public static Map<String, List<ForwardSensitivity>> cleanedFwd(
final Map<String, List<ForwardSensitivity>> map) {
// TODO: improve the sorting algorithm.
final Map<String, List<ForwardSensitivity>> result = new HashMap<>();
for (final Map.Entry<String, List<ForwardSensitivity>> entry : map.entrySet()) {
final List<ForwardSensitivity> list = entry.getValue();
final List<ForwardSensitivity> listClean = new ArrayList<>();
final Set<Triple<Double, Double, Double>> set = new TreeSet<>();
for (final ForwardSensitivity pair : list) {
set.add(new Triple<>(pair.getStartTime(), pair.getEndTime(), pair.getAccrualFactor()));
}
for (final Triple<Double, Double, Double> time : set) {
double sensi = 0;
for (int looplist = 0; looplist < list.size(); looplist++) {
final ForwardSensitivity fwdSensitivity = list.get(looplist);
final Triple<Double, Double, Double> triple =
new Triple<>(
fwdSensitivity.getStartTime(),
fwdSensitivity.getEndTime(),
fwdSensitivity.getAccrualFactor());
if (triple.equals(time)) {
sensi += list.get(looplist).getValue();
}
}
listClean.add(
new ForwardSensitivity(time.getFirst(), time.getSecond(), time.getThird(), sensi));
}
result.put(entry.getKey(), listClean);
}
return result;
}
@Override
public CompiledFunctionDefinition compile(
FunctionCompilationContext context, InstantProvider atInstant) {
Triple<InstantProvider, InstantProvider, InterpolatedYieldCurveSpecification> compile =
_helper.compile(context, atInstant);
return new CompiledImpl(
compile.getFirst(),
compile.getSecond(),
buildRequirements(compile.getThird(), context),
_helper.getYieldCurveKey());
}
@Override
public Double getValue(Triple<Double, Double, Double> xyz) {
Validate.notNull(xyz, "xyz");
Double x = xyz.getFirst();
Validate.notNull(x, "x");
Double y = xyz.getSecond();
Validate.notNull(y, "y");
Double z = xyz.getThird();
Validate.notNull(z, "z");
return _interpolator.interpolate(_dataBundle, new double[] {x, y, z});
}
