Example usage for java.lang Double doubleToLongBits

List of usage examples for java.lang Double doubleToLongBits

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Introduction

In this page you can find the example usage for java.lang Double doubleToLongBits.

Prototype

@HotSpotIntrinsicCandidate
public static long doubleToLongBits(double value)

Source Link

Document

Returns a representation of the specified floating-point value according to the IEEE 754 floating-point "double format" bit layout.

Usage

From source file:com.opengamma.analytics.financial.model.option.pricing.analytic.formula.AmericanVanillaOption.java

@Override
public int hashCode() {
    final int prime = 31;
    int result = 1;
    result = prime * result + (_isCall ? 1231 : 1237);
    long temp;//from   w  w w .j a  v a 2  s.c om
    temp = Double.doubleToLongBits(_strike);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    temp = Double.doubleToLongBits(_timeToExpiry);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    return result;
}

From source file:com.opengamma.analytics.financial.model.volatility.NormalImpliedVolatilityFormula.java

/**
 * Computes the implied volatility from the price in a normally distributed asset price world.
 * @param data The model data. The data volatility, if not zero, is used as a starting point for the volatility search.
 * @param option The option./* w w w. ja  v a2s  .  c o  m*/
 * @param optionPrice The option price.
 * @return The implied volatility.
 */
public double getImpliedVolatility(final NormalFunctionData data, final EuropeanVanillaOption option,
        final double optionPrice) {
    final double numeraire = data.getNumeraire();
    final boolean isCall = option.isCall();
    final double f = data.getForward();
    final double k = option.getStrike();
    final double intrinsicPrice = numeraire * Math.max(0, (isCall ? 1 : -1) * (f - k));
    Validate.isTrue(optionPrice > intrinsicPrice || CompareUtils.closeEquals(optionPrice, intrinsicPrice, 1e-6),
            "option price (" + optionPrice + ") less than intrinsic value (" + intrinsicPrice + ")");
    if (Double.doubleToLongBits(optionPrice) == Double.doubleToLongBits(intrinsicPrice)) {
        return 0.0;
    }
    double sigma = (Math.abs(data.getNormalVolatility()) < 1E-10 ? 0.3 * f : data.getNormalVolatility());
    NormalFunctionData newData = new NormalFunctionData(f, numeraire, sigma);
    final double maxChange = 0.5 * f;
    double[] priceDerivative = new double[3];
    double price = NORMAL_PRICE_FUNCTION.getPriceAdjoint(option, newData, priceDerivative);
    double vega = priceDerivative[1];
    double change = (price - optionPrice) / vega;
    double sign = Math.signum(change);
    change = sign * Math.min(maxChange, Math.abs(change));
    if (change > 0 && change > sigma) {
        change = sigma;
    }
    int count = 0;
    while (Math.abs(change) > EPS) {
        sigma -= change;
        newData = new NormalFunctionData(f, numeraire, sigma);
        price = NORMAL_PRICE_FUNCTION.getPriceAdjoint(option, newData, priceDerivative);
        vega = priceDerivative[1];
        change = (price - optionPrice) / vega;
        sign = Math.signum(change);
        change = sign * Math.min(maxChange, Math.abs(change));
        if (change > 0 && change > sigma) {
            change = sigma;
        }
        if (count++ > MAX_ITERATIONS) {
            final BracketRoot bracketer = new BracketRoot();
            final BisectionSingleRootFinder rootFinder = new BisectionSingleRootFinder(EPS);
            final Function1D<Double, Double> func = new Function1D<Double, Double>() {
                @SuppressWarnings({ "synthetic-access" })
                @Override
                public Double evaluate(final Double volatility) {
                    final NormalFunctionData myData = new NormalFunctionData(data.getForward(),
                            data.getNumeraire(), volatility);
                    return NORMAL_PRICE_FUNCTION.getPriceFunction(option).evaluate(myData) - optionPrice;
                }
            };
            final double[] range = bracketer.getBracketedPoints(func, 0.0, 10.0);
            return rootFinder.getRoot(func, range[0], range[1]);
        }
    }
    return sigma;
}

From source file:com.opengamma.analytics.financial.model.option.definition.AsymmetricPowerOptionDefinition.java

@Override
public int hashCode() {
    final int prime = 31;
    int result = super.hashCode();
    long temp;/*from  w ww.java  2  s.  c o  m*/
    temp = Double.doubleToLongBits(_power);
    result = prime * result + (int) (temp ^ temp >>> 32);
    return result;
}

From source file:com.opengamma.analytics.financial.var.EmpiricalDistributionVaRParameters.java

