List of usage examples for org.apache.commons.lang ArrayUtils EMPTY_DOUBLE_OBJECT_ARRAY
Double[] EMPTY_DOUBLE_OBJECT_ARRAY
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Double array. From source file:com.opengamma.analytics.math.interpolation.Interpolator1D.java
public Interpolator1DDataBundle getDataBundle(final Map<Double, Double> data) { Validate.notNull(data, "Backing data for interpolation must not be null."); Validate.notEmpty(data, "Backing data for interpolation must not be empty."); if (data instanceof SortedMap) { final double[] keys = ArrayUtils .toPrimitive(data.keySet().toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY)); final double[] values = ArrayUtils .toPrimitive(data.values().toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY)); return getDataBundleFromSortedArrays(keys, values); }//from w w w. j av a2s. c o m final double[] keys = new double[data.size()]; final double[] values = new double[data.size()]; int i = 0; for (final Map.Entry<Double, Double> entry : data.entrySet()) { keys[i] = entry.getKey(); values[i] = entry.getValue(); i++; } return getDataBundle(keys, values); }
From source file:com.opengamma.financial.analytics.model.VegaMatrixHelper.java
public static DoubleLabelledMatrix3D getVegaSwaptionCubeQuoteMatrixInStandardForm( final Map<Pair<Tenor, Tenor>, Double[]> fittedPoints, final Map<Double, DoubleMatrix2D> matrices) { final List<Double> xKeysList = new ArrayList<Double>(); final List<Double> xLabelsList = new ArrayList<Double>(); final List<Double> yKeysList = new ArrayList<Double>(); final List<Tenor> yLabelsList = new ArrayList<Tenor>(); final List<Double> zKeysList = new ArrayList<Double>(); final List<Tenor> zLabelsList = new ArrayList<Tenor>(); for (final Entry<Pair<Tenor, Tenor>, Double[]> entry : fittedPoints.entrySet()) { final double swapMaturity = getTime(entry.getKey().getFirst()); if (!zKeysList.contains(swapMaturity)) { zKeysList.add(swapMaturity); zLabelsList.add(entry.getKey().getFirst()); }/*w w w . j a v a 2s. c o m*/ final double swaptionExpiry = getTime(entry.getKey().getSecond()); if (!yKeysList.contains(swaptionExpiry)) { yKeysList.add(swaptionExpiry); yLabelsList.add(entry.getKey().getSecond()); } if (xKeysList.size() == 0) { final Double[] relativeStrikesArray = entry.getValue(); for (final Double relativeStrike : relativeStrikesArray) { xKeysList.add(relativeStrike); xLabelsList.add(relativeStrike); } } } final Double[] xKeys = xKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Double[] xLabels = xLabelsList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Double[] yKeys = yKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Tenor[] yLabels = yLabelsList.toArray(EMPTY_TENOR_ARRAY); final Double[] zKeys = zKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Tenor[] zLabels = zLabelsList.toArray(EMPTY_TENOR_ARRAY); final double[][][] values = new double[zKeys.length][xKeys.length][yKeys.length]; for (int i = 0; i < zKeys.length; i++) { values[i] = matrices.get(zKeys[i]).toArray(); } return new DoubleLabelledMatrix3D(xKeys, xLabels, yKeys, yLabels, zKeys, zLabels, values); }
From source file:com.opengamma.financial.analytics.model.YieldCurveNodeSensitivitiesHelper.java
public static Set<ComputedValue> getTimeLabelledSensitivitiesForCurve(final List<DoublesPair> resultList, final ValueSpecification resultSpec) { final int n = resultList.size(); final Double[] keys = new Double[n]; final double[] values = new double[n]; final Object[] labels = new Object[n]; LabelledMatrix1D<Double, Double> labelledMatrix = new DoubleLabelledMatrix1D( ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY, ArrayUtils.EMPTY_OBJECT_ARRAY, ArrayUtils.EMPTY_DOUBLE_ARRAY); for (int i = 0; i < n; i++) { final DoublesPair pair = resultList.get(i); keys[i] = pair.first;/*from w w w. j a v a 2 s .c om*/ values[i] = pair.second; labels[i] = s_formatter.format(pair.first); labelledMatrix = labelledMatrix.add(pair.first, s_formatter.format(pair.first), pair.second, 1e-16); } return Collections.singleton(new ComputedValue(resultSpec, labelledMatrix)); }
From source file:com.opengamma.financial.analytics.model.VegaMatrixUtils.java
