private double[] fetchDatas(String conditions, String type, int minute) {
long time = (System.currentTimeMillis()) / 1000 / 60;
int endMinute = (int) (time % (60)) - DATA_AREADY_MINUTE;
int startMinute = endMinute - minute;
double[] datas = null;
if (startMinute < 0 && endMinute < 0) {
String period = m_sdf.format(queryDayPeriod(-1).getTime());
CommandQueryEntity queryEntity = new CommandQueryEntity(period + ";" + conditions + ";;");
datas = ArrayUtils.toPrimitive(m_appDataService.queryValue(queryEntity, type), 0);
} else if (startMinute < 0 && endMinute >= 0) {
String last = m_sdf.format(queryDayPeriod(-1).getTime());
String current = m_sdf.format(queryDayPeriod(0).getTime());
CommandQueryEntity lastQueryEntity = new CommandQueryEntity(last + ";" + conditions + ";;");
CommandQueryEntity currentQueryEntity =
new CommandQueryEntity(current + ";" + conditions + ";;");
double[] lastDatas =
ArrayUtils.toPrimitive(m_appDataService.queryValue(lastQueryEntity, type), 0);
double[] currentDatas =
ArrayUtils.toPrimitive(m_appDataService.queryValue(currentQueryEntity, type), 0);
datas = mergerArray(lastDatas, currentDatas);
} else if (startMinute >= 0) {
String period = m_sdf.format(queryDayPeriod(0).getTime());
CommandQueryEntity queryEntity = new CommandQueryEntity(period + ";" + conditions + ";;");
datas = ArrayUtils.toPrimitive(m_appDataService.queryValue(queryEntity, type), 0);
}
return datas;
}
protected double calculateSimilarity(Collection<Double> item1, Collection<Double> item2) {
System.out.println("item1 " + item1);
System.out.println("item2 " + item2);
double[] v1 = ArrayUtils.toPrimitive(item1.toArray(new Double[item1.size()]));
double[] v2 = ArrayUtils.toPrimitive(item2.toArray(new Double[item2.size()]));
return Vectors.calculateSimiliraty(v1, v2);
}
private void fillCategorySet(HistogramDataset defaultcategorydataset) {
// MOD scorreia 2011-02-10 code simplified in order to avoid unnecessary aggregation (it is now
// done in the
// histogram dataset automatically)
final double minValue = 0; // lower value of the x-axis of the chart
double maxValue = 0; // higher value of the x-axis of the chart
List<Double> blockSizeValueList = new ArrayList<Double>();
// add each block size (number of rows of the block) to the list
Iterator<String> iterator = prviewData.keySet().iterator();
while (iterator.hasNext()) {
String key = iterator.next();
Integer blockSize = prviewData.get(key).size();
assert blockSize != null : "no row found for block " + key; // $NON-NLS-1$
if (blockSize == null) { // should not happen
blockSize = 0;
}
blockSizeValueList.add(blockSize.doubleValue());
// evaluate the maximum number of rows
if (maxValue < blockSize) {
maxValue = blockSize;
}
}
Double[] valueArray = new Double[blockSizeValueList.size()];
blockSizeValueList.toArray(valueArray);
defaultcategorydataset.addSeries(
"Key distribution",
ArrayUtils.toPrimitive(valueArray),
BINS,
minValue,
maxValue); //$NON-NLS-1$
}
private void invokeMethod(
Method method, Object instance, Object parsedValue, String methodName, String fieldName)
throws NoSuchMethodException {
if (method == null) {
throw new NoSuchMethodException(
String.format("No setter %s for field %s", methodName, fieldName));
}
try {
if (method.getParameterTypes()[0].equals(byte[].class)) {
