@Override
public double[] getNodeSensitivitiesForValue(Interpolator1DDataBundle data, Double value) {
ArgChecker.notNull(value, "Value to be interpolated must not be null");
ArgChecker.notNull(data, "Data bundle must not be null");
int n = data.size();
double[] resultSensitivity = new double[n];
InterpolationBoundedValues boundedValues = data.getBoundedValues(value);
double x1 = boundedValues.getLowerBoundKey();
double y1 = boundedValues.getLowerBoundValue();
int index = boundedValues.getLowerBoundIndex();
if (index == n - 1) {
resultSensitivity[n - 1] = 1.0;
return resultSensitivity;
}
double x2 = boundedValues.getHigherBoundKey();
double y2 = boundedValues.getHigherBoundValue();
if ((y1 < EPS) || (y2 < EPS)) {
throw new UnsupportedOperationException(
"node sensitivity not implemented when one node is 0 value");
}
double w = (x2 - value) / (x2 - x1);
double xy21 = x1 * y1 * y1;
double xy22 = x2 * y2 * y2;
double xy2 = w * xy21 + (1 - w) * xy22;
double resultValue = Math.sqrt(xy2 / value);
double resultValueBar = 1.0;
double xy2Bar = 0.5 / resultValue / value * resultValueBar;
double xy21Bar = w * xy2Bar;
double xy22Bar = (1 - w) * xy2Bar;
double y2Bar = 2 * x2 * y2 * xy22Bar;
double y1Bar = 2 * x1 * y1 * xy21Bar;
resultSensitivity[index] = y1Bar;
resultSensitivity[index + 1] = y2Bar;
return resultSensitivity;
}
/**
* Make a set of standard CDS represented as a MultiCdsAnalytic instance. The maturities of the
* CDS are measured from the next IMM date (after the trade date), and the tenors are the given
* matIndices multiplied by the coupon interval (3 months).
*
* @param tradeDate the trade date
* @param accStartDate the accrual start date
* @param matIndices the CDS tenors are these multiplied by the coupon interval (3 months)
* @return a set of CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiImmCds(
LocalDate tradeDate, LocalDate accStartDate, int[] matIndices) {
if (!_couponInterval.equals(DEFAULT_COUPON_INT)) {
throw new IllegalArgumentException(
"coupon interval must be 3M for this method. However it is set to "
+ _couponInterval.toString());
}
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notEmpty(matIndices, "matIndicies");
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate stepinDate = tradeDate.plusDays(_stepIn);
LocalDate valueDate = addWorkDays(tradeDate, _cashSettle, _calendar);
return new MultiCdsAnalytic(
tradeDate,
stepinDate,
valueDate,
accStartDate,
nextIMM,
matIndices,
_payAccOnDefault,
_couponIntervalTenor,
_stubType,
_protectStart,
_recoveryRate,
_businessdayAdjustmentConvention,
DEFAULT_CALENDAR,
_accrualDayCount,
_curveDayCount);
}
/**
* Creates a periodic frequency.
*
* @param period the period to represent
* @param name the name
*/
private Frequency(Period period, String name) {
ArgChecker.notNull(period, "period");
ArgChecker.isFalse(period.isZero(), "Period must not be zero");
ArgChecker.isFalse(period.isNegative(), "Period must not be negative");
this.period = period;
this.name = name;
}
// -------------------------------------------------------------------------
@Override
public double getVolatility(DoubleArray t) {
ArgChecker.notNull(t, "data");
ArgChecker.isTrue(
t.size() == 4, "data should have four components (expiry time, tenor, strike and forward");
return getVolatility(t.get(0), t.get(1), t.get(2), t.get(3));
}
@Override
public MulticurveSensitivity visitSwapFuturesPriceDeliverableSecurity(
final SwapFuturesPriceDeliverableSecurity futures,
final ParameterProviderInterface multicurve) {
ArgChecker.notNull(futures, "futures");
ArgChecker.notNull(multicurve, "multi-curve provider");
double dfInv =
1.0
/ multicurve
.getMulticurveProvider()
.getDiscountFactor(futures.getCurrency(), futures.getDeliveryTime());
MulticurveSensitivity pvcs =
futures
.getUnderlyingSwap()
.accept(PVCSDC, multicurve.getMulticurveProvider())
.getSensitivity(futures.getCurrency())
.multipliedBy(dfInv);
final PresentValueDiscountingCalculator pvCalc =
PresentValueDiscountingCalculator.getInstance();
double pv =
futures
.getUnderlyingSwap()
.accept(pvCalc, multicurve.getMulticurveProvider())
.getAmount(futures.getCurrency())
.getAmount();
final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
final List<DoublesPair> listDf = new ArrayList<>();
listDf.add(DoublesPair.of(futures.getDeliveryTime(), futures.getDeliveryTime() * pv * dfInv));
resultMap.put(multicurve.getMulticurveProvider().getName(futures.getCurrency()), listDf);
MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
return result.plus(pvcs);
}
/**
* Solves the system Ax = y for the unknown vector x, where A is a tridiagonal matrix and y is a
* vector. This takes order n operations where n is the size of the system (number of linear
* equations), as opposed to order n^3 for the general problem.
