public override SmileDeltaParameters withPerturbation(ParameterPerturbation perturbation)
{
int size = volatility.size();
DoubleArray perturbedValues = DoubleArray.of(size, i => perturbation(i, volatility.get(i), getParameterMetadata(i)));
return(new SmileDeltaParameters(expiry, delta, perturbedValues, parameterMetadata));
}
public override InterpolatedNodalCurve withPerturbation(ParameterPerturbation perturbation)
{
int size = yValues.size();
DoubleArray perturbedValues = DoubleArray.of(size, i => perturbation(i, yValues.get(i), getParameterMetadata(i)));
return(withYValues(perturbedValues));
}
public override ParameterizedFunctionalCurve withPerturbation(ParameterPerturbation perturbation)
{
int size = parameters.size();
DoubleArray perturbedValues = DoubleArray.of(size, i => perturbation(i, parameters.get(i), getParameterMetadata(i)));
return(withParameters(perturbedValues));
}
public override ParallelShiftedCurve withPerturbation(ParameterPerturbation perturbation)
{
Curve bumpedCurve = underlyingCurve.withPerturbation(perturbation);
int shiftIndex = underlyingCurve.ParameterCount;
double bumpedShift = perturbation(shiftIndex, shiftAmount, getParameterMetadata(shiftIndex));
return(new ParallelShiftedCurve(bumpedCurve, shiftType, bumpedShift));
}
/// <summary>
/// Applies a perturbation to each underlying.
/// <para>
/// The updated list of underlying instances is returned.
///
/// </para>
/// </summary>
/// @param <R> the type of the underlying </param>
/// <param name="underlyingType"> the type of the parameterized data at the specified index </param>
/// <param name="perturbation"> the perturbation to apply </param>
/// <returns> a parameterized data instance based on this with the specified parameter altered </returns>
/// <exception cref="IndexOutOfBoundsException"> if the index is invalid </exception>
public IList <R> withPerturbation <R>(Type <R> underlyingType, ParameterPerturbation perturbation) where R : ParameterizedData
{
ImmutableList.Builder <R> builder = ImmutableList.builder();
for (int i = 0; i < underlyings.Length; i++)
{
builder.add(underlyingWithPerturbation(i, underlyingType, perturbation));
}
return(builder.build());
}
//-------------------------------------------------------------------------
public virtual void test_withPerturbation()
{
ParameterPerturbation perturbation = (i, v, m) => v + i + 0.5d;
ParameterizedDataCombiner test = ParameterizedDataCombiner.of(DATA1, DATA2, DATA3);
IList <ParameterizedData> perturbed = test.withPerturbation(typeof(ParameterizedData), perturbation);
assertEquals(perturbed[0], new TestingParameterizedData2(1.5d, 3.5d));
assertEquals(perturbed[1], new TestingParameterizedData(5.5d));
assertEquals(perturbed[2], new TestingParameterizedData2(7.5d, 9.5d));
}
public override CombinedCurve withPerturbation(ParameterPerturbation perturbation)
{
Curve newBaseCurve = baseCurve.withPerturbation((idx, value, meta) => perturbation(idx, baseCurve.getParameter(idx), baseCurve.getParameterMetadata(idx)));
int offset = baseCurve.ParameterCount;
Curve newSpreadCurve = spreadCurve.withPerturbation((idx, value, meta) => perturbation(idx + offset, spreadCurve.getParameter(idx), spreadCurve.getParameterMetadata(idx)));
IList <ParameterMetadata> newParamMeta = Stream.concat(IntStream.range(0, newBaseCurve.ParameterCount).mapToObj(i => newBaseCurve.getParameterMetadata(i)), IntStream.range(0, newSpreadCurve.ParameterCount).mapToObj(i => newSpreadCurve.getParameterMetadata(i))).collect(toImmutableList());
return(CombinedCurve.of(newBaseCurve, newSpreadCurve, metadata.withParameterMetadata(newParamMeta)));
}
//-------------------------------------------------------------------------
public virtual void test_underlyingWithPerturbation()
{
ParameterPerturbation perturbation = (i, v, m) => v + i + 0.5d;
ParameterizedDataCombiner test = ParameterizedDataCombiner.of(DATA1, DATA2, DATA3);
assertEquals(test.underlyingWithPerturbation(0, typeof(TestingParameterizedData2), perturbation).getParameter(0), 1.5d);
assertEquals(test.underlyingWithPerturbation(0, typeof(TestingParameterizedData2), perturbation).getParameter(1), 3.5d);
assertEquals(test.underlyingWithPerturbation(1, typeof(TestingParameterizedData), perturbation).getParameter(0), 5.5d);
assertEquals(test.underlyingWithPerturbation(2, typeof(TestingParameterizedData2), perturbation).getParameter(0), 7.5d);
assertEquals(test.underlyingWithPerturbation(2, typeof(TestingParameterizedData2), perturbation).getParameter(1), 9.5d);
}
public override AddFixedCurve withPerturbation(ParameterPerturbation perturbation)
{
return(new AddFixedCurve(fixedCurve, spreadCurve.withPerturbation(perturbation)));
}
public NormalSwaptionExpiryStrikeVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new NormalSwaptionExpiryStrikeVolatilities(convention, valuationDateTime, surface.withPerturbation(perturbation)));
