@Override
public Map<Integer, ParametricVaRDataBundle> evaluate(
final SensitivityAndReturnDataBundle... data) {
Validate.notNull(data, "data");
Validate.notEmpty(data, "data");
Validate.noNullElements(data, "data");
List<String> firstOrderNames = null;
final List<Double> firstOrderSensitivity = new ArrayList<Double>();
final List<DoubleTimeSeries<?>> firstOrderTimeSeries = new ArrayList<DoubleTimeSeries<?>>();
final List<DoubleTimeSeries<?>> secondOrderTimeSeries = new ArrayList<DoubleTimeSeries<?>>();
List<String> secondOrderNames = null;
for (final SensitivityAndReturnDataBundle dataForSensitivity : data) {
final Sensitivity<?> sensitivity = dataForSensitivity.getSensitivity();
final String identifier = sensitivity.getIdentifier();
if (sensitivity.getOrder() == 1) {
final UnderlyingType type = sensitivity.getUnderlyingTypes().get(0);
final String name = identifier + "_" + type;
if (firstOrderNames == null) {
firstOrderNames = new ArrayList<String>();
}
if (!firstOrderNames.contains(name)) {
firstOrderNames.add(name);
firstOrderSensitivity.add(dataForSensitivity.getValue());
firstOrderTimeSeries.add(dataForSensitivity.getReturnTimeSeriesForUnderlying(type));
} else {
final int index = firstOrderNames.indexOf(name);
firstOrderSensitivity.set(
index, firstOrderSensitivity.get(index) + dataForSensitivity.getValue());
}
} else if (sensitivity.getOrder() == 2) {
if (secondOrderNames == null) {
secondOrderNames = new ArrayList<String>();
}
if (sensitivity.getUnderlying() instanceof NthOrderUnderlying) {
final UnderlyingType type = sensitivity.getUnderlyingTypes().get(0);
final String name = identifier + "_" + type;
if (!secondOrderNames.contains(name)) {
secondOrderNames.add(name);
secondOrderTimeSeries.add(dataForSensitivity.getReturnTimeSeriesForUnderlying(type));
}
} else if (sensitivity.getUnderlying() instanceof MixedOrderUnderlying) {
final UnderlyingType type1 = sensitivity.getUnderlyingTypes().get(0);
final UnderlyingType type2 = sensitivity.getUnderlyingTypes().get(1);
final String name1 = identifier + "_" + type1;
final String name2 = identifier + "_" + type2;
if (!secondOrderNames.contains(name1)) {
secondOrderNames.add(name1);
secondOrderTimeSeries.add(dataForSensitivity.getReturnTimeSeriesForUnderlying(type1));
}
if (!secondOrderNames.contains(name2)) {
secondOrderNames.add(name2);
secondOrderTimeSeries.add(dataForSensitivity.getReturnTimeSeriesForUnderlying(type2));
}
}
} else {
throw new IllegalArgumentException("Can only handle first and second order sensitivities");
}
}
final Map<Integer, ParametricVaRDataBundle> result =
new HashMap<Integer, ParametricVaRDataBundle>();
DoubleMatrix2D firstOrderCovarianceMatrix = null;
DoubleMatrix1D firstOrderSensitivityMatrix = null;
DoubleMatrix2D secondOrderCovarianceMatrix = null;
DoubleMatrix2D secondOrderSensitivityMatrix = null;
if (firstOrderNames != null) {
firstOrderCovarianceMatrix = _calculator.evaluate(firstOrderTimeSeries.toArray(EMPTY));
firstOrderSensitivityMatrix =
new DoubleMatrix1D(firstOrderSensitivity.toArray(new Double[0]));
result.put(
1,
new ParametricVaRDataBundle(
firstOrderNames, firstOrderSensitivityMatrix, firstOrderCovarianceMatrix, 1));
}
if (secondOrderNames != null) {
final int n = secondOrderNames.size();
final double[][] secondOrderSensitivities = new double[n][n];
for (final SensitivityAndReturnDataBundle bundle : data) {
final Sensitivity<?> sensitivity = bundle.getSensitivity();
final String identifier = sensitivity.getIdentifier();
if (sensitivity.getOrder() == 2) {
if (sensitivity.getUnderlying() instanceof NthOrderUnderlying) {
final UnderlyingType type = sensitivity.getUnderlyingTypes().get(0);
final String name = identifier + "_" + type;
final int index = secondOrderNames.indexOf(name);
secondOrderSensitivities[index][index] += bundle.getValue();
} else if (sensitivity.getUnderlying() instanceof MixedOrderUnderlying) {
final UnderlyingType type1 = sensitivity.getUnderlyingTypes().get(0);
final UnderlyingType type2 = sensitivity.getUnderlyingTypes().get(1);
final String name1 = identifier + "_" + type1;
final String name2 = identifier + "_" + type2;
final int index1 = secondOrderNames.indexOf(name1);
final int index2 = secondOrderNames.indexOf(name2);
secondOrderSensitivities[index1][index2] += bundle.getValue();
secondOrderSensitivities[index2][index1] = secondOrderSensitivities[index1][index2];
}
}
}
secondOrderCovarianceMatrix = _calculator.evaluate(secondOrderTimeSeries.toArray(EMPTY));
secondOrderSensitivityMatrix = new DoubleMatrix2D(secondOrderSensitivities);
result.put(
2,
new ParametricVaRDataBundle(
secondOrderNames, secondOrderSensitivityMatrix, secondOrderCovarianceMatrix, 2));
}
return result;
}