/** * Returns a bucketed swaption vega cube with swaption expiry / swap maturity / distance from ATM axes. * @param fittedPoints The points in the swaption volatility cube, not null * @param matrices a map from swaption expiry to vega matrix, not null * @return A labelled vega cube/*from w w w .j av a2 s .c o m*/ */ public static DoubleLabelledMatrix3D getVegaSwaptionCubeQuoteMatrix( final Map<Pair<Tenor, Tenor>, Double[]> fittedPoints, final Map<Double, DoubleMatrix2D> matrices) { ArgumentChecker.notNull(fittedPoints, "fitted points"); ArgumentChecker.notNull(matrices, "matrices"); final List<Double> xKeysList = new ArrayList<>(); final List<Double> xLabelsList = new ArrayList<>(); final List<Double> yKeysList = new ArrayList<>(); final List<Tenor> yLabelsList = new ArrayList<>(); final List<Double> zKeysList = new ArrayList<>(); final List<Tenor> zLabelsList = new ArrayList<>(); for (final Entry<Pair<Tenor, Tenor>, Double[]> entry : fittedPoints.entrySet()) { final double swapMaturity = getTime(entry.getKey().getFirst()); if (!zKeysList.contains(swapMaturity)) { zKeysList.add(swapMaturity); zLabelsList.add(entry.getKey().getFirst()); } final double swaptionExpiry = getTime(entry.getKey().getSecond()); if (!yKeysList.contains(swaptionExpiry)) { yKeysList.add(swaptionExpiry); yLabelsList.add(entry.getKey().getSecond()); } if (xKeysList.size() == 0) { final Double[] relativeStrikesArray = entry.getValue(); for (final Double relativeStrike : relativeStrikesArray) { xKeysList.add(relativeStrike); xLabelsList.add(relativeStrike); } } } final Double[] xKeys = xKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Double[] xLabels = xLabelsList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Double[] yKeys = yKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Tenor[] yLabels = yLabelsList.toArray(new Tenor[yLabelsList.size()]); final Double[] zKeys = zKeysList.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY); final Tenor[] zLabels = zLabelsList.toArray(new Tenor[zLabelsList.size()]); final double[][][] values = new double[zKeys.length][xKeys.length][yKeys.length]; for (int i = 0; i < zKeys.length; i++) { values[i] = matrices.get(zKeys[i]).toArray(); } return new DoubleLabelledMatrix3D(xKeys, xLabels, yKeys, yLabels, zKeys, zLabels, values); }
From source file:com.opengamma.financial.analytics.model.volatility.cube.SABRNonLinearSwaptionVolatilityCubeFittingFunctionNew.java
@Override public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) { final ConfigSource configSource = OpenGammaExecutionContext.getConfigSource(executionContext); final VolatilityCubeDefinitionSource definitionSource = new SyntheticSwaptionVolatilityCubeDefinitionSource( configSource);//ww w. ja v a2 s . c o m final ConfigDBSwaptionVolatilityCubeSpecificationSource specificationSource = new ConfigDBSwaptionVolatilityCubeSpecificationSource( configSource); final ValueRequirement desiredSurface = getDesiredSurfaceRequirement(desiredValues); final String definitionName = desiredSurface .getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_DEFINITION); final String specificationName = desiredSurface .getConstraint(SurfaceAndCubePropertyNames.PROPERTY_CUBE_SPECIFICATION); final String cubeName = desiredSurface.getConstraint(ValuePropertyNames.CUBE); final String curveName = desiredSurface.getConstraint(ValuePropertyNames.CURVE); final String curveCalculationMethod = desiredSurface .getConstraint(ValuePropertyNames.CURVE_CALCULATION_METHOD); final Object volatilityDataObject = inputs .getValue(getCubeDataRequirement(target, cubeName, definitionName, specificationName)); if (volatilityDataObject == null) { throw new OpenGammaRuntimeException("Could not get swaption volatility cube data"); } final String uniqueId = target.getUniqueId().getValue(); final Currency currency = Currency.of(uniqueId); final String fullSpecificationName = specificationName + "_" + uniqueId; final String fullDefinitionName = definitionName + "_" + uniqueId; final SwaptionVolatilityCubeSpecification specification = specificationSource .getSpecification(fullSpecificationName); if (specification == null) { throw new OpenGammaRuntimeException( "Could not get swaption volatility cube specification name " + fullSpecificationName); } final VolatilityCubeDefinition definition = definitionSource.getDefinition(currency, fullDefinitionName); if (definition == null) { throw new OpenGammaRuntimeException( "Could not get swaption volatility cube definition name " + fullDefinitionName); } final DoubleMatrix1D initialValues = getInitialParameters(desiredSurface); final BitSet fixed = getFixedParameters(desiredSurface); final String epsValue = desiredSurface.getConstraint(PROPERTY_EPS); final double eps = Double.parseDouble(epsValue); final GridInterpolator2D interpolator = getInterpolator(desiredSurface); final DoubleArrayList swapMaturitiesList = new DoubleArrayList(); final DoubleArrayList swaptionExpiriesList = new DoubleArrayList(); final DoubleArrayList alphaList = new DoubleArrayList(); final DoubleArrayList betaList = new DoubleArrayList(); final DoubleArrayList nuList = new DoubleArrayList(); final DoubleArrayList rhoList = new DoubleArrayList(); final DoubleArrayList chiSqList = new DoubleArrayList(); final Map<DoublesPair, DoubleMatrix2D> inverseJacobians = new HashMap<DoublesPair, DoubleMatrix2D>(); final Map<Pair<Tenor, Tenor>, ExternalId[]> fittedSmileIds = new