repo stringlengths 7 58 | path stringlengths 12 218 | func_name stringlengths 3 140 | original_string stringlengths 73 34.1k | language stringclasses 1 value | code stringlengths 73 34.1k | code_tokens list | docstring stringlengths 3 16k | docstring_tokens list | sha stringlengths 40 40 | url stringlengths 105 339 | partition stringclasses 1 value |
|---|---|---|---|---|---|---|---|---|---|---|---|
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/curves/DiscountCurveInterpolation.java | DiscountCurveInterpolation.getZeroRates | public double[] getZeroRates(double[] maturities)
{
double[] values = new double[maturities.length];
for(int i=0; i<maturities.length; i++) {
values[i] = getZeroRate(maturities[i]);
}
return values;
} | java | public double[] getZeroRates(double[] maturities)
{
double[] values = new double[maturities.length];
for(int i=0; i<maturities.length; i++) {
values[i] = getZeroRate(maturities[i]);
}
return values;
} | [
"public",
"double",
"[",
"]",
"getZeroRates",
"(",
"double",
"[",
"]",
"maturities",
")",
"{",
"double",
"[",
"]",
"values",
"=",
"new",
"double",
"[",
"maturities",
".",
"length",
"]",
";",
"for",
"(",
"int",
"i",
"=",
"0",
";",
"i",
"<",
"maturit... | Returns the zero rates for a given vector maturities.
@param maturities The given maturities.
@return The zero rates. | [
"Returns",
"the",
"zero",
"rates",
"for",
"a",
"given",
"vector",
"maturities",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/curves/DiscountCurveInterpolation.java#L427-L436 | train |
finmath/finmath-lib | src/main/java/net/finmath/functions/LinearAlgebra.java | LinearAlgebra.invert | public static double[][] invert(double[][] matrix) {
if(isSolverUseApacheCommonsMath) {
// Use LU from common math
LUDecomposition lu = new LUDecomposition(new Array2DRowRealMatrix(matrix));
double[][] matrixInverse = lu.getSolver().getInverse().getData();
return matrixInverse;
}
else {
return org.jblas.Solve.pinv(new org.jblas.DoubleMatrix(matrix)).toArray2();
}
} | java | public static double[][] invert(double[][] matrix) {
if(isSolverUseApacheCommonsMath) {
// Use LU from common math
LUDecomposition lu = new LUDecomposition(new Array2DRowRealMatrix(matrix));
double[][] matrixInverse = lu.getSolver().getInverse().getData();
return matrixInverse;
}
else {
return org.jblas.Solve.pinv(new org.jblas.DoubleMatrix(matrix)).toArray2();
}
} | [
"public",
"static",
"double",
"[",
"]",
"[",
"]",
"invert",
"(",
"double",
"[",
"]",
"[",
"]",
"matrix",
")",
"{",
"if",
"(",
"isSolverUseApacheCommonsMath",
")",
"{",
"// Use LU from common math",
"LUDecomposition",
"lu",
"=",
"new",
"LUDecomposition",
"(",
... | Returns the inverse of a given matrix.
@param matrix A matrix given as double[n][n].
@return The inverse of the given matrix. | [
"Returns",
"the",
"inverse",
"of",
"a",
"given",
"matrix",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/functions/LinearAlgebra.java#L267-L279 | train |
finmath/finmath-lib | src/main/java/net/finmath/functions/LinearAlgebra.java | LinearAlgebra.factorReductionUsingCommonsMath | public static double[][] factorReductionUsingCommonsMath(double[][] correlationMatrix, int numberOfFactors) {
// Extract factors corresponding to the largest eigenvalues
double[][] factorMatrix = getFactorMatrix(correlationMatrix, numberOfFactors);
// Renormalize rows
for (int row = 0; row < correlationMatrix.length; row++) {
double sumSquared = 0;
for (int factor = 0; factor < numberOfFactors; factor++) {
sumSquared += factorMatrix[row][factor] * factorMatrix[row][factor];
}
if(sumSquared != 0) {
for (int factor = 0; factor < numberOfFactors; factor++) {
factorMatrix[row][factor] = factorMatrix[row][factor] / Math.sqrt(sumSquared);
}
}
else {
// This is a rare case: The factor reduction of a completely decorrelated system to 1 factor
for (int factor = 0; factor < numberOfFactors; factor++) {
factorMatrix[row][factor] = 1.0;
}
}
}
// Orthogonalized again
double[][] reducedCorrelationMatrix = (new Array2DRowRealMatrix(factorMatrix).multiply(new Array2DRowRealMatrix(factorMatrix).transpose())).getData();
return getFactorMatrix(reducedCorrelationMatrix, numberOfFactors);
} | java | public static double[][] factorReductionUsingCommonsMath(double[][] correlationMatrix, int numberOfFactors) {
// Extract factors corresponding to the largest eigenvalues
double[][] factorMatrix = getFactorMatrix(correlationMatrix, numberOfFactors);
// Renormalize rows