method.invoke(
instance,
parsedValue instanceof byte[]
? parsedValue
: ArrayUtils.toPrimitive((Byte[]) parsedValue));
} else {
method.invoke(instance, parsedValue);
}
} catch (InvocationTargetException | IllegalAccessException e) {
throw new IllegalStateException(
String.format(
"There was a problem with set value '%s' to field '%s'", parsedValue, fieldName),
e);
}
}
protected void initializeVerts(Set<Double> setVerts) {
// rgd1 = array in Double format
Double rgd1[];
rgd1 = setVerts.toArray(new Double[setVerts.size()]);
initializeVerts(ArrayUtils.toPrimitive(rgd1));
}
private int[] getAllBoundaries() {
List<Integer> boundaries = new ArrayList<Integer>(1);
Calendar c = Calendar.getInstance();
c.setTimeInMillis(0); // c.set doesn't reset millis
for (int year = 1902; year <= 2038; year++) {
c.set(year, Calendar.JANUARY, 1, 0, 0, 0);
int exactly = (int) (c.getTimeInMillis() / (24 * 60 * 60 * 1000));
int before = exactly - 1;
int after = exactly + 1;
boundaries.add(Integer.valueOf(before));
boundaries.add(Integer.valueOf(exactly));
boundaries.add(Integer.valueOf(after));
}
Integer[] indices = boundaries.toArray(new Integer[1]);
return ArrayUtils.toPrimitive(indices);
}
public void tryEquipmentChangeNotify(Player[] toNotify) {
synchronized (lastArmor) {
ArrayList<Integer> toUpdate = new ArrayList<>(5);
for (int i = 0; i < 5; i++) {
ItemStack lastArmor = this.lastArmor[i];
ItemStack currentArmor = getEquipment(i);
if (!equals(currentArmor, lastArmor)) toUpdate.add(i);
}
if (toUpdate.size() != 0)
Util.getNMS()
.notifyOfEquipmentChange(
toNotify,
(Player) this.getEntity(),
ArrayUtils.toPrimitive(toUpdate.toArray(new Integer[toUpdate.size()])));
}
}
@Test(enabled = false)
public void comparison1Unit2Units() {
final InflationProviderDiscount[] units = new InflationProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final PriceIndexCurve[] curveInflation = new PriceIndexCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(USD);
curveInflation[loopblock] = units[loopblock].getCurve(US_CPI);
}
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveDsc[0].getNumberOfParameters(),
curveDsc[1].getNumberOfParameters());
assertEquals(
"Curve construction: 1 unit / 3 units ",
curveInflation[0].getNumberOfParameters(),
curveInflation[1].getNumberOfParameters());
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 3 units ",
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((PriceIndexCurveSimple) curveInflation[1]).getCurve().getYData()),
TOLERANCE_CAL);
}
private byte[] getLastBytes() {
List<Byte> lastBytes = new ArrayList<Byte>();
if (endBytesBuffer != null) {
lastBytes.addAll(endBytesBuffer);
}
if (capturedBytes != null) {
byte[] capturedByteArray = capturedBytes.toByteArray();
for (int i = capturedByteArray.length - 1;
i >= 0 && lastBytes.size() < endOfMessageBytes.length;
i--) {
lastBytes.add(capturedByteArray[i]);
}
}
return ArrayUtils.toPrimitive(lastBytes.toArray(new Byte[0]));
}
@Override
public List estimateDensityFunction(Double[] data) {
// Number Of Density Points to be used
// This is a measurements of the estimation precision
// usually, this is set to a default of 512, as in most KDE algorithms default values, i.e. R
// "density"function, OmicSoft, Matlab algorithms.