HashMap<Pair<Tenor, Tenor>, ExternalId[]>(); final Map<Pair<Tenor, Tenor>, Double[]> fittedRelativeStrikes = new HashMap<Pair<Tenor, Tenor>, Double[]>(); final List<Tenor> swapTenorData = definition.getSwapTenors(); final List<Tenor> swaptionExpiryData = definition.getOptionExpiries(); final List<Double> relativeStrikeData = definition.getRelativeStrikes(); final VolatilityCubeData volatilityCubeData = (VolatilityCubeData) volatilityDataObject; final Map<VolatilityPoint, Double> dataPoint = volatilityCubeData.getDataPoints(); final Map<VolatilityPoint, ExternalId> idPoint = volatilityCubeData.getDataIds(); for (final Tenor swapTenor : swapTenorData) { final double maturity = getTime(swapTenor); for (final Tenor swaptionExpiry : swaptionExpiryData) { final Object forwardCurveObject = inputs.getValue(getForwardCurveRequirement(target, curveName, curveCalculationMethod, swaptionExpiry.getPeriod().toString())); if (forwardCurveObject == null) { s_logger.error("Could not get forward curve for swap tenor " + swapTenor); continue; } final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject; final double expiry = getTime(swaptionExpiry); final double forward = forwardCurve.getForward(maturity); final DoubleArrayList smileStrikes = new DoubleArrayList(); final DoubleArrayList smileBlackVols = new DoubleArrayList(); final DoubleArrayList errors = new DoubleArrayList(); final ObjectArrayList<ExternalId> externalIds = new ObjectArrayList<ExternalId>(); final ObjectArrayList<Double> smileDeltas = new ObjectArrayList<Double>(); for (final double relativeStrike : relativeStrikeData) { final VolatilityPoint volatilityPoint = new VolatilityPoint(swapTenor, swaptionExpiry, relativeStrike); final Double vol = dataPoint.get(volatilityPoint); if (vol != null) { final double strike = forward + relativeStrike; smileStrikes.add(strike); smileBlackVols.add(vol); errors.add(eps); externalIds.add(idPoint.get(volatilityPoint)); } } if (smileStrikes.size() > 4 && forward > 0) { //don't fit those smiles with insufficient data final LeastSquareResultsWithTransform fittedResult = new SABRModelFitter(forward, smileStrikes.toDoubleArray(), expiry, smileBlackVols.toDoubleArray(), errors.toDoubleArray(), SABR_FUNCTION).solve(initialValues, fixed); final DoubleMatrix1D parameters = fittedResult.getModelParameters(); swapMaturitiesList.add(maturity); swaptionExpiriesList.add(expiry); alphaList.add(parameters.getEntry(0)); betaList.add(parameters.getEntry(1)); rhoList.add(parameters.getEntry(2)); nuList.add(parameters.getEntry(3)); final Pair<Tenor, Tenor> tenorPair = Pair.of(swapTenor, swaptionExpiry); final DoublesPair expiryMaturityPair = new DoublesPair(expiry, maturity); inverseJacobians.put(expiryMaturityPair, fittedResult.getModelParameterSensitivityToData()); chiSqList.add(fittedResult.getChiSq()); fittedSmileIds.put(tenorPair, externalIds.toArray(EMPTY_ARRAY)); fittedRelativeStrikes.put(tenorPair, smileDeltas.toArray(ArrayUtils.EMPTY_DOUBLE_OBJECT_ARRAY)); } } } if (swapMaturitiesList.size() < 5) { //don't have sufficient fits to construct a surface throw new OpenGammaRuntimeException( "Could not construct SABR parameter surfaces; have under 5 surface points"); } final double[] swapMaturities = swapMaturitiesList.toDoubleArray(); final double[] swaptionExpiries = swaptionExpiriesList.toDoubleArray(); final double[] alpha = alphaList.toDoubleArray(); final double[] beta = betaList.toDoubleArray(); final double[] nu = nuList.toDoubleArray(); final double[] rho = rhoList.toDoubleArray(); final InterpolatedDoublesSurface alphaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, alpha, interpolator, "SABR alpha surface"); final InterpolatedDoublesSurface betaSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, beta, interpolator, "SABR beta surface"); final InterpolatedDoublesSurface nuSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, nu, interpolator, "SABR nu surface"); final InterpolatedDoublesSurface rhoSurface = InterpolatedDoublesSurface.from(swaptionExpiries, swapMaturities, rho, interpolator, "SABR rho surface"); final SABRFittedSurfaces fittedSurfaces = new SABRFittedSurfaces(alphaSurface, betaSurface, nuSurface, rhoSurface, inverseJacobians); final ValueProperties properties = getResultProperties(target, desiredSurface); final ValueSpecification sabrSurfacesSpecification = new ValueSpecification( ValueRequirementNames.SABR_SURFACES, target.toSpecification(), properties); final ValueSpecification smileIdsSpecification = new ValueSpecification( ValueRequirementNames.VOLATILITY_CUBE_FITTED_POINTS, target.toSpecification(), properties); return Sets.newHashSet(new ComputedValue(sabrSurfacesSpecification, fittedSurfaces), new ComputedValue( smileIdsSpecification, new FittedSmileDataPoints(fittedSmileIds, fittedRelativeStrikes))); }