc);
  }
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    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack, calendar);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, curveBlack);
    final double maturity = swaption.getMaturityTime();
    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 DoublesPair point = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(point);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final Map<DoublesPair, Double> sensitivity = new HashMap<>();
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    final double[] dfFixedBar = new double[nbFixed];
    final List<DoublesPair> listDf = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      dfFixedBar[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional()
          * discountedCashFlowFixedBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(), -swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf)
          .getPaymentTime()
          * dfFixed[loopcf] * dfFixedBar[loopcf]);
      listDf.add(dfSensi);
    }
    final double[] dfIborBar = new double[cfeIbor.getNumberOfPayments()];
    final double[] cfeAmountIborBar = new double[cfeIbor.getNumberOfPayments()];
    dfIborBar[0] = pv * notional * (swaption.isLong() ? 1.0 : -1.0);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      dfIborBar[loopcf] += cfeIbor.getNthPayment(loopcf).getAmount() * discountedCashFlowIborBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfeIbor.getNthPayment(loopcf).getPaymentTime(), -cfeIbor.getNthPayment(loopcf).getPaymentTime() * dfIbor[loopcf] * dfIborBar[loopcf]);
      listDf.add(dfSensi);
      cfeAmountIborBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf];
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(multicurves.getName(ccy), listDf);
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    final double[] dfFixedBar = new double[nbFixed];
    final List<DoublesPair> listDf = new ArrayList<>();
    for (int loopcf = 0; loopcf < nbFixed; loopcf++) {
      dfFixedBar[loopcf] = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentYearFraction() * swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getNotional()
          * discountedCashFlowFixedBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf).getPaymentTime(), -swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(loopcf)
          .getPaymentTime()
          * dfFixed[loopcf] * dfFixedBar[loopcf]);
      listDf.add(dfSensi);
    }
    final double[] dfIborBar = new double[cfeIbor.getNumberOfPayments()];
    final double[] cfeAmountIborBar = new double[cfeIbor.getNumberOfPayments()];
    dfIborBar[0] = pv * notional * (swaption.isLong() ? 1.0 : -1.0);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      dfIborBar[loopcf] += cfeIbor.getNthPayment(loopcf).getAmount() * discountedCashFlowIborBar[loopcf];
      final DoublesPair dfSensi = new DoublesPair(cfeIbor.getNthPayment(loopcf).getPaymentTime(), -cfeIbor.getNthPayment(loopcf).getPaymentTime() * dfIbor[loopcf] * dfIborBar[loopcf]);
      listDf.add(dfSensi);
      cfeAmountIborBar[loopcf] = dfIbor[loopcf] * discountedCashFlowIborBar[loopcf];
    }
    final Map<String, List<DoublesPair>> pvsDF = new HashMap<>();
    pvsDF.put(fundingCurveName, listDf);
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    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurves.getName(ccy), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
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    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, swaption.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
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