for (int row = 0; row < correlationMatrix.length; row++) {
double sumSquared = 0;
for (int factor = 0; factor < numberOfFactors; factor++) {
sumSquared += factorMatrix[row][factor] * factorMatrix[row][factor];
}
if(sumSquared != 0) {
for (int factor = 0; factor < numberOfFactors; factor++) {
factorMatrix[row][factor] = factorMatrix[row][factor] / Math.sqrt(sumSquared);
}
}
else {
// This is a rare case: The factor reduction of a completely decorrelated system to 1 factor
for (int factor = 0; factor < numberOfFactors; factor++) {
factorMatrix[row][factor] = 1.0;
}
}
}
// Orthogonalized again
double[][] reducedCorrelationMatrix = (new Array2DRowRealMatrix(factorMatrix).multiply(new Array2DRowRealMatrix(factorMatrix).transpose())).getData();
return getFactorMatrix(reducedCorrelationMatrix, numberOfFactors);
} | [
"public",
"static",
"double",
"[",
"]",
"[",
"]",
"factorReductionUsingCommonsMath",
"(",
"double",
"[",
"]",
"[",
"]",
"correlationMatrix",
",",
"int",
"numberOfFactors",
")",
"{",
"// Extract factors corresponding to the largest eigenvalues",
"double",
"[",
"]",
"["... | Returns a correlation matrix which has rank < n and for which the first n factors agree with the factors of correlationMatrix.
@param correlationMatrix The given correlation matrix.
@param numberOfFactors The requested number of factors (Eigenvectors).
@return Factor reduced correlation matrix. | [
"Returns",
"a",
"correlation",
"matrix",
"which",
"has",
"rank",
"<",
";",
"n",
"and",
"for",
"which",
"the",
"first",
"n",
"factors",
"agree",
"with",
"the",
"factors",
"of",
"correlationMatrix",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/functions/LinearAlgebra.java#L438-L466 | train |
finmath/finmath-lib | src/main/java/net/finmath/functions/LinearAlgebra.java | LinearAlgebra.pseudoInverse | public static double[][] pseudoInverse(double[][] matrix){
if(isSolverUseApacheCommonsMath) {
// Use LU from common math
SingularValueDecomposition svd = new SingularValueDecomposition(new Array2DRowRealMatrix(matrix));
double[][] matrixInverse = svd.getSolver().getInverse().getData();
return matrixInverse;
}
else {
return org.jblas.Solve.pinv(new org.jblas.DoubleMatrix(matrix)).toArray2();
}
} | java | public static double[][] pseudoInverse(double[][] matrix){
if(isSolverUseApacheCommonsMath) {
// Use LU from common math
SingularValueDecomposition svd = new SingularValueDecomposition(new Array2DRowRealMatrix(matrix));
double[][] matrixInverse = svd.getSolver().getInverse().getData();
return matrixInverse;
}
else {
return org.jblas.Solve.pinv(new org.jblas.DoubleMatrix(matrix)).toArray2();
}
} | [
"public",
"static",
"double",
"[",
"]",
"[",
"]",
"pseudoInverse",
"(",
"double",
"[",
"]",
"[",
"]",
"matrix",
")",
"{",
"if",
"(",
"isSolverUseApacheCommonsMath",
")",
"{",
"// Use LU from common math",
"SingularValueDecomposition",
"svd",
"=",
"new",
"Singula... | Pseudo-Inverse of a matrix calculated in the least square sense.
@param matrix The given matrix A.
@return pseudoInverse The pseudo-inverse matrix P, such that A*P*A = A and P*A*P = P | [
"Pseudo",
"-",
"Inverse",
"of",
"a",
"matrix",
"calculated",
"in",
"the",
"least",
"square",
"sense",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/functions/LinearAlgebra.java#L524-L535 | train |
finmath/finmath-lib | src/main/java/net/finmath/functions/LinearAlgebra.java | LinearAlgebra.diag | public static double[][] diag(double[] vector){
// Note: According to the Java Language spec, an array is initialized with the default value, here 0.
double[][] diagonalMatrix = new double[vector.length][vector.length];
for(int index = 0; index < vector.length; index++) {
diagonalMatrix[index][index] = vector[index];
}
return diagonalMatrix;
} | java | public static double[][] diag(double[] vector){
// Note: According to the Java Language spec, an array is initialized with the default value, here 0.
double[][] diagonalMatrix = new double[vector.length][vector.length];
for(int index = 0; index < vector.length; index++) {
diagonalMatrix[index][index] = vector[index];
}
return diagonalMatrix;
} | [
"public",
"static",
"double",
"[",
"]",
"[",
"]",
"diag",
"(",
"double",
"[",
"]",
"vector",
")",
"{",
"// Note: According to the Java Language spec, an array is initialized with the default value, here 0.",
"double",
"[",
"]",
"[",
"]",
"diagonalMatrix",
"=",
"new",
... | Generates a diagonal matrix with the input vector on its diagonal
@param vector The given matrix A.
