/**
* Calculate the instrument sensitivity from the yield sensitivity, the jacobian matrix and the
* coupon sensitivity.
*
* @param curveSensitivities The sensitivity to points of the yield curve.
* @param curves The curve bundle.
* @param couponSensitivity The sensitivity
* @param jacobian The present value coupon sensitivity.
* @return The instrument quote/rate sensitivity.
*/
public DoubleMatrix1D calculateFromPresentValue(
final Map<String, List<DoublesPair>> curveSensitivities,
final YieldCurveBundle curves,
final DoubleMatrix1D couponSensitivity,
final DoubleMatrix2D jacobian) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : curves.getAllNames()) {
final DoubleMatrix1D nodeSensitivity =
new DoubleMatrix1D(
(_parameterSensitivityCalculator.pointToParameterSensitivity(
curveSensitivities.get(curveName), curves.getCurve(curveName)))
.toArray(new Double[0]));
final int n = nodeSensitivity.getNumberOfElements();
final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum +=
-couponSensitivity.getEntry(i)
* inverseJacobian.getEntry(j, i)
* nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
public ChannelStorage(Symbol sym, double dft) {
symbol = sym;
defaultValue = dft;
values = new DoubleArrayList(scores.elements().length);
for (int i = size() - 1; i >= 0; i--) {
values.add(defaultValue);
}
}
/**
* Get the collection of values of this vector.
*
* @return The collection of all values in this vector.
*/
public DoubleCollection values() {
DoubleArrayList lst = new DoubleArrayList(size());
IntIterator iter = keys.activeIndexIterator(false);
while (iter.hasNext()) {
int idx = iter.nextInt();
lst.add(values[idx]);
}
return lst;
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues) {
final Clock snapshotClock = executionContext.getValuationClock();
final ZonedDateTime now = ZonedDateTime.now(snapshotClock);
final Object volatilitySurfaceDataObject = inputs.getValue(_requirement);
if (volatilitySurfaceDataObject == null) {
throw new OpenGammaRuntimeException("Could not get " + _requirement);
}
@SuppressWarnings("unchecked")
final VolatilitySurfaceData<LocalDate, Double> volatilitySurfaceData =
(VolatilitySurfaceData<LocalDate, Double>) volatilitySurfaceDataObject;
final int n = volatilitySurfaceData.getXs().length;
final int m = volatilitySurfaceData.getYs().length;
final DoubleArrayList t = new DoubleArrayList();
final DoubleArrayList k = new DoubleArrayList();
final DoubleArrayList sigma = new DoubleArrayList();
final LocalDate[] xDates = volatilitySurfaceData.getXs();
final Double[] y = volatilitySurfaceData.getYs();
for (int i = 0; i < n; i++) {
final Double time = DateUtils.getDifferenceInYears(now.toLocalDate(), xDates[i]);
for (int j = 0; j < m; j++) {
final Double strike = y[j];
final Double vol = volatilitySurfaceData.getVolatility(xDates[i], y[j]);
if (time != null && strike != null && vol != null) {
t.add(time);
k.add(strike);
sigma.add(vol);
}
}
}
final Surface<Double, Double, Double> surface =
InterpolatedDoublesSurface.from(
t.toDoubleArray(), k.toDoubleArray(), sigma.toDoubleArray(), _interpolator);
final VolatilitySurface volatilitySurface = new VolatilitySurface(surface);
return Collections.singleton(new ComputedValue(_result, volatilitySurface));
}
/**
* Add a scored ID without boxing. The default value will be used for each channel.
*
* @param id The ID to add.
* @param score The score for the ID.
* @return The builder (for chaining).
*/
public ScoredIdListBuilder add(long id, double score) {
Preconditions.checkState(ids != null, "builder has been finished");
ids.add(id);
scores.add(score);
for (ChannelStorage chan : channels.values()) {
assert chan.values.size() == ids.size() - 1;
chan.values.add(chan.defaultValue);
}
for (TypedChannelStorage chan : typedChannels.values()) {
assert chan.values.size() == ids.size() - 1;
chan.values.add(chan.defaultValue);
}
return this;
}
public DoubleMatrix1D calculateFromSimpleInterpolatedCurve(
final Map<String, List<DoublesPair>> curveSensitivities,
final YieldCurveBundle interpolatedCurves) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : interpolatedCurves.getAllNames()) {
final DoubleMatrix1D nodeSensitivity =
new DoubleMatrix1D(
(_parameterSensitivityCalculator.pointToParameterSensitivity(
curveSensitivities.get(curveName), interpolatedCurves.getCurve(curveName)))
.toArray(new Double[0]));
final int n = nodeSensitivity.getNumberOfElements();
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum += nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}