@Override
public Double evaluate(final Double x) {
double[] bond = new double[_nbBonds];
for (int loopb = 0; loopb < _nbBonds; loopb++) {
for (int loopcf = 0; loopcf < _discountedCashFlow[loopb].length; loopcf++) {
bond[loopb] +=
_discountedCashFlow[loopb][loopcf]
* Math.exp(-(x + _alpha[loopb][loopcf]) * (x + _alpha[loopb][loopcf]) / 2.0);
}
}
return MIN_FUNCTION.evaluate(bond);
}
/**
* Computes the net basis of associated to the cheapest to deliver bonds in the underlying basket
* from the curves and the future price.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param futurePrice The future price.
* @return The net basis.
*/
public double netBasisCheapest(
final BondFuture future,
final IssuerProviderInterface issuerMulticurves,
final double futurePrice) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final int nbBasket = future.getDeliveryBasket().length;
final double[] netBasis = new double[nbBasket];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
netBasis[loopbasket] =
BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves)
- futurePrice * future.getConversionFactor()[loopbasket];
}
return MIN_FUNCTION.evaluate(netBasis);
}
/**
* Computes the future price from the curves used to price the underlying bonds and the net basis.
*
* @param future The future security.
* @param issuerMulticurves The issuer and multi-curves provider.
* @param netBasis The net basis associated to the future.
* @return The future price.
*/
public double priceFromNetBasis(
final BondFuture future,
final IssuerProviderInterface issuerMulticurves,
final double netBasis) {
ArgumentChecker.notNull(future, "Future");
ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
final double[] priceFromBond = new double[future.getDeliveryBasket().length];
for (int loopbasket = 0; loopbasket < future.getDeliveryBasket().length; loopbasket++) {
priceFromBond[loopbasket] =
(BOND_METHOD.cleanPriceFromCurves(
future.getDeliveryBasket()[loopbasket], issuerMulticurves)
- netBasis)
/ future.getConversionFactor()[loopbasket];
}
final double priceFuture = MIN_FUNCTION.evaluate(priceFromBond);
return priceFuture;
}