int numberOfDensityPoints =
PropertiesConfigurationHolder.getInstance().getInt("numberOfDensityPoints");
List<double[]> densityFunction = new ArrayList<>();
// init the KDE with a normal generator
init(ArrayUtils.toPrimitive(AnalysisUtils.excludeNullValues(data)));
// compute x values
// array for random samples
double[] randomSamples = new double[numberOfDensityPoints];
for (int i = 0; i < numberOfDensityPoints; i++) {
double nextDouble = kernelDensityGen.nextDouble();
randomSamples[i] = nextDouble;
}
Arrays.sort(randomSamples);
densityFunction.add(randomSamples);
// compute y values
// use normal default kernel
NormalDist kern = new NormalDist();
double datasetSize = (double) data.length;
// calculate optimal bandwidth with the (ROBUST) Silverman's ‘rule of thumb’ (Scott Variation
// uses factor = 1.06)
double bandWidth =
0.99
* Math.min(
empiricalDist.getSampleStandardDeviation(),
(empiricalDist.getInterQuartileRange() / 1.34))
/ Math.pow(datasetSize, 0.2);
// estimate density and store values in a vector
double[] estimatedDensityValues =
KernelDensity.computeDensity(empiricalDist, kern, bandWidth, randomSamples);
densityFunction.add(estimatedDensityValues);
return densityFunction;
}
@RequestMapping(value = "/stream/{language}/{name}", method = RequestMethod.GET)
public void getStreamContent(
@PathVariable String language, @PathVariable String name, HttpServletResponse response)
throws IOException {
LOG.info(String.format("Getting resource for : stream:%s:%s", language, name));
try (OutputStream out = response.getOutputStream()) {
StreamContent streamContent = cmsLiteService.getStreamContent(language, name);
response.setContentLength(streamContent.getContent().length);
response.setContentType(streamContent.getContentType());
response.setHeader("Accept-Ranges", "bytes");
response.setStatus(HttpServletResponse.SC_OK);
out.write(ArrayUtils.toPrimitive(streamContent.getContent()));
} catch (Exception e) {
LOG.error(
String.format(
"Content not found for : stream:%s:%s%n:%s",
language, name, Arrays.toString(e.getStackTrace())));
response.sendError(HttpServletResponse.SC_INTERNAL_SERVER_ERROR, NOT_FOUND_RESPONSE);
}
}
/**
* Read in a list of ExactCall objects from reader, keeping only those with starts in startsToKeep
* or all sites (if this is empty)
*
* @param reader a just-opened reader sitting at the start of the file
* @param startsToKeep a list of start position of the calls to keep, or empty if all calls should
* be kept
* @param parser a genome loc parser to create genome locs
* @return a list of ExactCall objects in reader
* @throws IOException
*/
public static List<ExactCall> readExactLog(
final BufferedReader reader, final List<Integer> startsToKeep, GenomeLocParser parser)
throws IOException {
if (reader == null) throw new IllegalArgumentException("reader cannot be null");
if (startsToKeep == null) throw new IllegalArgumentException("startsToKeep cannot be null");
if (parser == null) throw new IllegalArgumentException("GenomeLocParser cannot be null");
List<ExactCall> calls = new LinkedList<ExactCall>();
// skip the header line
reader.readLine();
// skip the first "type" line
reader.readLine();
while (true) {
final VariantContextBuilder builder = new VariantContextBuilder();
final List<Allele> alleles = new ArrayList<Allele>();
final List<Genotype> genotypes = new ArrayList<Genotype>();
final double[] posteriors = new double[2];
final double[] priors = MathUtils.normalizeFromLog10(new double[] {0.5, 0.5}, true);
final List<Integer> mle = new ArrayList<Integer>();
final Map<Allele, Double> log10pNonRefByAllele = new HashMap<Allele, Double>();
long runtimeNano = -1;
GenomeLoc currentLoc = null;
while (true) {
final String line = reader.readLine();
if (line == null) return calls;
final String[] parts = line.split("\t");
final GenomeLoc lineLoc = parser.parseGenomeLoc(parts[0]);
final String variable = parts[1];