@return diagonalMatrix The matrix with the vectors entries on its diagonal | [
"Generates",
"a",
"diagonal",
"matrix",
"with",
"the",
"input",
"vector",
"on",
"its",
"diagonal"
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/functions/LinearAlgebra.java#L543-L553 | train |
finmath/finmath-lib | src/main/java/net/finmath/fouriermethod/calibration/CalibratedModel.java | CalibratedModel.formatTargetValuesForOptimizer | private double[] formatTargetValuesForOptimizer() {
//Put all values in an array for the optimizer.
int numberOfMaturities = surface.getMaturities().length;
double mats[] = surface.getMaturities();
ArrayList<Double> vals = new ArrayList<Double>();
for(int t = 0; t<numberOfMaturities; t++) {
double mat = mats[t];
double[] myStrikes = surface.getSurface().get(mat).getStrikes();
OptionSmileData smileOfInterest = surface.getSurface().get(mat);
for(int k = 0; k < myStrikes.length; k++) {
vals.add(smileOfInterest.getSmile().get(myStrikes[k]).getValue());
}
}
Double[] targetVals = new Double[vals.size()];
return ArrayUtils.toPrimitive(vals.toArray(targetVals));
} | java | private double[] formatTargetValuesForOptimizer() {
//Put all values in an array for the optimizer.
int numberOfMaturities = surface.getMaturities().length;
double mats[] = surface.getMaturities();
ArrayList<Double> vals = new ArrayList<Double>();
for(int t = 0; t<numberOfMaturities; t++) {
double mat = mats[t];
double[] myStrikes = surface.getSurface().get(mat).getStrikes();
OptionSmileData smileOfInterest = surface.getSurface().get(mat);
for(int k = 0; k < myStrikes.length; k++) {
vals.add(smileOfInterest.getSmile().get(myStrikes[k]).getValue());
}
}
Double[] targetVals = new Double[vals.size()];
return ArrayUtils.toPrimitive(vals.toArray(targetVals));
} | [
"private",
"double",
"[",
"]",
"formatTargetValuesForOptimizer",
"(",
")",
"{",
"//Put all values in an array for the optimizer.",
"int",
"numberOfMaturities",
"=",
"surface",
".",
"getMaturities",
"(",
")",
".",
"length",
";",
"double",
"mats",
"[",
"]",
"=",
"surf... | This is a service method that takes care of putting al the target values in a single array.
@return | [
"This",
"is",
"a",
"service",
"method",
"that",
"takes",
"care",
"of",
"putting",
"al",
"the",
"target",
"values",
"in",
"a",
"single",
"array",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/fouriermethod/calibration/CalibratedModel.java#L157-L177 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java | ForwardCurveInterpolation.createForwardCurveFromDiscountFactors | public static ForwardCurveInterpolation createForwardCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors, double paymentOffset) {
ForwardCurveInterpolation forwardCurveInterpolation = new ForwardCurveInterpolation(name, paymentOffset, InterpolationEntityForward.FORWARD, null);
if(times.length == 0) {
throw new IllegalArgumentException("Vector of times must not be empty.");
}
if(times[0] > 0) {
// Add first forward
RandomVariable forward = givenDiscountFactors[0].sub(1.0).pow(-1.0).div(times[0]);
forwardCurveInterpolation.addForward(null, 0.0, forward, true);
}
for(int timeIndex=0; timeIndex<times.length-1;timeIndex++) {
RandomVariable forward = givenDiscountFactors[timeIndex].div(givenDiscountFactors[timeIndex+1].sub(1.0)).div(times[timeIndex+1] - times[timeIndex]);
double fixingTime = times[timeIndex];
boolean isParameter = (fixingTime > 0);
forwardCurveInterpolation.addForward(null, fixingTime, forward, isParameter);
}
return forwardCurveInterpolation;
} | java | public static ForwardCurveInterpolation createForwardCurveFromDiscountFactors(String name, double[] times, RandomVariable[] givenDiscountFactors, double paymentOffset) {
ForwardCurveInterpolation forwardCurveInterpolation = new ForwardCurveInterpolation(name, paymentOffset, InterpolationEntityForward.FORWARD, null);
if(times.length == 0) {
throw new IllegalArgumentException("Vector of times must not be empty.");
}
if(times[0] > 0) {
// Add first forward
RandomVariable forward = givenDiscountFactors[0].sub(1.0).pow(-1.0).div(times[0]);
forwardCurveInterpolation.addForward(null, 0.0, forward, true);
}
for(int timeIndex=0; timeIndex<times.length-1;timeIndex++) {
RandomVariable forward = givenDiscountFactors[timeIndex].div(givenDiscountFactors[timeIndex+1].sub(1.0)).div(times[timeIndex+1] - times[timeIndex]);
double fixingTime = times[timeIndex];
boolean isParameter = (fixingTime > 0);
forwardCurveInterpolation.addForward(null, fixingTime, forward, isParameter);
}
return forwardCurveInterpolation;
} | [
"public",
"static",
"ForwardCurveInterpolation",
"createForwardCurveFromDiscountFactors",
"(",
"String",
"name",
",",
"double",
"[",
"]",
"times",
",",
"RandomVariable",
"[",
"]",
"givenDiscountFactors",
",",
"double",
"paymentOffset",
")",
"{",
"ForwardCurveInterpolation... | Create a forward curve from given times and discount factors.
