private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point)
{
double expiryTime = point.Expiry;
double strike = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Strike : point.Strike;
double forward = currencyPair.isInverse(point.CurrencyPair) ? 1d / point.Forward : point.Forward;
double pointValue = point.Sensitivity;
DoubleMatrix bucketedSensi = smile.volatilityAndSensitivities(expiryTime, strike, forward).Sensitivities;
double[] times = smile.Expiries.toArray();
int nTimes = times.Length;
IList <double> sensiList = new List <double>();
IList <ParameterMetadata> paramList = new List <ParameterMetadata>();
for (int i = 0; i < nTimes; ++i)
{
DoubleArray deltas = smile.VolatilityTerm.get(i).Delta;
int nDeltas = deltas.size();
int nDeltasTotal = 2 * nDeltas + 1;
double[] deltasTotal = new double[nDeltasTotal]; // absolute delta
deltasTotal[nDeltas] = 0.5d;
for (int j = 0; j < nDeltas; ++j)
{
deltasTotal[j] = 1d - deltas.get(j);
deltasTotal[2 * nDeltas - j] = deltas.get(j);
}
for (int j = 0; j < nDeltasTotal; ++j)
{
sensiList.Add(bucketedSensi.get(i, j) * pointValue);
DeltaStrike absoluteDelta = DeltaStrike.of(deltasTotal[j]);
ParameterMetadata parameterMetadata = FxVolatilitySurfaceYearFractionParameterMetadata.of(times[i], absoluteDelta, currencyPair);
paramList.Add(parameterMetadata);
}
}
return(CurrencyParameterSensitivity.of(name, paramList, point.Currency, DoubleArray.copyOf(sensiList)));
}
//-------------------------------------------------------------------------
private static ImmutableList <ParameterMetadata> createParameterMetadata(double expiry, DoubleArray delta)
{
ArgChecker.notNull(delta, "delta");
int nbDelta = delta.size();
ParameterMetadata[] parameterMetadata = new ParameterMetadata[2 * nbDelta + 1];
parameterMetadata[nbDelta] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(0.5d));
for (int i = 0; i < nbDelta; i++)
{
parameterMetadata[i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(1d - delta.get(i))); // Put
parameterMetadata[2 * nbDelta - i] = GenericVolatilitySurfaceYearFractionParameterMetadata.of(expiry, DeltaStrike.of(delta.get(i))); // Call
}
return(ImmutableList.copyOf(parameterMetadata));
}
