// Calculate the total rate sensitivity
internal PointSensitivityBuilder calculateRateSensitivity()
{
double factor = pastCompositionFactor() * valuationCompositionFactor() / accrualFactorTotal;
ObjDoublePair <PointSensitivityBuilder> compositionFactorAndSensitivityNonCutoff = this.compositionFactorAndSensitivityNonCutoff();
ObjDoublePair <PointSensitivityBuilder> compositionFactorAndSensitivityCutoff = this.compositionFactorAndSensitivityCutoff();
PointSensitivityBuilder combinedPointSensitivity = compositionFactorAndSensitivityNonCutoff.First.multipliedBy(compositionFactorAndSensitivityCutoff.Second * factor);
combinedPointSensitivity = combinedPointSensitivity.combinedWith(compositionFactorAndSensitivityCutoff.First.multipliedBy(compositionFactorAndSensitivityNonCutoff.Second * factor));
return(combinedPointSensitivity);
}
// Composition - forward part in non-cutoff period; past/valuation date case dealt with in previous methods
internal ObjDoublePair <PointSensitivityBuilder> compositionFactorAndSensitivityNonCutoff()
{
if (!nextFixing.isAfter(lastFixingNonCutoff))
{
OvernightIndexObservation obs = computation.observeOn(nextFixing);
LocalDate startDate = obs.EffectiveDate;
LocalDate endDate = computation.calculateMaturityFromFixing(lastFixingNonCutoff);
double accrualFactor = dayCount.yearFraction(startDate, endDate);
double rate = rates.periodRate(obs, endDate);
PointSensitivityBuilder rateSensitivity = rates.periodRatePointSensitivity(obs, endDate);
rateSensitivity = rateSensitivity.multipliedBy(accrualFactor);
return(ObjDoublePair.of(rateSensitivity, 1.0d + accrualFactor * rate));
}
return(ObjDoublePair.of(PointSensitivityBuilder.none(), 1.0d));
}
// constructor that sorts (artificial boolean flag)
private InterpolatedNodalSurface(SurfaceMetadata metadata, DoubleArray xValues, DoubleArray yValues, DoubleArray zValues, SurfaceInterpolator interpolator, bool sort)
{
validateInputs(metadata, xValues, yValues, zValues, interpolator);
// sort inputs
IDictionary <DoublesPair, ObjDoublePair <ParameterMetadata> > sorted = new SortedDictionary <DoublesPair, ObjDoublePair <ParameterMetadata> >();
for (int i = 0; i < xValues.size(); i++)
{
ParameterMetadata pm = metadata.getParameterMetadata(i);
sorted[DoublesPair.of(xValues.get(i), yValues.get(i))] = ObjDoublePair.of(pm, zValues.get(i));
}
double[] sortedX = new double[sorted.Count];
double[] sortedY = new double[sorted.Count];
double[] sortedZ = new double[sorted.Count];
ParameterMetadata[] sortedPm = new ParameterMetadata[sorted.Count];
int pos = 0;
foreach (KeyValuePair <DoublesPair, ObjDoublePair <ParameterMetadata> > entry in sorted.SetOfKeyValuePairs())
{
sortedX[pos] = entry.Key.First;
sortedY[pos] = entry.Key.Second;
sortedZ[pos] = entry.Value.Second;
sortedPm[pos] = entry.Value.First;
pos++;
}
// assign
SurfaceMetadata sortedMetadata = metadata.withParameterMetadata(Arrays.asList(sortedPm));
this.metadata = sortedMetadata;
this.xValues = DoubleArray.ofUnsafe(sortedX);
this.yValues = DoubleArray.ofUnsafe(sortedY);
this.zValues = DoubleArray.ofUnsafe(sortedZ);
IDictionary <DoublesPair, double> pairs = new Dictionary <DoublesPair, double>();
for (int i = 0; i < xValues.size(); i++)
{
pairs[DoublesPair.of(xValues.get(i), yValues.get(i))] = zValues.get(i);
}
this.interpolator = interpolator;
this.boundInterpolator = interpolator.bind(this.xValues, this.yValues, this.zValues);
this.parameterMetadata = IntStream.range(0, ParameterCount).mapToObj(i => sortedMetadata.getParameterMetadata(i)).collect(toImmutableList());
}
// Composition - forward part in the cutoff period; past/valuation date case dealt with in previous methods
internal ObjDoublePair <PointSensitivityBuilder> compositionFactorAndSensitivityCutoff()
{
OvernightIndexObservation obs = computation.observeOn(lastFixingNonCutoff);
if (!nextFixing.isAfter(lastFixingNonCutoff))
{
double rate = rates.rate(obs);
double compositionFactor = 1.0d;
double compositionFactorDerivative = 0.0;
for (int i = 0; i < cutoffOffset - 1; i++)
{
compositionFactor *= 1.0d + accrualFactorCutoff[i] * rate;
compositionFactorDerivative += accrualFactorCutoff[i] / (1.0d + accrualFactorCutoff[i] * rate);
}
compositionFactorDerivative *= compositionFactor;
PointSensitivityBuilder rateSensitivity = cutoffOffset <= 1 ? PointSensitivityBuilder.none() : rates.ratePointSensitivity(obs);
rateSensitivity = rateSensitivity.multipliedBy(compositionFactorDerivative);
return(ObjDoublePair.of(rateSensitivity, compositionFactor));
}
return(ObjDoublePair.of(PointSensitivityBuilder.none(), 1.0d));
}