The forward curve will have times.length-1 fixing times from times[0] to times[times.length-2]
<code>
forward[timeIndex] = (givenDiscountFactors[timeIndex]/givenDiscountFactors[timeIndex+1]-1.0) / (times[timeIndex+1] - times[timeIndex]);
</code>
Note: If time[0] > 0, then the discount factor 1.0 will inserted at time 0.0
@param name The name of this curve.
@param times A vector of given time points.
@param givenDiscountFactors A vector of given discount factors (corresponding to the given time points).
@param paymentOffset The maturity of the underlying index modeled by this curve.
@return A new ForwardCurve object. | [
"Create",
"a",
"forward",
"curve",
"from",
"given",
"times",
"and",
"discount",
"factors",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java#L261-L282 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java | ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel | public static ForwardCurveInterpolation createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException{
int timeIndex = model.getTimeIndex(startTime);
// Get all Libors at timeIndex which are not yet fixed (others null) and times for the timeDiscretizationFromArray of the curves
ArrayList<RandomVariable> liborsAtTimeIndex = new ArrayList<>();
int firstLiborIndex = model.getLiborPeriodDiscretization().getTimeIndexNearestGreaterOrEqual(startTime);
double firstLiborTime = model.getLiborPeriodDiscretization().getTime(firstLiborIndex);
if(firstLiborTime>startTime) {
liborsAtTimeIndex.add(model.getLIBOR(startTime, startTime, firstLiborTime));
}
// Vector of times for the forward curve
double[] times = new double[firstLiborTime==startTime ? (model.getNumberOfLibors()-firstLiborIndex) : (model.getNumberOfLibors()-firstLiborIndex+1)];
times[0]=0;
int indexOffset = firstLiborTime==startTime ? 0 : 1;
for(int i=firstLiborIndex;i<model.getNumberOfLibors();i++) {
liborsAtTimeIndex.add(model.getLIBOR(timeIndex,i));
times[i-firstLiborIndex+indexOffset]=model.getLiborPeriodDiscretization().getTime(i)-startTime;
}
RandomVariable[] libors = liborsAtTimeIndex.toArray(new RandomVariable[liborsAtTimeIndex.size()]);
return ForwardCurveInterpolation.createForwardCurveFromForwards(name, times, libors, model.getLiborPeriodDiscretization().getTimeStep(firstLiborIndex));
} | java | public static ForwardCurveInterpolation createForwardCurveFromMonteCarloLiborModel(String name, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException{
int timeIndex = model.getTimeIndex(startTime);
// Get all Libors at timeIndex which are not yet fixed (others null) and times for the timeDiscretizationFromArray of the curves
ArrayList<RandomVariable> liborsAtTimeIndex = new ArrayList<>();
int firstLiborIndex = model.getLiborPeriodDiscretization().getTimeIndexNearestGreaterOrEqual(startTime);
double firstLiborTime = model.getLiborPeriodDiscretization().getTime(firstLiborIndex);
if(firstLiborTime>startTime) {
liborsAtTimeIndex.add(model.getLIBOR(startTime, startTime, firstLiborTime));
}
// Vector of times for the forward curve
double[] times = new double[firstLiborTime==startTime ? (model.getNumberOfLibors()-firstLiborIndex) : (model.getNumberOfLibors()-firstLiborIndex+1)];
times[0]=0;
int indexOffset = firstLiborTime==startTime ? 0 : 1;
for(int i=firstLiborIndex;i<model.getNumberOfLibors();i++) {
liborsAtTimeIndex.add(model.getLIBOR(timeIndex,i));
times[i-firstLiborIndex+indexOffset]=model.getLiborPeriodDiscretization().getTime(i)-startTime;
}
RandomVariable[] libors = liborsAtTimeIndex.toArray(new RandomVariable[liborsAtTimeIndex.size()]);
return ForwardCurveInterpolation.createForwardCurveFromForwards(name, times, libors, model.getLiborPeriodDiscretization().getTimeStep(firstLiborIndex));
} | [
"public",
"static",
"ForwardCurveInterpolation",
"createForwardCurveFromMonteCarloLiborModel",
"(",
"String",
"name",
",",
"LIBORModelMonteCarloSimulationModel",
"model",
",",
"double",
"startTime",
")",
"throws",
"CalculationException",
"{",
"int",
"timeIndex",
"=",
"model",... | Create a forward curve from forwards given by a LIBORMonteCarloModel.