}
public SimplePriceIndexValues withPerturbation(ParameterPerturbation perturbation)
{
return(withCurve(curve.withPerturbation(perturbation)));
}
public BlackBondFutureExpiryLogMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new BlackBondFutureExpiryLogMoneynessVolatilities(valuationDateTime, surface.withPerturbation(perturbation)));
}
public BlackIborCapletFloorletExpiryStrikeVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new BlackIborCapletFloorletExpiryStrikeVolatilities(index, valuationDateTime, surface.withPerturbation(perturbation)));
}
public DiscountIborIndexRates withPerturbation(ParameterPerturbation perturbation)
{
return(withDiscountFactors(discountFactors.withPerturbation(perturbation)));
}
public override SabrParameters withPerturbation(ParameterPerturbation perturbation)
{
return(new SabrParameters(paramCombiner.underlyingWithPerturbation(0, typeof(Curve), perturbation), paramCombiner.underlyingWithPerturbation(1, typeof(Curve), perturbation), paramCombiner.underlyingWithPerturbation(2, typeof(Curve), perturbation), paramCombiner.underlyingWithPerturbation(3, typeof(Curve), perturbation), paramCombiner.underlyingWithPerturbation(4, typeof(Curve), perturbation), sabrVolatilityFormula));
}
public override ConstantCurve withPerturbation(ParameterPerturbation perturbation)
{
return(new ConstantCurve(metadata, perturbation(0, yValue_Renamed, getParameterMetadata(0))));
}
public SimpleDiscountFactors withPerturbation(ParameterPerturbation perturbation)
{
return(withCurve(curve.withPerturbation(perturbation)));
}
public BlackSwaptionExpiryTenorVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new BlackSwaptionExpiryTenorVolatilities(convention, valuationDateTime, surface.withPerturbation(perturbation)));
}
public ZeroRatePeriodicDiscountFactors withPerturbation(ParameterPerturbation perturbation)
{
return(withCurve(curve.withPerturbation(perturbation)));
}
public override ConstantNodalCurve withPerturbation(ParameterPerturbation perturbation)
{
double perturbedValue = perturbation(0, yValue_Renamed, getParameterMetadata(0));
return(new ConstantNodalCurve(metadata, xValue, perturbedValue));
}
public DiscountFxForwardRates withPerturbation(ParameterPerturbation perturbation)
{
return(new DiscountFxForwardRates(currencyPair, fxRateProvider, paramCombiner.underlyingWithPerturbation(0, typeof(DiscountFactors), perturbation), paramCombiner.underlyingWithPerturbation(1, typeof(DiscountFactors), perturbation)));
}
/// <summary>
/// Applies a perturbation to the specified underlying.
/// <para>
/// This should be invoked once for each of the underlying instances.
/// It is intended to be used to pass the result of each invocation to the
/// constructor of the combined instance.
///
/// </para>
/// </summary>
/// @param <R> the type of the underlying </param>
/// <param name="underlyingIndex"> the index of the underlying instance </param>
/// <param name="underlyingType"> the type of the parameterized data at the specified index </param>
/// <param name="perturbation"> the perturbation to apply </param>
/// <returns> a parameterized data instance based on this with the specified perturbation applied </returns>
public R underlyingWithPerturbation <R>(int underlyingIndex, Type <R> underlyingType, ParameterPerturbation perturbation) where R : ParameterizedData
{
ParameterizedData underlying = underlyings[underlyingIndex];
// perturb using a derived perturbation that adjusts the index
int adjustment = lookup[underlyingIndex];
ParameterizedData perturbed = underlying.withPerturbation((idx, value, meta) => perturbation(idx + adjustment, value, meta));
return(underlyingType.cast(perturbed));
}
public NormalIborFutureOptionExpirySimpleMoneynessVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new NormalIborFutureOptionExpirySimpleMoneynessVolatilities(index, valuationDateTime, surface.withPerturbation(perturbation)));
}
public ConstantRecoveryRates withPerturbation(ParameterPerturbation perturbation)
{
double perturbedValue = perturbation(0, recoveryRate_Renamed, getParameterMetadata(0));
return(new ConstantRecoveryRates(legalEntityId, valuationDate, perturbedValue));
}
public ForwardFxIndexRates withPerturbation(ParameterPerturbation perturbation)
{
return(withFxForwardRates(fxForwardRates.withPerturbation(perturbation)));
}
public BlackFxOptionFlatVolatilities withPerturbation(ParameterPerturbation perturbation)
{
return(new BlackFxOptionFlatVolatilities(currencyPair, valuationDateTime, curve.withPerturbation(perturbation)));
}
public SimpleIborIndexRates withPerturbation(ParameterPerturbation perturbation)
{
return(withCurve(curve.withPerturbation(perturbation)));
}