final String key = parts[2];
final String value = parts[3];
if (currentLoc == null) currentLoc = lineLoc;
if (variable.equals("type")) {
if (startsToKeep.isEmpty() || startsToKeep.contains(currentLoc.getStart())) {
builder.alleles(alleles);
final int stop = currentLoc.getStart() + alleles.get(0).length() - 1;
builder.chr(currentLoc.getContig()).start(currentLoc.getStart()).stop(stop);
builder.genotypes(genotypes);
final int[] mleInts = ArrayUtils.toPrimitive(mle.toArray(new Integer[] {}));
final AFCalcResult result =
new AFCalcResult(mleInts, 1, alleles, posteriors, priors, log10pNonRefByAllele);
calls.add(new ExactCall(builder.make(), runtimeNano, result));
}
break;
} else if (variable.equals("allele")) {
final boolean isRef = key.equals("0");
alleles.add(Allele.create(value, isRef));
} else if (variable.equals("PL")) {
final GenotypeBuilder gb = new GenotypeBuilder(key);
gb.PL(GenotypeLikelihoods.fromPLField(value).getAsPLs());
genotypes.add(gb.make());
} else if (variable.equals("log10PosteriorOfAFEq0")) {
posteriors[0] = Double.valueOf(value);
} else if (variable.equals("log10PosteriorOfAFGt0")) {
posteriors[1] = Double.valueOf(value);
} else if (variable.equals("MLE")) {
mle.add(Integer.valueOf(value));
} else if (variable.equals("pNonRefByAllele")) {
final Allele a = Allele.create(key);
log10pNonRefByAllele.put(a, Double.valueOf(value));
} else if (variable.equals("runtime.nano")) {
runtimeNano = Long.valueOf(value);
} else {
// nothing to do
}
}
}
}
/**
* Converts an ArrayList of integer objects to an array with int primitives.
*
* @param list the ArrayList
* @return the int array
*/
private int[] list2array(ArrayList<Integer> list) {
return ArrayUtils.toPrimitive((Integer[]) list.toArray(new Integer[list.size()]));
}
/**
* Returns the next message from the stream (could be the entire stream contents or part of a
* batch).
*
* @return A byte array representing the next whole message in the stream (could be the entire
* stream contents or part of a batch), or null if the stream is done. If an IOException is
* caught while reading (e.g. a socket timeout) and returnDataOnException is true, then all
* bytes accumulated up to that point are returned.
* @throws IOException If an IOException is caught while reading (e.g. a socket timeout) and
* returnDataOnException is false.
*/
@Override
public byte[] read() throws IOException {
if (streamDone || inputStream == null) {
return null;
}
capturedBytes = new ByteArrayOutputStream();
List<Byte> firstBytes = new ArrayList<Byte>();
// A List is used here to allow the buffer to simulate a "shifting window" of potential bytes.
endBytesBuffer = new ArrayList<Byte>();
try {
// Skip to the beginning of the message
if (checkStartOfMessageBytes) {
int i = 0;
while (i < startOfMessageBytes.length) {
currentByte = inputStream.read();
logger.trace("Checking for start of message bytes, currentByte: " + currentByte);
if (currentByte != -1) {
if (firstBytes.size() < startOfMessageBytes.length) {
firstBytes.add((byte) currentByte);
}
if (currentByte == (int) (startOfMessageBytes[i] & 0xFF)) {
i++;
} else {
i = 0;
}
} else {
streamDone = true;
if (firstBytes.size() > 0) {
throw new FrameStreamHandlerException(
true,
startOfMessageBytes,
ArrayUtils.toPrimitive(firstBytes.toArray(new Byte[0])));
} else {
// The input stream ended before the begin bytes were detected, so return null
return null;
}
}
}
// Begin bytes were found
checkStartOfMessageBytes = false;
}
// Allow the handler to initialize anything it needs to (e.g. mark the input stream)
batchStreamReader.initialize();
// Iterate while there are still bytes to read, or if we're checking for end bytes and its
// buffer is not empty
while ((currentByte = batchStreamReader.getNextByte()) != -1
|| (endOfMessageBytes.length > 0 && !endBytesBuffer.isEmpty())) {
// If the input stream is done, get the byte from the buffer instead
if (currentByte == -1) {
