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;
}
public static Map<String, List<ForwardSensitivity>> multipliedByFwd(
final Map<String, List<ForwardSensitivity>> map, final double factor) {
final Map<String, List<ForwardSensitivity>> result = new HashMap<>();
for (final Map.Entry<String, List<ForwardSensitivity>> entry : map.entrySet()) {
final List<ForwardSensitivity> curveSensi = new ArrayList<>();
for (final ForwardSensitivity pair : entry.getValue()) {
curveSensi.add(
new ForwardSensitivity(
pair.getStartTime(),
pair.getEndTime(),
pair.getAccrualFactor(),
pair.getValue() * factor));
}
result.put(entry.getKey(), curveSensi);
}
return result;
}
/**
* Product of two sensitivities
*
* @param map1 the original sensitivity
* @param map2 the other sensitivity
* @return the new sensitivity
*/
public static Map<String, List<ForwardSensitivity>> productOfFwd(
final Map<String, List<ForwardSensitivity>> map1,
final Map<String, List<ForwardSensitivity>> map2) {
final Map<String, List<ForwardSensitivity>> result = new HashMap<>();
for (final Map.Entry<String, List<ForwardSensitivity>> entry : map1.entrySet()) {
final List<ForwardSensitivity> curveSensi = new ArrayList<>();
final String name = entry.getKey();
if (map2.containsKey(name)) {
final int length2 = map2.size();
for (final ForwardSensitivity pair1 : entry.getValue()) {
for (int i = 0; i < length2; ++i) {
if (pair1.getStartTime() == map2.get(name).get(i).getStartTime()
&& pair1.getEndTime() == map2.get(name).get(i).getEndTime()) {
curveSensi.add(
new ForwardSensitivity(
pair1.getStartTime(),
pair1.getEndTime(),
pair1.getAccrualFactor(),
pair1.getValue() * map2.get(name).get(i).getValue()));
}
}
}
}
result.put(entry.getKey(), curveSensi);
}
return result;
}
