Java LocalDate Calculate rebucketingArray(List targetDates, double[] rebucketedSensitivityAmounts, double sensitivityAmount, LocalDate sensitivityDate)

Description

Re-bucket one sensitivity at a specific date and add it to an existing array.

License

Open Source License

Parameter

Parameter	Description
targetDates	the list of dates for the re-bucketing
rebucketedSensitivityAmounts	the array of sensitivities; the array is modified by the method
sensitivityAmount	the value of the sensitivity at the given data
sensitivityDate	the date associated to the amount to re-bucket

Declaration

private static void rebucketingArray(List<LocalDate> targetDates, double[] rebucketedSensitivityAmounts,
        double sensitivityAmount, LocalDate sensitivityDate) 

Method Source Code

//package com.java2s;
/**/*w  w  w  .j  a va  2s .c om*/
 * Copyright (C) 2016 - present by OpenGamma Inc. and the OpenGamma group of companies
 *
 * Please see distribution for license.
 */

import java.time.LocalDate;

import java.util.List;

public class Main {
    /**
     * Re-bucket one sensitivity at a specific date and add it to an existing array.
     * 
     * @param targetDates  the list of dates for the re-bucketing
     * @param rebucketedSensitivityAmounts  the array of sensitivities; the array is modified by the method
     * @param sensitivityAmount  the value of the sensitivity at the given data
     * @param sensitivityDate  the date associated to the amount to re-bucket
     */
    private static void rebucketingArray(List<LocalDate> targetDates, double[] rebucketedSensitivityAmounts,
            double sensitivityAmount, LocalDate sensitivityDate) {

        int nbBuckets = targetDates.size();
        if (!sensitivityDate.isAfter(targetDates.get(0))) {
            rebucketedSensitivityAmounts[0] += sensitivityAmount;
        } else if (!sensitivityDate.isBefore(targetDates.get(nbBuckets - 1))) {
            rebucketedSensitivityAmounts[nbBuckets - 1] += sensitivityAmount;
        } else {
            int indexSensitivityDate = 0;
            while (sensitivityDate.isAfter(targetDates.get(indexSensitivityDate))) {
                indexSensitivityDate++;
            } // 'indexSensitivityDate' contains the index of the node after the sensitivity date 
            long intervalLength = targetDates.get(indexSensitivityDate).toEpochDay()
                    - targetDates.get(indexSensitivityDate - 1).toEpochDay();
            double weight = ((double) (targetDates.get(indexSensitivityDate).toEpochDay()
                    - sensitivityDate.toEpochDay())) / intervalLength;
            rebucketedSensitivityAmounts[indexSensitivityDate - 1] += weight * sensitivityAmount;
            rebucketedSensitivityAmounts[indexSensitivityDate] += (1.0d - weight) * sensitivityAmount;
        }
    }
}

Related

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8. stringDateToLocalDate(String day, String month, String year)
9. stringToLocalDate(String birthDate)