currentByte = endBytesBuffer.remove(0);
streamDone = true;
} else {
lastByte = (byte) currentByte;
}
// Check to see if an end frame has been received
if (endOfMessageBytes.length > 0 && !streamDone) {
if (endBytesBuffer.size() == endOfMessageBytes.length) {
// Shift the buffer window over one, popping the first element and writing it to the
// output stream
capturedBytes.write(endBytesBuffer.remove(0));
}
// Add the byte to the buffer
endBytesBuffer.add((byte) currentByte);
// Check to see if the current buffer window equals the ending byte sequence
boolean endBytesFound = true;
for (int i = 0; i <= endBytesBuffer.size() - 1; i++) {
if (endBytesBuffer.get(i) != endOfMessageBytes[i]) {
endBytesFound = false;
break;
}
}
if (endBytesFound) {
// Ending bytes sequence has been detected
streamDone = true;
return capturedBytes.toByteArray();
}
} else {
// Add the byte to the main output stream
capturedBytes.write(currentByte);
}
if (!streamDone) {
// Allow subclass to check the current byte stream and return immediately
byte[] returnBytes =
batchStreamReader.checkForIntermediateMessage(
capturedBytes, endBytesBuffer, lastByte);
if (returnBytes != null) {
return returnBytes;
}
}
}
} catch (Throwable e) {
if (!returnDataOnException) {
if (e instanceof IOException) {
// If an IOException occurred and we're not allowing data to return, throw the exception
if (checkStartOfMessageBytes && firstBytes.size() > 0) {
// At least some bytes have been read, but the start of message bytes were not detected
throw new FrameStreamHandlerException(
true,
startOfMessageBytes,
ArrayUtils.toPrimitive(firstBytes.toArray(new Byte[0])),
e);
}
if (capturedBytes.size() + endBytesBuffer.size() > 0 && endOfMessageBytes.length > 0) {
// At least some bytes have been captured, but the end of message bytes were not
// detected
throw new FrameStreamHandlerException(false, endOfMessageBytes, getLastBytes(), e);
}
throw (IOException) e;
} else {
// If any other Throwable was caught, return null to indicate that we're done
return null;
}
}
}
// Flush the buffer to the main output stream
for (Byte bufByte : endBytesBuffer) {
capturedBytes.write(bufByte);
}
return capturedBytes.size() > 0 ? capturedBytes.toByteArray() : null;
}
@Test
public void comparison1Unit2Units() {
final MulticurveProviderDiscount[] units = new MulticurveProviderDiscount[2];
final CurveBuildingBlockBundle[] bb = new CurveBuildingBlockBundle[2];
final YieldAndDiscountCurve[] curveDsc = new YieldAndDiscountCurve[2];
final YieldAndDiscountCurve[] curveFwd = new YieldAndDiscountCurve[2];
for (int loopblock = 0; loopblock < 2; loopblock++) {
units[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getFirst();
bb[loopblock] = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(loopblock).getSecond();
curveDsc[loopblock] = units[loopblock].getCurve(AUD);
curveFwd[loopblock] = units[loopblock].getCurve(AUDBB3M);
}
assertEquals(
"Curve construction: 1 unit / 2 units ",
curveDsc[0].getNumberOfParameters(),
curveDsc[1].getNumberOfParameters());
assertEquals(
"Curve construction: 1 unit / 2 units ",
curveFwd[0].getNumberOfParameters(),
curveFwd[1].getNumberOfParameters());
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveDsc[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getXData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getXData()),
TOLERANCE_CAL);
assertArrayEquals(
"Curve construction: 1 unit / 2 units ",
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[0]).getCurve().getYData()),
ArrayUtils.toPrimitive(((YieldCurve) curveFwd[1]).getCurve().getYData()),
TOLERANCE_CAL);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[0].getBlock(CURVE_NAME_FWD3_AUD).getFirst(),
bb[1].getBlock(CURVE_NAME_FWD3_AUD).getFirst());
// Test note: the discounting curve building blocks are not the same; in one case both curves
// are build together in the other one after the other.
