Java tutorial
/** * Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies * * Please see distribution for license. */ package com.opengamma.financial.analytics.model; import java.text.DecimalFormat; import java.util.ArrayList; import java.util.List; import java.util.Map; import java.util.Map.Entry; import javax.time.calendar.Period; import org.apache.commons.lang.ArrayUtils; import com.opengamma.OpenGammaRuntimeException; import com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilityQuoteSensitivityDataBundle; import com.opengamma.analytics.math.matrix.DoubleMatrix2D; import com.opengamma.financial.analytics.DoubleLabelledMatrix2D; import com.opengamma.financial.analytics.DoubleLabelledMatrix3D; import com.opengamma.financial.analytics.volatility.surface.VolatilitySurfaceDefinition; import com.opengamma.util.time.Tenor; import com.opengamma.util.tuple.Pair; /** * */ public class VegaMatrixHelper { private static final Tenor[] EMPTY_TENOR_ARRAY = new Tenor[0]; private static final DecimalFormat FX_OPTION_FORMATTER = new DecimalFormat("##"); private static final DecimalFormat IR_FUTURE_OPTION_FORMATTER = new DecimalFormat("##.###"); public static DoubleLabelledMatrix2D getVegaFXQuoteMatrixInStandardForm( final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle data) { final double[] expiries = data.getExpiries(); final double[] delta = data.getDelta(); final double[][] vega = data.getVega(); final int nDelta = delta.length; final int nExpiries = expiries.length; final Double[] rowValues = new Double[nExpiries]; final String[] rowLabels = new String[nExpiries]; final Double[] columnValues = new Double[nDelta]; final String[] columnLabels = new String[nDelta]; final double[][] values = new double[nDelta][nExpiries]; columnLabels[0] = "ATM " + " " + data.getCurrencyPair().getFirst() + "/" + data.getCurrencyPair().getSecond(); columnValues[0] = 0.; final int n = (nDelta - 1) / 2; for (int i = 0; i < n; i++) { columnLabels[1 + i] = "RR " + FX_OPTION_FORMATTER.format(delta[i] * 100) + " " + data.getCurrencyPair().getFirst() + "/" + data.getCurrencyPair().getSecond(); columnValues[1 + i] = 1. + i; columnLabels[n + 1 + i] = "B " + FX_OPTION_FORMATTER.format(delta[i] * 100) + " " + data.getCurrencyPair().getFirst() + "/" + data.getCurrencyPair().getSecond(); columnValues[n + 1 + i] = n + 1. + i; } for (int j = 0; j < nExpiries; j++) { rowValues[j] = expiries[j]; rowLabels[j] = getFXVolatilityFormattedExpiry(expiries[j]); } for (int i = 0; i < nDelta; i++) { for (int j = 0; j < nExpiries; j++) { values[i][j] = vega[j][i]; } } return new DoubleLabelledMatrix2D(rowValues, rowLabels, columnValues, columnLabels, values); } public static DoubleLabelledMatrix2D getVegaIRFutureOptionQuoteMatrixInStandardForm( final VolatilitySurfaceDefinition<?, ?> definition, final DoubleMatrix2D matrix, final double[] expiryValues) { final int columns = matrix.getNumberOfRows(); if (columns != expiryValues.length) { throw new OpenGammaRuntimeException("Should never happen"); } final int rows = matrix.getNumberOfColumns(); final Double[] rowValues = new Double[rows]; final Double[] columnValues = new Double[columns]; final Object[] rowLabels = new Object[rows]; final Object[] columnLabels = new Object[columns]; final double[][] values = new double[rows][columns]; final Object[] strikes = definition.getYs(); final Object[] nFutureOption = definition.getXs(); for (int i = 0; i < rows; i++) { final double strike = ((Number) strikes[i]).doubleValue(); rowValues[i] = strike; rowLabels[i] = IR_FUTURE_OPTION_FORMATTER.format(strike); for (int j = 0; j < columns; j++) { if (i == 0) { final int n = ((Number) nFutureOption[j]).intValue(); columnValues[j] = Double.valueOf(n); columnLabels[j] = n; } values[i][j] = matrix.getEntry(j, i); } } return new DoubleLabelledMatrix2D(columnValues, columnLabels, rowValues, rowLabels, values); } 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()); } 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); } private static String getFXVolatilityFormattedExpiry(final double expiry) { if (expiry < 1. / 54) { final int days = (int) Math.ceil((365 * expiry)); return days + "D"; } if (expiry < 1. / 13) { final int weeks = (int) Math.ceil((52 * expiry)); return weeks + "W"; } if (expiry < 0.95) { final int months = (int) Math.ceil((12 * expiry)); return months + "M"; } return ((int) Math.ceil(expiry)) + "Y"; } private static double getTime(final Tenor tenor) { //TODO this should be moved into a utils class final Period period = tenor.getPeriod(); final double months = period.totalMonths(); return months / 12.; } }