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);
}
@Override
public SurfaceCurrencyParameterSensitivity surfaceCurrencyParameterSensitivity(
IborCapletFloorletSensitivity point) {
ArgChecker.isTrue(
point.getIndex().equals(index),
"Ibor index of provider must be the same as Ibor index of point sensitivity");
double expiry = relativeTime(point.getExpiry());
double strike = point.getStrike();
// copy to ImmutableMap to lock order (keySet and values used separately but must match)
Map<DoublesPair, Double> result =
ImmutableMap.copyOf(surface.zValueParameterSensitivity(expiry, strike));
SurfaceCurrencyParameterSensitivity parameterSensi =
SurfaceCurrencyParameterSensitivity.of(
updateSurfaceMetadata(result.keySet()),
point.getCurrency(),
DoubleArray.copyOf(Doubles.toArray(result.values())));
return parameterSensi.multipliedBy(point.getSensitivity());
}
// -------------------------------------------------------------------------
@Override
public double volatility(double expiry, double strike, double forward) {
return surface.zValue(expiry, strike);
}
/**
* Return the nu parameter for a pair of time to expiry and instrument tenor.
*
* @param expirytenor The expiry/tenor pair
* @return The nu parameter
*/
public double getShift(DoublesPair expirytenor) {
return shiftSurface.zValue(expirytenor);
}
/**
* Return the nu parameter for a pair of time to expiry and instrument tenor.
*
* @param expirytenor The expiry/tenor pair
* @return The nu parameter
*/
public double getNu(DoublesPair expirytenor) {
return nuSurface.zValue(expirytenor);
}
/**
* Return the rho parameter for a pair of time to expiry and instrument tenor.
*
* @param expirytenor The expiry/tenor pair
* @return The rho parameter
*/
public double getRho(DoublesPair expirytenor) {
return rhoSurface.zValue(expirytenor);
}
/**
* Return the beta parameter for a pair of time to expiry and instrument tenor.
*
* @param expirytenor The expiry/tenor pair
* @return The beta parameter
*/
public double getBeta(DoublesPair expirytenor) {
return betaSurface.zValue(expirytenor);
}
/**
* Return the alpha parameter for a pair of time to expiry and instrument tenor.
*
* @param expirytenor The expiry/tenor pair
* @return The alpha parameter
*/
public double getAlpha(DoublesPair expirytenor) {
return alphaSurface.zValue(expirytenor);
}