final int nbLineDsc = bb[0].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows();
final int nbLineFwd3 = bb[0].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows();
final int nbLineFwd6 = bb[0].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows();
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_DSC_AUD).getSecond().getNumberOfRows(),
nbLineDsc);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_FWD3_AUD).getSecond().getNumberOfRows(),
nbLineFwd3);
assertEquals(
"Curve construction: 1 unit / 2 units ",
bb[1].getBlock(CURVE_NAME_FWD6_AUD).getSecond().getNumberOfRows(),
nbLineFwd6);
}
@Override
public Set<ComputedValue> execute(
final FunctionExecutionContext executionContext,
final FunctionInputs inputs,
final ComputationTarget target,
final Set<ValueRequirement> desiredValues)
throws AsynchronousExecution {
final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
final ValueRequirement requirement = desiredValues.iterator().next();
final ValueProperties properties = requirement.getConstraints().copy().get();
final LegacyVanillaCDSSecurity security = (LegacyVanillaCDSSecurity) target.getSecurity();
// LegacyVanillaCreditDefaultSwapDefinition cds =
// _converter.visitLegacyVanillaCDSSecurity(security);
final ValueRequirement desiredValue = desiredValues.iterator().next(); // all same constraints
final String quoteConventionString =
desiredValue.getConstraint(ISDAFunctionConstants.CDS_QUOTE_CONVENTION);
final StandardCDSQuotingConvention quoteConvention =
StandardCDSQuotingConvention.parse(quoteConventionString);
final CdsRecoveryRateIdentifier recoveryRateIdentifier =
security.accept(
new CreditSecurityToRecoveryRateVisitor(executionContext.getSecuritySource()));
Object recoveryRateObject =
inputs.getValue(
new ValueRequirement(
"PX_LAST",
ComputationTargetType.PRIMITIVE,
recoveryRateIdentifier.getExternalId()));
if (recoveryRateObject == null) {
throw new OpenGammaRuntimeException("Could not get recovery rate");
// s_logger.warn("Could not get recovery rate, defaulting to 0.4: " + recoveryRateIdentifier);
// recoveryRateObject = 0.4;
}
final double recoveryRate = (Double) recoveryRateObject;
// get the isda curve
final Object isdaObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE);
if (isdaObject == null) {
throw new OpenGammaRuntimeException("Couldn't get isda curve");
}
final ISDACompliantYieldCurve yieldCurve = (ISDACompliantYieldCurve) isdaObject;
// spreads
NodalTenorDoubleCurve spreadObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.BUCKETED_SPREADS);
if (spreadObject == null) {
throw new OpenGammaRuntimeException("Unable to get spreads");
}
final double[] spreads = ArrayUtils.toPrimitive(spreadObject.getYData());
// final String pillarString = IMMDateGenerator.isIMMDate(security.getMaturityDate()) ?
// requirement.getConstraint(ISDAFunctionConstants.ISDA_BUCKET_TENORS) :
// ISDACompliantCreditCurveFunction.NON_IMM_PILLAR_TENORS;
final ZonedDateTime[] bucketDates =
SpreadCurveFunctions.getPillarDates(now, spreadObject.getXData());
final CDSQuoteConvention[] quotes =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(), spreads, security.getParSpread(), quoteConvention, false);
// spreads
NodalTenorDoubleCurve pillarObject =
(NodalTenorDoubleCurve) inputs.getValue(ValueRequirementNames.PILLAR_SPREADS);
if (pillarObject == null) {
throw new OpenGammaRuntimeException("Unable to get pillars");
}
// CDS analytics for credit curve (possible performance improvement if earlier result obtained)
// final LegacyVanillaCreditDefaultSwapDefinition curveCDS = cds.withStartDate(now);
// security.setStartDate(now); // needed for curve instruments
final CDSAnalytic[] bucketCDSs = new CDSAnalytic[bucketDates.length];