*
* @param aM tridiagonal matrix
* @param b known vector (must be same length as rows/columns of matrix)
* @return vector (as an array of doubles) with same length as y
*/
public static double[] solvTriDag(TridiagonalMatrix aM, double[] b) {
ArgChecker.notNull(aM, "null matrix");
ArgChecker.notNull(b, "null vector");
double[] d = aM.getDiagonal(); // b is modified, so get copy of diagonal
int n = d.length;
ArgChecker.isTrue(n == b.length, "vector y wrong length for matrix");
double[] y = Arrays.copyOf(b, n);
double[] l = aM.getLowerSubDiagonalData();
double[] u = aM.getUpperSubDiagonalData();
double[] x = new double[n];
for (int i = 1; i < n; i++) {
double m = l[i - 1] / d[i - 1];
d[i] = d[i] - m * u[i - 1];
y[i] = y[i] - m * y[i - 1];
}
x[n - 1] = y[n - 1] / d[n - 1];
for (int i = n - 2; i >= 0; i--) {
x[i] = (y[i] - u[i] * x[i + 1]) / d[i];
}
return x;
}
@Override
public GreekResultCollection visitEquityOption(
final EquityOption option, final StaticReplicationDataBundle data) {
ArgChecker.notNull(option, "option");
ArgChecker.notNull(data, "data");
final double k = option.getStrike();
final double t = option.getTimeToExpiry();
final boolean isCall = option.isCall();
final double volatility = data.getVolatilitySurface().getVolatility(t, k);
final double r = data.getDiscountCurve().getInterestRate(t);
final double spot = data.getForwardCurve().getSpot();
final double fwd = data.getForwardCurve().getForward(t);
final double b;
if (t > 0) {
b = Math.log(fwd / spot) / t;
} else {
b = r; // TODO
}
final double[] greeks = MODEL.getPriceAdjoint(spot, k, r, b, t, volatility, isCall);
final GreekResultCollection result = new GreekResultCollection();
result.put(Greek.DELTA, greeks[1]);
result.put(Greek.DUAL_DELTA, greeks[2]);
result.put(Greek.RHO, greeks[3]);
result.put(Greek.CARRY_RHO, greeks[4]);
result.put(Greek.THETA, greeks[5]);
result.put(Greek.VEGA, greeks[6]);
final double[] pdg = MODEL.getPriceDeltaGamma(spot, k, r, b, t, volatility, isCall);
result.put(Greek.GAMMA, pdg[2]);
return result;
}
/**
* @param baseInterpolator The interpolator used for interpolating in the transformed space
* @param transform a two way mapping between a limited range and the real line
*/
public TransformedInterpolator1D(
final Interpolator1D baseInterpolator, final ParameterLimitsTransform transform) {
ArgChecker.notNull(baseInterpolator, "null baseInterpolator");
ArgChecker.notNull(transform, "null transform");
_base = baseInterpolator;
_transform = transform;
}
/**
* Merges the specified date/value point into this builder.
*
* <p>The operator is invoked if the date already exists.