@param name name of the forward curve.
@param model Monte Carlo model providing the forwards.
@param startTime time at which the curve starts, i.e. zero time for the curve
@return a forward curve from forwards given by a LIBORMonteCarloModel.
@throws CalculationException Thrown if the model failed to provide the forward rates. | [
"Create",
"a",
"forward",
"curve",
"from",
"forwards",
"given",
"by",
"a",
"LIBORMonteCarloModel",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java#L334-L356 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java | ForwardCurveInterpolation.addForward | private void addForward(AnalyticModel model, double fixingTime, RandomVariable forward, boolean isParameter) {
double interpolationEntitiyTime;
RandomVariable interpolationEntityForwardValue;
switch(interpolationEntityForward) {
case FORWARD:
default:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward;
break;
case FORWARD_TIMES_DISCOUNTFACTOR:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward.mult(model.getDiscountCurve(getDiscountCurveName()).getValue(model, fixingTime+getPaymentOffset(fixingTime)));
break;
case ZERO:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = forward.mult(paymentOffset).add(1.0).log().div(paymentOffset);
break;
}
case DISCOUNTFACTOR:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = getValue(fixingTime).div(forward.mult(paymentOffset).add(1.0));
break;
}
}
super.addPoint(interpolationEntitiyTime, interpolationEntityForwardValue, isParameter);
} | java | private void addForward(AnalyticModel model, double fixingTime, RandomVariable forward, boolean isParameter) {
double interpolationEntitiyTime;
RandomVariable interpolationEntityForwardValue;
switch(interpolationEntityForward) {
case FORWARD:
default:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward;
break;
case FORWARD_TIMES_DISCOUNTFACTOR:
interpolationEntitiyTime = fixingTime;
interpolationEntityForwardValue = forward.mult(model.getDiscountCurve(getDiscountCurveName()).getValue(model, fixingTime+getPaymentOffset(fixingTime)));
break;
case ZERO:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = forward.mult(paymentOffset).add(1.0).log().div(paymentOffset);
break;
}
case DISCOUNTFACTOR:
{
double paymentOffset = getPaymentOffset(fixingTime);
interpolationEntitiyTime = fixingTime+paymentOffset;
interpolationEntityForwardValue = getValue(fixingTime).div(forward.mult(paymentOffset).add(1.0));
break;
}
}
super.addPoint(interpolationEntitiyTime, interpolationEntityForwardValue, isParameter);
} | [
"private",
"void",
"addForward",
"(",
"AnalyticModel",
"model",
",",
"double",
"fixingTime",
",",
"RandomVariable",
"forward",
",",
"boolean",
"isParameter",
")",
"{",
"double",
"interpolationEntitiyTime",
";",
"RandomVariable",
"interpolationEntityForwardValue",
";",
"... | Add a forward to this curve.
@param model An analytic model providing a context. The discount curve (if needed) is obtained from this model.
@param fixingTime The given fixing time.
@param forward The given forward.