for (int i = 0; i < bucketCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
bucketDates[i].toLocalDate(),
recoveryRate);
bucketCDSs[i] = security.accept(visitor);
}
final ZonedDateTime[] pillarDates =
SpreadCurveFunctions.getPillarDates(now, pillarObject.getXData());
final CDSAnalytic[] pillarCDSs = new CDSAnalytic[pillarDates.length];
for (int i = 0; i < pillarCDSs.length; i++) {
// security.setMaturityDate(bucketDates[i]);
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(
now.toLocalDate(),
_holidaySource,
_regionSource,
security.getStartDate().toLocalDate(),
pillarDates[i].toLocalDate(),
recoveryRate);
pillarCDSs[i] = security.accept(visitor);
}
final ISDACompliantCreditCurve creditCurve =
(ISDACompliantCreditCurve) inputs.getValue(ValueRequirementNames.HAZARD_RATE_CURVE);
if (creditCurve == null) {
throw new OpenGammaRuntimeException("Couldnt get credit curve");
}
// final CDSAnalytic analytic = CDSAnalyticConverter.create(cds, now.toLocalDate());
final CDSAnalyticVisitor visitor =
new CDSAnalyticVisitor(now.toLocalDate(), _holidaySource, _regionSource, recoveryRate);
final CDSAnalytic analytic = security.accept(visitor);
final BuySellProtection buySellProtection =
security.isBuy() ? BuySellProtection.BUY : BuySellProtection.SELL;
// final String term = new Tenor(Period.between(security.getStartDate().toLocalDate(),
// security.getMaturityDate().toLocalDate())).getPeriod().toString();
// final Double cdsQuoteDouble = (Double) inputs.getValue(new
// ValueRequirement(MarketDataRequirementNames.MARKET_VALUE,
// ComputationTargetType.PRIMITIVE, ExternalId.of("Tenor", term)));
final Double cdsQuoteDouble = (Double) inputs.getValue(MarketDataRequirementNames.MARKET_VALUE);
if (cdsQuoteDouble == null) {
throw new OpenGammaRuntimeException("Couldn't get spread for " + security);
}
final CDSQuoteConvention quote =
SpreadCurveFunctions.getQuotes(
security.getMaturityDate(),
new double[] {cdsQuoteDouble},
security.getParSpread(),
quoteConvention,
true)[0];
boolean isNonIMMFAndFromPUF =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& quote instanceof PointsUpFront;
boolean isNonIMMAndFromSpread =
!IMMDateLogic.isIMMDate(security.getMaturityDate().toLocalDate())
&& (quote instanceof QuotedSpread || quote instanceof ParSpread);
int buySellPremiumFactor = security.isBuy() ? -1 : 1;
final double notional = security.getNotional().getAmount();
final double coupon = security.getParSpread() * ONE_BPS;
final PointsUpFront puf =
getPointsUpfront(quote, buySellProtection, yieldCurve, analytic, creditCurve);
final double accruedPremiumPrim =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccruedPremium(coupon);
// final double accruedPremium = isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 :
// analytic.getAccruedPremium(coupon) * notional * buySellPremiumFactor;
final double accruedPremium =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF
? 0
: accruedPremiumPrim * notional * buySellPremiumFactor;
final int accruedDays =
isNonIMMAndFromSpread || isNonIMMFAndFromPUF ? 0 : analytic.getAccuredDays();
final double quotedSpread =
getQuotedSpread(quote, puf, buySellProtection, yieldCurve, analytic).getQuotedSpread();
final double upfrontAmount =
isNonIMMAndFromSpread
? 0
: getUpfrontAmount(analytic, puf, notional, accruedPremiumPrim, buySellProtection);
final double cleanPV = puf.getPointsUpFront() * notional;
final double principal = isNonIMMAndFromSpread ? 0 : cleanPV;
final double cleanPrice = getCleanPrice(puf);
final TenorLabelledMatrix1D bucketedCS01 =
getBucketedCS01(
analytic,
bucketCDSs,
spreadObject.getXData(),
quote,
notional,
yieldCurve,
creditCurve);
final double parallelCS01 =
getParallelCS01(
quote,
analytic,
yieldCurve,
notional,
pillarCDSs,
ArrayUtils.toPrimitive(pillarObject.getYData()));