@Override
public boolean equals(final Object obj) {
    if (this == obj) {
        return true;
    }//ww  w.  j  a  v a 2s.com
    if (obj == null) {
        return false;
    }
    if (getClass() != obj.getClass()) {
        return false;
    }
    final EmpiricalDistributionVaRParameters other = (EmpiricalDistributionVaRParameters) obj;
    if (Double.doubleToLongBits(_horizon) != Double.doubleToLongBits(other._horizon)) {
        return false;
    }
    if (Double.doubleToLongBits(_periods) != Double.doubleToLongBits(other._periods)) {
        return false;
    }
    if (Double.doubleToLongBits(_quantile) != Double.doubleToLongBits(other._quantile)) {
        return false;
    }
    return true;
}

From source file:com.opengamma.analytics.financial.model.option.definition.EuropeanStandardBarrierOptionDefinition.java

@Override
public int hashCode() {
    final int prime = 31;
    int result = super.hashCode();
    result = prime * result + ((_barrier == null) ? 0 : _barrier.hashCode());
    long temp;//from  w ww.  j a va 2s  .co m
    temp = Double.doubleToLongBits(_rebate);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    return result;
}

From source file:com.opengamma.analytics.financial.model.option.definition.Barrier.java

@Override
public boolean equals(final Object obj) {
    if (this == obj) {
        return true;
    }//from   ww  w  .j a va 2 s . com
    if (!(obj instanceof Barrier)) {
        return false;
    }
    final Barrier other = (Barrier) obj;
    return _barrier == other._barrier && _knock == other._knock && _observation == other._observation
            && Double.doubleToLongBits(_level) == Double.doubleToLongBits(other._level);
}

From source file:com.opengamma.analytics.financial.var.NormalVaRParameters.java

@Override
public boolean equals(final Object obj) {
    if (this == obj) {
        return true;
    }/*from   w  w  w. j  ava  2 s .c  om*/
    if (obj == null) {
        return false;
    }
    if (getClass() != obj.getClass()) {
        return false;
    }
    final NormalVaRParameters other = (NormalVaRParameters) obj;
    if (Double.doubleToLongBits(_horizon) != Double.doubleToLongBits(other._horizon)) {
        return false;
    }
    if (Double.doubleToLongBits(_periods) != Double.doubleToLongBits(other._periods)) {
        return false;
    }
    if (Double.doubleToLongBits(_quantile) != Double.doubleToLongBits(other._quantile)) {
        return false;
    }
    return true;
}

From source file:com.opengamma.analytics.financial.simpleinstruments.derivative.SimpleFuture.java

@Override
public boolean equals(final Object obj) {
    if (this == obj) {
        return true;
    }/*from   ww w .j  a  va  2 s  .c o  m*/
    if (obj == null) {
        return false;
    }
    if (getClass() != obj.getClass()) {
        return false;
    }
    SimpleFuture other = (SimpleFuture) obj;
    if (Double.doubleToLongBits(_expiry) != Double.doubleToLongBits(other._expiry)) {
        return false;
    }
    if (Double.doubleToLongBits(_referencePrice) != Double.doubleToLongBits(other._referencePrice)) {
        return false;
    }
    if (Double.doubleToLongBits(_settlement) != Double.doubleToLongBits(other._settlement)) {
        return false;
    }
    if (Double.doubleToLongBits(_unitAmount) != Double.doubleToLongBits(other._unitAmount)) {
        return false;
    }
    if (!ObjectUtils.equals(_currency, other._currency)) {
        return false;
    }
    return true;
}

From source file:com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData.java

@Override
public int hashCode() {
    final int prime = 31;
    int result = 1;
    long temp;// w  w  w .ja  v a2 s  .  c  om
    temp = Double.doubleToLongBits(_numeraire);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    temp = Double.doubleToLongBits(_f);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    temp = Double.doubleToLongBits(_sigma);
    result = prime * result + (int) (temp ^ (temp >>> 32));
    return result;
}

From source file:com.opengamma.analytics.financial.model.volatility.curve.FXVannaVolgaVolatilityCurveDataBundle.java

@Override
public boolean equals(final Object obj) {
    if (this == obj) {
        return true;
    }/*  w  ww .java2  s.com*/
    if (obj == null) {
        return false;
    }
    if (getClass() != obj.getClass()) {
        return false;
    }
    final FXVannaVolgaVolatilityCurveDataBundle other = (FXVannaVolgaVolatilityCurveDataBundle) obj;
    if (Double.doubleToLongBits(_atm) != Double.doubleToLongBits(other._atm)) {
        return false;
    }
    if (Double.doubleToLongBits(_delta) != Double.doubleToLongBits(other._delta)) {
        return false;
    }
    if (!ObjectUtils.equals(_maturity, other._maturity)) {
        return false;
    }
    if (Double.doubleToLongBits(_riskReversal) != Double.doubleToLongBits(other._riskReversal)) {
        return false;
    }
    if (Double.doubleToLongBits(_vegaWeightedButterfly) != Double
            .doubleToLongBits(other._vegaWeightedButterfly)) {
        return false;
    }
    return true;
}