@param isParameter If true, then this point is server via {@link #getParameter()} and changed via {@link #setParameter(RandomVariable[])} and {@link #getCloneForParameter(RandomVariable[])}, i.e., it can be calibrated. | [
"Add",
"a",
"forward",
"to",
"this",
"curve",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java#L416-L445 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/process/LinearInterpolatedTimeDiscreteProcess.java | LinearInterpolatedTimeDiscreteProcess.add | public LinearInterpolatedTimeDiscreteProcess add(LinearInterpolatedTimeDiscreteProcess process) throws CalculationException {
Map<Double, RandomVariable> sum = new HashMap<>();
for(double time: timeDiscretization) {
sum.put(time, realizations.get(time).add(process.getProcessValue(time, 0)));
}
return new LinearInterpolatedTimeDiscreteProcess(timeDiscretization, sum);
} | java | public LinearInterpolatedTimeDiscreteProcess add(LinearInterpolatedTimeDiscreteProcess process) throws CalculationException {
Map<Double, RandomVariable> sum = new HashMap<>();
for(double time: timeDiscretization) {
sum.put(time, realizations.get(time).add(process.getProcessValue(time, 0)));
}
return new LinearInterpolatedTimeDiscreteProcess(timeDiscretization, sum);
} | [
"public",
"LinearInterpolatedTimeDiscreteProcess",
"add",
"(",
"LinearInterpolatedTimeDiscreteProcess",
"process",
")",
"throws",
"CalculationException",
"{",
"Map",
"<",
"Double",
",",
"RandomVariable",
">",
"sum",
"=",
"new",
"HashMap",
"<>",
"(",
")",
";",
"for",
... | Create a new linear interpolated time discrete process by
using the time discretization of this process and the sum of this process and the given one
as its values.
@param process A given process.
@return A new process representing the of this and the given process.
@throws CalculationException Thrown if the given process fails to evaluate at a certain time point. | [
"Create",
"a",
"new",
"linear",
"interpolated",
"time",
"discrete",
"process",
"by",
"using",
"the",
"time",
"discretization",
"of",
"this",
"process",
"and",
"the",
"sum",
"of",
"this",
"process",
"and",
"the",
"given",
"one",
"as",
"its",
"values",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/process/LinearInterpolatedTimeDiscreteProcess.java#L70-L78 | train |
finmath/finmath-lib | src/main/java/net/finmath/optimizer/StochasticPathwiseLevenbergMarquardt.java | StochasticPathwiseLevenbergMarquardt.getCloneWithModifiedTargetValues | public StochasticPathwiseLevenbergMarquardt getCloneWithModifiedTargetValues(List<RandomVariable> newTargetVaues, List<RandomVariable> newWeights, boolean isUseBestParametersAsInitialParameters) throws CloneNotSupportedException {
StochasticPathwiseLevenbergMarquardt clonedOptimizer = clone();
clonedOptimizer.targetValues = numberListToDoubleArray(newTargetVaues);
clonedOptimizer.weights = numberListToDoubleArray(newWeights);
if(isUseBestParametersAsInitialParameters && this.done()) {
clonedOptimizer.initialParameters = this.getBestFitParameters();
}
return clonedOptimizer;
} | java | public StochasticPathwiseLevenbergMarquardt getCloneWithModifiedTargetValues(List<RandomVariable> newTargetVaues, List<RandomVariable> newWeights, boolean isUseBestParametersAsInitialParameters) throws CloneNotSupportedException {
StochasticPathwiseLevenbergMarquardt clonedOptimizer = clone();
clonedOptimizer.targetValues = numberListToDoubleArray(newTargetVaues);
clonedOptimizer.weights = numberListToDoubleArray(newWeights);
if(isUseBestParametersAsInitialParameters && this.done()) {
clonedOptimizer.initialParameters = this.getBestFitParameters();
}
return clonedOptimizer;
} | [
"public",
"StochasticPathwiseLevenbergMarquardt",
"getCloneWithModifiedTargetValues",
"(",
"List",
"<",
"RandomVariable",
">",
"newTargetVaues",
",",
"List",
"<",
"RandomVariable",
">",
"newWeights",
",",
"boolean",
"isUseBestParametersAsInitialParameters",
")",
"throws",
"Cl... | Create a clone of this LevenbergMarquardt optimizer with a new vector for the
target values and weights.
The clone will use the same objective function than this implementation,
i.e., the implementation of {@link #setValues(RandomVariable[], RandomVariable[])} and
that of {@link #setDerivatives(RandomVariable[], RandomVariable[][])} is reused.
The initial values of the cloned optimizer will either be the original
initial values of this object or the best parameters obtained by this
optimizer, the latter is used only if this optimized signals a {@link #done()}.
@param newTargetVaues New list of target values.
@param newWeights New list of weights.
@param isUseBestParametersAsInitialParameters If true and this optimizer is done(), then the clone will use this.{@link #getBestFitParameters()} as initial parameters.
@return A new LevenbergMarquardt optimizer, cloning this one except modified target values and weights.
