Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

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    final List<DoublesPair> listDfSensi = new ArrayList<>();
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      discountedCashFlowBar[loopcf] = ncdf[loopcf] * pvBar;
      dfBar[loopcf] = cfe.getNthPayment(loopcf).getAmount() * discountedCashFlowBar[loopcf];
      cfeAmountBar[loopcf] = df[loopcf] * discountedCashFlowBar[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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    final double dfDomesticBar = -spot / (dfDomestic * dfDomestic) * dfForeign * forwardBar + pv / dfDomestic * pvBar;
    final double rForeignBar = -payTime * dfForeign * dfForeignBar;
    final double rDomesticBar = -payTime * dfDomestic * dfDomesticBar;
    // Sensitivity object
    final List<DoublesPair> listForeign = new ArrayList<>();
    listForeign.add(new DoublesPair(payTime, rForeignBar));
    final Map<String, List<DoublesPair>> resultForeignMap = new HashMap<>();
    resultForeignMap.put(foreignCurveName, listForeign);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultForeignMap);
    final List<DoublesPair> listDomestic = new ArrayList<>();
    listDomestic.add(new DoublesPair(payTime, rDomesticBar));
    final Map<String, List<DoublesPair>> resultDomesticMap = new HashMap<>();
    resultDomesticMap.put(domesticCurveName, listDomestic);
    result = result.plus(new InterestRateCurveSensitivity(resultDomesticMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(domesticCcy, result);
  }
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    // Backward sweep
    final double pvBar = 1.0;
    final double dMBar = amount * dfDomestic * NORMAL.getPDF(omega * dM) * (optionForex.isLong() ? 1.0 : -1.0) * omega * pvBar;
    final double sigmaRootTBar = (-Math.log(forward / strike) / (sigmaRootT * sigmaRootT) - 0.5) * dMBar;
    final double volatilityBar = Math.sqrt(expiry) * sigmaRootTBar;
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smile.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    // Implementation note: The strike should be in the same currency order as the input data.
    final SurfaceValue result = SurfaceValue.from(point, volatilityBar);
    final PresentValueForexBlackVolatilitySensitivity sensi = new PresentValueForexBlackVolatilitySensitivity(foreignCcy, domesticCcy, result);
    return sensi;
  }
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    final double dfForeign = smile.getCurve(foreignCurveName).getDiscountFactor(payTime);
    final double spot = smile.getFxRates().getFxRate(foreignCcy, domesticCcy);
    final double forward = spot * dfForeign / dfDomestic;
    final VolatilityAndBucketedSensitivities volAndSensitivities = FXVolatilityUtils.getVolatilityAndSensitivities(smile, foreignCcy, domesticCcy, expiry, forward, forward);
    final double[][] nodeWeight = volAndSensitivities.getBucketedSensitivities();
    final DoublesPair point = DoublesPair.of(optionForex.getExpirationTime(), (foreignCcy == smile.getCurrencyPair().getFirst()) ? strike : 1.0 / strike);
    final double[][] vega = new double[volatilityModel.getNumberExpiration()][volatilityModel.getNumberStrike()];
    for (int loopexp = 0; loopexp < volatilityModel.getNumberExpiration(); loopexp++) {
      for (int loopstrike = 0; loopstrike < volatilityModel.getNumberStrike(); loopstrike++) {
        vega[loopexp][loopstrike] = nodeWeight[loopexp][loopstrike] * pointSensitivity.getVega().getMap().get(point);
      }
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    // Backward sweep
    final double pvBar = 1.0;
    final double dfEndBar = bill.getNotional() * pvBar;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(bill.getEndTime(), -bill.getEndTime() * dfEnd * dfEndBar));
    resultMapCredit.put(issuer.getName(bill.getIssuerCcy()), listDiscounting);
    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMapCredit);
    return MultipleCurrencyMulticurveSensitivity.of(bill.getCurrency(), result);
  }
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    final double forwardBar = df * fra.getPaymentYearFraction() * fra.getNotional() * (1 - (forward - fra.getRate()) / (1 + fra.getPaymentYearFraction() * forward) * fra.getPaymentYearFraction())
        / (1 + fra.getPaymentYearFraction() * forward);
    final double dfBar = fra.getPaymentYearFraction() * fra.getNotional() * (forward - fra.getRate()) / (1 + fra.getFixingYearFraction() * forward) * pvBar;
    final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(fra.getPaymentTime(), -fra.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(fra.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), forwardBar));
    mapFwd.put(multicurve.getName(fra.getIndex()), listForward);
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    final double pv = presentValue(bond, curves);
    final InterestRateCurveSensitivity sensiPv = presentValueCurveSensitivity(bond, curves);
    final double df = curves.getCurve(bond.getRepoCurveName()).getDiscountFactor(bond.getSettlementTime());
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(bond.getRepoCurveName(), listDf);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.multipliedBy(pv / notional);
    result = result.plus(sensiPv.multipliedBy(1 / (df * notional)));
    return result;
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    final double pvBar = 1.0;
    final double dfCreditEndBar = bill.getQuantity() * bill.getBillPurchased().getNotional() * pvBar;
    final double dfDscSettleBar = bill.getSettlementAmount() * pvBar;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listCredit = new ArrayList<>();
    listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
    resultMapCredit.put(bill.getBillPurchased().getCreditCurveName(), listCredit);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(bill.getBillPurchased().getDiscountingCurveName(), listDsc);
    return result.plus(new InterestRateCurveSensitivity(resultMapDsc));
  }
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    final double priceParBar = METHOD_SECURITY.yieldFromPriceDerivative(bill.getBillPurchased(), pricePar) * spreadBar;
    final double dfDscSettleBar = -dfCreditEnd / (dfDscSettle * dfDscSettle) * priceParBar;
    final double dfCreditEndBar = priceParBar / dfDscSettle;
    final Map<String, List<DoublesPair>> resultMapCredit = new HashMap<>();
    final List<DoublesPair> listCredit = new ArrayList<>();
    listCredit.add(new DoublesPair(bill.getBillPurchased().getEndTime(), -bill.getBillPurchased().getEndTime() * dfCreditEnd * dfCreditEndBar));
    resultMapCredit.put(bill.getBillPurchased().getCreditCurveName(), listCredit);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(bill.getBillPurchased().getDiscountingCurveName(), listDsc);
    return result.plus(new InterestRateCurveSensitivity(resultMapDsc));
  }
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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(multicurves.getName(ccy), listDfSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
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