Package com.opengamma.util.tuple

Examples of com.opengamma.util.tuple.DoublesPair

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    final BlackFunctionData dataBlack = new BlackFunctionData(blackData.getForward(), 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensitivity = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensitivity;
  }
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   * @param t time to maturity
   * @param k strike
   * @return The Black (implied) volatility
   */
  public double getVolatility(final double t, final double k) {
    final DoublesPair temp = new DoublesPair(t, k);
    return getVolatility(temp);
  }
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      } else {
        first = false;
      }
      final double sense = impFDCalculator(ird, calculator, curves, curveName, t);
      if (Math.abs(sense) > absTol) {
        res.add(new DoublesPair(t, sense));
      }
      oldT = t;
    }
    return res;
  }
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      } else {
        first = false;
      }
      final double sense = impFDCalculator(ird, method, curves, curveName, t);
      if (Math.abs(sense) > absTol) {
        res.add(new DoublesPair(t, sense));
      }
      oldT = t;
    }
    return res;
  }
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    final BlackFunctionData dataBlack = new BlackFunctionData(blackPrice.getFuturesPrice(), 1.0, volatility);
    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryStrikeDelay = new DoublesPair(security.getExpirationTime(), strike);
    final SurfaceValue sensitivity = SurfaceValue.from(expiryStrikeDelay, volatilityBar);
    return sensitivity;
  }
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    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double forward = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()) / cap.getIndexStartValue();
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
 
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    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getFixingTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
 
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    final double discountFactorBar = (estimatedIndexEnd / estimatedIndexStart * convexityAdjustment - (coupon.payNotional() ? 0.0 : 1.0) + coupon.getFactor()) * coupon.getNotional() * pvBar;
    final double estimatedIndexEndBar = 1.0 / estimatedIndexStart * convexityAdjustment * discountFactor * coupon.getNotional() * pvBar;
    final double estimatedIndexStartBar = -estimatedIndexEnd / (estimatedIndexStart * estimatedIndexStart) * convexityAdjustment * discountFactor * coupon.getNotional() * pvBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexEndBar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime(), estimatedIndexStartBar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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    final double estimatedIndexBar = 1.0 / coupon.getIndexStartValue() * convextityAdjustment * discountFactor * coupon.getNotional() * pvBar;
    final double estimatedIndexMonth1Bar = (1 - coupon.getWeight()) * estimatedIndexBar;
    final double estimatedIndexMonth0Bar = coupon.getWeight() * estimatedIndexBar;
    final Map<String, List<DoublesPair>> resultMapDisc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * discountFactor * discountFactorBar));
    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexMonth0Bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexMonth1Bar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactorTp = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName())
        .getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
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