*
* @param date the date to be added
* @param value the value associated with the date
* @param operator the operator to use for merging
* @return this builder
*/
public LocalDateDoubleTimeSeriesBuilder merge(
LocalDate date, double value, DoubleBinaryOperator operator) {
ArgChecker.notNull(date, "date");
ArgChecker.notNull(operator, "operator");
entries.merge(date, value, (a, b) -> operator.applyAsDouble(a, b));
return this;
}
private SurfaceMetadata updateSurfaceMetadata(Set<DoublesPair> pairs) {
SurfaceMetadata surfaceMetadata = surface.getMetadata();
List<SurfaceParameterMetadata> sortedMetaList = new ArrayList<SurfaceParameterMetadata>();
if (surfaceMetadata.getParameterMetadata().isPresent()) {
List<SurfaceParameterMetadata> metaList =
new ArrayList<SurfaceParameterMetadata>(surfaceMetadata.getParameterMetadata().get());
for (DoublesPair pair : pairs) {
metadataLoop:
for (SurfaceParameterMetadata parameterMetadata : metaList) {
ArgChecker.isTrue(
parameterMetadata instanceof GenericVolatilitySurfaceYearFractionMetadata,
"Surface parameter metadata must be instance of GenericVolatilitySurfaceYearFractionMetadata");
GenericVolatilitySurfaceYearFractionMetadata casted =
(GenericVolatilitySurfaceYearFractionMetadata) parameterMetadata;
if (pair.getFirst() == casted.getYearFraction()
&& pair.getSecond() == casted.getStrike().getValue()) {
sortedMetaList.add(casted);
metaList.remove(parameterMetadata);
break metadataLoop;
}
}
}
ArgChecker.isTrue(
metaList.size() == 0,
"Mismatch between surface parameter metadata list and doubles pair list");
} else {
for (DoublesPair pair : pairs) {
GenericVolatilitySurfaceYearFractionMetadata parameterMetadata =
GenericVolatilitySurfaceYearFractionMetadata.of(
pair.getFirst(), SimpleStrike.of(pair.getSecond()));
sortedMetaList.add(parameterMetadata);
}
}
return surfaceMetadata.withParameterMetadata(sortedMetaList);
}
public BasisFunctionAggregation(List<Function<T, Double>> functions, double[] weights) {
ArgChecker.notEmpty(functions, "no functions");
ArgChecker.notNull(weights, "no weights");
ArgChecker.isTrue(functions.size() == weights.length);
_f = functions;
_w = weights.clone();
}
/**
* Make a set of CDSs with a common trade date and maturities dates the given periods after the
* next IMM date (after the trade-date).
*
* @param tradeDate the trade date
* @param accStartDate this is when the CDS nominally starts in terms of premium payments. For a
* standard CDS this is the previous IMM date, and for a `legacy' CDS it is T+1
* @param tenors the tenors (lengths) of the CDSs
* @return an array of CDS analytic descriptions
*/
public CdsAnalytic[] makeImmCds(LocalDate tradeDate, LocalDate accStartDate, Period[] tenors) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(accStartDate, "effectiveDate");
ArgChecker.noNulls(tenors, "tenors");
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate[] maturities = ImmDateLogic.getIMMDateSet(nextIMM, tenors);
return makeCds(tradeDate, accStartDate, maturities);
}
/**
* Constructor from a multicurveSensitivity and a sensitivityPriceCurve. The maps are used
* directly.
*
* @param multicurveSensitivity The multicurveSensitivity.
* @param sensitivityCommodityForwardCurve The map.
* @return The sensitivity.
*/
public static CommoditySensitivity of(
final MulticurveSensitivity multicurveSensitivity,
final Map<String, List<DoublesPair>> sensitivityCommodityForwardCurve) {
ArgChecker.notNull(multicurveSensitivity, "multicurve sensitivity");
ArgChecker.notNull(sensitivityCommodityForwardCurve, "Sensitivity commodity forward curve");
return new CommoditySensitivity(multicurveSensitivity, sensitivityCommodityForwardCurve);
}
/**
* Set up a strip of on-the-run indexes represented as a single name CDSs (i.e. by CdsAnalytic).