@throws CloneNotSupportedException Thrown if this optimizer cannot be cloned. | [
"Create",
"a",
"clone",
"of",
"this",
"LevenbergMarquardt",
"optimizer",
"with",
"a",
"new",
"vector",
"for",
"the",
"target",
"values",
"and",
"weights",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/optimizer/StochasticPathwiseLevenbergMarquardt.java#L718-L728 | train |
finmath/finmath-lib | src/main/java6/net/finmath/montecarlo/interestrate/products/components/Option.java | Option.getBasisFunctions | public RandomVariableInterface[] getBasisFunctions(double exerciseDate, LIBORModelMonteCarloSimulationInterface model) throws CalculationException {
ArrayList<RandomVariableInterface> basisFunctions = new ArrayList<RandomVariableInterface>();
RandomVariableInterface basisFunction;
// Constant
basisFunction = model.getRandomVariableForConstant(1.0);
basisFunctions.add(basisFunction);
// LIBORs
int liborPeriodIndex, liborPeriodIndexEnd;
RandomVariableInterface rate;
// 1 Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = liborPeriodIndex+1;
double periodLength1 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength1);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength1);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
// n/2 Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = (liborPeriodIndex + model.getNumberOfLibors())/2;
double periodLength2 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
if(periodLength2 != periodLength1) {
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength2);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength2);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength2);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
}
// n Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = model.getNumberOfLibors();
double periodLength3 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
if(periodLength3 != periodLength1 && periodLength3 != periodLength2) {
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength3);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength3);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
}
return basisFunctions.toArray(new RandomVariableInterface[0]);
} | java | public RandomVariableInterface[] getBasisFunctions(double exerciseDate, LIBORModelMonteCarloSimulationInterface model) throws CalculationException {
ArrayList<RandomVariableInterface> basisFunctions = new ArrayList<RandomVariableInterface>();
RandomVariableInterface basisFunction;
// Constant
basisFunction = model.getRandomVariableForConstant(1.0);
basisFunctions.add(basisFunction);
// LIBORs
int liborPeriodIndex, liborPeriodIndexEnd;
RandomVariableInterface rate;
// 1 Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = liborPeriodIndex+1;
double periodLength1 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength1);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength1);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
// n/2 Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = (liborPeriodIndex + model.getNumberOfLibors())/2;
double periodLength2 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
if(periodLength2 != periodLength1) {
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength2);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength2);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength2);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
}
// n Period
basisFunction = model.getRandomVariableForConstant(1.0);
liborPeriodIndex = model.getLiborPeriodIndex(exerciseDate);
if(liborPeriodIndex < 0) {
liborPeriodIndex = -liborPeriodIndex-1;
}
liborPeriodIndexEnd = model.getNumberOfLibors();
double periodLength3 = model.getLiborPeriod(liborPeriodIndexEnd) - model.getLiborPeriod(liborPeriodIndex);
if(periodLength3 != periodLength1 && periodLength3 != periodLength2) {
rate = model.getLIBOR(exerciseDate, model.getLiborPeriod(liborPeriodIndex), model.getLiborPeriod(liborPeriodIndexEnd));
basisFunction = basisFunction.discount(rate, periodLength3);
basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
basisFunction = basisFunction.discount(rate, periodLength3);
// basisFunctions.add(basisFunction);//.div(Math.sqrt(basisFunction.mult(basisFunction).getAverage())));
}
return basisFunctions.toArray(new RandomVariableInterface[0]);
} | [
"public",
"RandomVariableInterface",
"[",
"]",
"getBasisFunctions",
"(",
"double",
"exerciseDate",
",",
"LIBORModelMonteCarloSimulationInterface",
"model",
")",
"throws",
"CalculationException",
"{",
"ArrayList",
"<",
"RandomVariableInterface",
">",
"basisFunctions",
"=",
"... | Return the regression basis functions.
@param exerciseDate The date w.r.t. which the basis functions should be measurable.
@param model The model.
@return Array of random variables.
@throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method. | [
"Return",
"the",
"regression",
"basis",
"functions",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/interestrate/products/components/Option.java#L267-L339 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/calibration/CalibratedCurves.java | CalibratedCurves.createDiscountCurve | private DiscountCurve createDiscountCurve(String discountCurveName) {
DiscountCurve discountCurve = model.getDiscountCurve(discountCurveName);
if(discountCurve == null) {
discountCurve = DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors(discountCurveName, new double[] { 0.0 }, new double[] { 1.0 });
model = model.addCurves(discountCurve);
}
return discountCurve;
} | java | private DiscountCurve createDiscountCurve(String discountCurveName) {
DiscountCurve discountCurve = model.getDiscountCurve(discountCurveName);
if(discountCurve == null) {
discountCurve = DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors(discountCurveName, new double[] { 0.0 }, new double[] { 1.0 });
model = model.addCurves(discountCurve);
}
return discountCurve;
} | [
"private",
"DiscountCurve",
"createDiscountCurve",
"(",
"String",
"discountCurveName",
")",
"{",
"DiscountCurve",
"discountCurve",
"=",
"model",
".",
"getDiscountCurve",
"(",
"discountCurveName",
")",
";",
"if",
"(",
"discountCurve",
"==",
"null",
")",
"{",
"discoun... | Get a discount curve from the model, if not existing create a discount curve.