final Set<ComputedValue> results = Sets.newHashSetWithExpectedSize(_valueRequirements.length);
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_PREMIUM, target.toSpecification(), properties),
accruedPremium));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.ACCRUED_DAYS, target.toSpecification(), properties),
accruedDays));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.QUOTED_SPREAD, target.toSpecification(), properties),
quotedSpread / ONE_BPS));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.UPFRONT_AMOUNT, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.DIRTY_PRESENT_VALUE, target.toSpecification(), properties),
upfrontAmount));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRESENT_VALUE, target.toSpecification(), properties),
cleanPV));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PRINCIPAL, target.toSpecification(), properties),
principal));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.CLEAN_PRICE, target.toSpecification(), properties),
cleanPrice));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.BUCKETED_CS01, target.toSpecification(), properties),
bucketedCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.PARALLEL_CS01, target.toSpecification(), properties),
parallelCS01));
results.add(
new ComputedValue(
new ValueSpecification(
ValueRequirementNames.POINTS_UPFRONT, target.toSpecification(), properties),
puf.getPointsUpFront()));
return results;
}
/**
* @brief 数组工具
* @details 详细说明
* @warning 注意事项
* @date 2014-7-11 上午11:25:18
*/
@Test
public void array() {
// 追加元素到数组尾部
int[] array1 = {1, 2};
array1 = ArrayUtils.add(array1, 3); // => [1, 2, 3]
System.out.println(array1.length); // 3
System.out.println(array1[2]); // 3
// 删除指定位置的元素
int[] array2 = {1, 2, 3};
array2 = ArrayUtils.remove(array2, 2); // => [1, 2]
System.out.println(array2.length); // 2
// 截取部分元素
int[] array3 = {1, 2, 3, 4};
array3 = ArrayUtils.subarray(array3, 1, 3); // => [2, 3]
System.out.println(array3.length); // 2
// 数组拷贝
String[] array4 = {"aaa", "bbb", "ccc"};
String[] copied = (String[]) ArrayUtils.clone(array4); // => {"aaa", "bbb", "ccc"}
System.out.println(copied.length); // 3
// 判断是否包含某元素
String[] array5 = {"aaa", "bbb", "ccc", "bbb"};
boolean result1 = ArrayUtils.contains(array5, "bbb"); // => true
System.out.println(result1); // true
// 判断某元素在数组中出现的位置（从前往后，没有返回-1）
int result2 = ArrayUtils.indexOf(array5, "bbb"); // => 1
System.out.println(result2); // 1
// 判断某元素在数组中出现的位置（从后往前，没有返回-1）
int result3 = ArrayUtils.lastIndexOf(array5, "bbb"); // => 3
System.out.println(result3); // 3
// 数组转Map
Map<Object, Object> map =
ArrayUtils.toMap(
new String[][] {
{"key1", "value1"},
{"key2", "value2"}
});
System.out.println(map.get("key1")); // "value1"
System.out.println(map.get("key2")); // "value2"
// 判断数组是否为空
Object[] array61 = new Object[0];
Object[] array62 = null;
Object[] array63 = new Object[] {"aaa"};
System.out.println(ArrayUtils.isEmpty(array61)); // true
System.out.println(ArrayUtils.isEmpty(array62)); // true
// 判断数组长度是否相等
Object[] array71 = new Object[] {"aa", "bb", "cc"};
Object[] array72 = new Object[] {"dd", "ee", "ff"};
System.out.println(ArrayUtils.isSameLength(array71, array72)); // true
// 判断数组元素内容是否相等
Object[] array81 = new Object[] {"aa", "bb", "cc"};
Object[] array82 = new Object[] {"aa", "bb", "cc"};
System.out.println(ArrayUtils.isEquals(array81, array82));
// Integer[] 转化为 int[]
Integer[] array9 = new Integer[] {1, 2};
int[] result = ArrayUtils.toPrimitive(array9);
System.out.println(result.length); // 2
System.out.println(result[0]); // 1
// int[] 转化为 Integer[]
int[] array10 = new int[] {1, 2};
Integer[] result10 = ArrayUtils.toObject(array10);
System.out.println(result.length); // 2
System.out.println(result10[0].intValue()); // 1
}