* The index roll dates (when new indices are issued) are 20 Mar & Sep, and the index is defined
* to have a maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the
* 6-Feb-2014 will have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). The
* accrual start date will be the previous IMM date (before the trade date), business-day
* adjusted. <b>Note</b> it payment interval is changed from the default of 3M, this will produce
* a (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenors the nominal lengths of the indexes
* @return an array of CDS analytic descriptions
*/
public CdsAnalytic[] makeCdx(LocalDate tradeDate, Period[] tenors) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.noNulls(tenors, "tenors");
LocalDate effectiveDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
LocalDate mid = ImmDateLogic.getNextIndexRollDate(tradeDate).minusMonths(3);
LocalDate[] maturities = ImmDateLogic.getIMMDateSet(mid, tenors);
return makeCds(tradeDate, effectiveDate, maturities);
}
/**
* Puts the specified date/value point into this builder.
*
* @param date the date to be added
* @param value the value associated with the date
* @return this builder
*/
public LocalDateDoubleTimeSeriesBuilder put(LocalDate date, double value) {
ArgChecker.notNull(date, "date");
ArgChecker.isFalse(Double.isNaN(value), "NaN is not allowed as a value");
entries.put(date, value);
if (!containsWeekends && date.get(ChronoField.DAY_OF_WEEK) > 5) {
containsWeekends = true;
}
return this;
}
// -------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
if (rebate != null) {
ArgChecker.isTrue(rebate.getAmount() > 0d, "rebate must be positive");
ArgChecker.isTrue(
underlyingOption.getUnderlying().getCurrencyPair().contains(rebate.getCurrency()),
"The rebate currency must be one of underlying currency pair");
}
}
@Override
public Interpolator1DDataBundle getDataBundleFromSortedArrays(double[] x, double[] y) {
ArgChecker.notNull(y, "y");
int nY = y.length;
for (int i = 0; i < nY; ++i) {
ArgChecker.isTrue(y[i] >= 0.0, "All values in y must be positive");
}
return new ArrayInterpolator1DDataBundle(x, y, true);
}
/**
* Set up an on-the-run index represented as a single name CDS (i.e. by CdsAnalytic). The index
* roll dates (when new indices are issued) are 20 Mar & Sep, and the index is defined to have a
* maturity that is its nominal tenor plus 3M on issuance, so a 5Y index on the 6-Feb-2014 will
* have a maturity of 20-Dec-2018 (5Y3M on the issue date of 20-Sep-2013). The accrual start date
* will be the previous IMM date (before the trade date), business-day adjusted. <b>Note</b> it
* payment interval is changed from the default of 3M, this will produce a (possibly incorrect)
* non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the nominal length of the index
* @return a CDS analytic description
*/
public CdsAnalytic makeCdx(LocalDate tradeDate, Period tenor) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
_businessdayAdjustmentConvention.adjust(ImmDateLogic.getPrevIMMDate(tradeDate), _calendar);
LocalDate roll = ImmDateLogic.getNextIndexRollDate(tradeDate);
LocalDate maturity = roll.plus(tenor).minusMonths(3);
return makeCds(tradeDate, effectiveDate, maturity);
}
/**
* Returns the convexity adjustment, i.e. the difference between the adjusted price and the
* present value of the underlying swap.
*
* @param futures The swap futures.
* @param hwMulticurves The multi-curve and parameters provider.
* @return The adjustment.
*/
public double convexityAdjustment(
final SwapFuturesPriceDeliverableSecurity futures,
final HullWhiteOneFactorProviderInterface hwMulticurves) {
ArgChecker.notNull(futures, "swap futures");
ArgChecker.notNull(hwMulticurves, "parameter provider");
MultiCurrencyAmount pv =
futures.getUnderlyingSwap().accept(PVDC, hwMulticurves.getMulticurveProvider());
double price = price(futures, hwMulticurves);
return price - (1.0d + pv.getAmount(futures.getCurrency()).getAmount());
}
/**
* Make a set of standard CDS represented as a MultiCdsAnalytic instance. The maturities of the
* CDS are measured from the next IMM date (after the trade date), and the first and last tenors
* are the firstIndex and lastIndex multiplied by the coupon interval (3 months), which the
* remaining tenors being everything in between.
*
* @param tradeDate the trade date
* @param firstIndex the First index
* @param lastIndex the last index
* @return a set of CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiImmCds(LocalDate tradeDate, int firstIndex, int lastIndex) {
ArgChecker.isTrue(lastIndex > firstIndex, "Require lastIndex>firstIndex");
ArgChecker.isTrue(firstIndex >= 0, "Require positive indices");
int n = lastIndex - firstIndex + 1;
int[] matIndices = new int[n];
for (int i = 0; i < n; i++) {
matIndices[i] = i + firstIndex;
}
return makeMultiImmCds(tradeDate, matIndices);
}
/**
* Obtains a template based on the specified periods and convention.
*
* <p>The periods from the spot date to the start date and to the end date are specified.
*
* <p>For example, a '2 x 5' FRA has a period to the start date of 2 months and a period to the
* end date of 5 months.
*
* @param periodToStart the period between the spot date and the start date
* @param periodToEnd the period between the spot date and the end date
* @param convention the market convention
* @return the template
*/
public static FraTemplate of(Period periodToStart, Period periodToEnd, FraConvention convention) {
ArgChecker.notNull(periodToStart, "periodToStart");
ArgChecker.notNull(periodToEnd, "periodToEnd");
ArgChecker.notNull(convention, "convention");
return FraTemplate.builder()
.periodToStart(periodToStart)
.periodToEnd(periodToEnd)
.convention(convention)
.build();
}
/**
* Constructor from a yield discounting map of sensitivity. The maps are used directly.
*
* @param sensitivityYieldDiscounting The map.
* @param sensitivityForward The map.
* @param sensitivityCommodityForwardCurve The map.
* @return The sensitivity.
*/
public static CommoditySensitivity of(
final Map<String, List<DoublesPair>> sensitivityYieldDiscounting,
final Map<String, List<ForwardSensitivity>> sensitivityForward,
final Map<String, List<DoublesPair>> sensitivityCommodityForwardCurve) {
ArgChecker.notNull(sensitivityYieldDiscounting, "Sensitivity yield curve");
ArgChecker.notNull(sensitivityForward, "Sensitivity forward");
ArgChecker.notNull(sensitivityCommodityForwardCurve, "Sensitivity commodity forward curve");
return new CommoditySensitivity(
sensitivityYieldDiscounting, sensitivityForward, sensitivityCommodityForwardCurve);
}
/**
* Make a CDS with a maturity date the given period on from the next IMM date after the
* trade-date. The accrual start date will be the previous IMM date (before the trade date).
* <b>Note</b> it payment interval is changed from the default of 3M, this will produce a
* (possibly incorrect) non-standard first coupon.
*
* @param tradeDate the trade date
* @param tenor the tenor (length) of the CDS
* @param makeEffBusDay is the accrual start day business-day adjusted.
* @return a CDS analytic description
*/
public CdsAnalytic makeImmCds(LocalDate tradeDate, Period tenor, boolean makeEffBusDay) {
ArgChecker.notNull(tradeDate, "tradeDate");
ArgChecker.notNull(tenor, "tenor");
LocalDate effectiveDate =
makeEffBusDay
? _businessdayAdjustmentConvention.adjust(
ImmDateLogic.getPrevIMMDate(tradeDate), _calendar)
: ImmDateLogic.getPrevIMMDate(tradeDate);
LocalDate nextIMM = ImmDateLogic.getNextIMMDate(tradeDate);
LocalDate maturity = nextIMM.plus(tenor);
return makeCds(tradeDate, effectiveDate, maturity);
}
/**
* @param spotValues Spot values
* @return realized variance
*/
public double getRealizedVariance(final double[] spotValues) {
ArgChecker.notNull(spotValues, "spotValues");
final int nSpots = spotValues.length;
ArgChecker.isTrue(nSpots > 1, "Number of spot values should be greater than 1");
double res = 0.0;
for (int i = 1; i < nSpots; ++i) {
res += Math.pow(Math.log(spotValues[i] / spotValues[i - 1]), 2.0);
}
final double factor = 252.0 * 1.e4 / (nSpots - 1.0);
res *= factor;
return res;
}
/**
* Puts all the specified dates and values into this builder.
*
* <p>The date collection and value array must be the same size.
*
* <p>The date-value pairs are added one by one. If a date is duplicated it will overwrite an
* earlier entry.
*
* @param dates the dates to be added
* @param values the values to be added
* @return this builder
*/
public LocalDateDoubleTimeSeriesBuilder putAll(Collection<LocalDate> dates, double[] values) {
ArgChecker.noNulls(dates, "dates");
ArgChecker.notNull(values, "values");
ArgChecker.isTrue(
dates.size() == values.length,
"Arrays are of different sizes - dates: {}, values: {}",
dates.size(),
values.length);
Iterator<LocalDate> itDate = dates.iterator();
for (int i = 0; i < dates.size(); i++) {
put(itDate.next(), values[i]);
}
return this;
}
/**
* Make a set of standard CDS represented as a MultiCdsAnalytic instance. The first CDS with have
* a tenor of firstTenor, while the last CDS will have a tenor of lastTenor; the remaining CDS
* will consist of all the (multiple of 3 month) tenors between the first and last tenor, e.g. if
* firstTenor = 6M and lastTenor = 5Y, there will be a total of 22 CDS with tenors of 6M, 9M,
* 1Y,....4Y9M, 5Y.
*
* @param tradeDate the trade date
* @param firstTenor the first tenor
* @param lastTenor the last tenor
* @return a set of CDS represented as a MultiCdsAnalytic
*/
public MultiCdsAnalytic makeMultiImmCds(
LocalDate tradeDate, Period firstTenor, Period lastTenor) {
ArgChecker.notNull(firstTenor, "firstTenor");
ArgChecker.notNull(lastTenor, "lastTenor");
int immNMonths = (int) DEFAULT_COUPON_INT.toTotalMonths();
int m1 = (int) firstTenor.toTotalMonths();
int m2 = (int) lastTenor.toTotalMonths();
if (m1 % immNMonths != 0 || m2 % immNMonths != 0) {
throw new IllegalArgumentException(
"tenors is not a multiple of " + DEFAULT_COUPON_INT.toString());
}
int firstIndex = m1 / immNMonths;
int lastIndex = m2 / immNMonths;
return makeMultiImmCds(tradeDate, firstIndex, lastIndex);
}
/**
* Simpson's integration method.
*
* <p>Note that the Commons implementation fails if the lower bound is larger than the upper - in
* this case, the bounds are reversed and the result negated.
*
* @param f The function to integrate, not null
* @param lower The lower bound, not null
* @param upper The upper bound, not null
* @return The result of the integration
*/
@Override
public Double integrate(Function<Double, Double> f, Double lower, Double upper) {
ArgChecker.notNull(f, "function");
ArgChecker.notNull(lower, "lower bound");
ArgChecker.notNull(upper, "upper bound");
try {
if (lower < upper) {
return integrator.integrate(MAX_EVAL, CommonsMathWrapper.wrapUnivariate(f), lower, upper);
}
log.info("Upper bound was less than lower bound; swapping bounds and negating result");
return -integrator.integrate(MAX_EVAL, CommonsMathWrapper.wrapUnivariate(f), upper, lower);
} catch (NumberIsTooSmallException | NumberIsTooLargeException e) {
throw new MathException(e);
}
}
/**
* Add a certain number of working days (defined by the holidayCalendar) to a date.
*
* @param startDate the start date
* @param workingDaysToAdd working days to add
* @param calendar the calendar of holidays
* @return a working day
*/
private static LocalDate addWorkDays(
LocalDate startDate, int workingDaysToAdd, HolidayCalendar calendar) {
ArgChecker.notNull(startDate, "startDate");
ArgChecker.notNull(calendar, "calendar");
int daysLeft = workingDaysToAdd;
LocalDate temp = startDate;
while (daysLeft > 0) {
temp = temp.plusDays(1);
if (calendar.isBusinessDay(temp)) {
daysLeft--;
}
}
return temp;
}
// -------------------------------------------------------------------------
@Override
public double relativeTime(ZonedDateTime dateTime) {
ArgChecker.notNull(dateTime, "dateTime");
LocalDate valuationDate = valuationDateTime.toLocalDate();
LocalDate date = dateTime.toLocalDate();
return dayCount.relativeYearFraction(valuationDate, date);
}
/**
* Constructor from LMM parameters and curve bundle.
*
* @param lmmParameters The LMM model parameters.
* @param curves Curve bundle.
*/
public LiborMarketModelDisplacedDiffusionDataBundle(
final LiborMarketModelDisplacedDiffusionParameters lmmParameters,
final YieldCurveBundle curves) {
super(curves);
ArgChecker.notNull(lmmParameters, "LMM parameters");
_parameters = lmmParameters;
}