@param discountCurveName The name of the discount curve to create.
@return The discount factor curve associated with the given name. | [
"Get",
"a",
"discount",
"curve",
"from",
"the",
"model",
"if",
"not",
"existing",
"create",
"a",
"discount",
"curve",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/calibration/CalibratedCurves.java#L760-L768 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/curves/locallinearregression/Partition.java | Partition.d | public double d(double x){
int intervalNumber =getIntervalNumber(x);
if (intervalNumber==0 || intervalNumber==points.length) {
return x;
}
return getIntervalReferencePoint(intervalNumber-1);
} | java | public double d(double x){
int intervalNumber =getIntervalNumber(x);
if (intervalNumber==0 || intervalNumber==points.length) {
return x;
}
return getIntervalReferencePoint(intervalNumber-1);
} | [
"public",
"double",
"d",
"(",
"double",
"x",
")",
"{",
"int",
"intervalNumber",
"=",
"getIntervalNumber",
"(",
"x",
")",
";",
"if",
"(",
"intervalNumber",
"==",
"0",
"||",
"intervalNumber",
"==",
"points",
".",
"length",
")",
"{",
"return",
"x",
";",
"... | If a given x is into an interval of the partition, this method returns the reference point of the corresponding interval.
If the given x is not contained in any interval of the partition, this method returns x.
@param x The point of interest.
@return The discretized value. | [
"If",
"a",
"given",
"x",
"is",
"into",
"an",
"interval",
"of",
"the",
"partition",
"this",
"method",
"returns",
"the",
"reference",
"point",
"of",
"the",
"corresponding",
"interval",
".",
"If",
"the",
"given",
"x",
"is",
"not",
"contained",
"in",
"any",
... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/curves/locallinearregression/Partition.java#L84-L90 | train |
finmath/finmath-lib | src/main/java6/net/finmath/montecarlo/interestrate/products/Swaption.java | Swaption.getValue | public double getValue(ForwardCurveInterface forwardCurve, double swaprateVolatility) {
double swaprate = swaprates[0];
for (double swaprate1 : swaprates) {
if (swaprate1 != swaprate) {
throw new RuntimeException("Uneven swaprates not allows for analytical pricing.");
}
}
double[] swapTenor = new double[fixingDates.length+1];
System.arraycopy(fixingDates, 0, swapTenor, 0, fixingDates.length);
swapTenor[swapTenor.length-1] = paymentDates[paymentDates.length-1];
double forwardSwapRate = Swap.getForwardSwapRate(new TimeDiscretization(swapTenor), new TimeDiscretization(swapTenor), forwardCurve);
double swapAnnuity = SwapAnnuity.getSwapAnnuity(new TimeDiscretization(swapTenor), forwardCurve);
return AnalyticFormulas.blackModelSwaptionValue(forwardSwapRate, swaprateVolatility, exerciseDate, swaprate, swapAnnuity);
} | java | public double getValue(ForwardCurveInterface forwardCurve, double swaprateVolatility) {
double swaprate = swaprates[0];
for (double swaprate1 : swaprates) {
if (swaprate1 != swaprate) {
throw new RuntimeException("Uneven swaprates not allows for analytical pricing.");
}
}
double[] swapTenor = new double[fixingDates.length+1];
System.arraycopy(fixingDates, 0, swapTenor, 0, fixingDates.length);
swapTenor[swapTenor.length-1] = paymentDates[paymentDates.length-1];
double forwardSwapRate = Swap.getForwardSwapRate(new TimeDiscretization(swapTenor), new TimeDiscretization(swapTenor), forwardCurve);
double swapAnnuity = SwapAnnuity.getSwapAnnuity(new TimeDiscretization(swapTenor), forwardCurve);
return AnalyticFormulas.blackModelSwaptionValue(forwardSwapRate, swaprateVolatility, exerciseDate, swaprate, swapAnnuity);
} | [
"public",
"double",
"getValue",
"(",
"ForwardCurveInterface",
"forwardCurve",
",",
"double",
"swaprateVolatility",
")",
"{",
"double",
"swaprate",
"=",
"swaprates",
"[",
"0",
"]",
";",
"for",
"(",
"double",
"swaprate1",
":",
"swaprates",
")",
"{",
"if",
"(",
... | This method returns the value of the product using a Black-Scholes model for the swap rate
The model is determined by a discount factor curve and a swap rate volatility.
@param forwardCurve The forward curve on which to value the swap.
@param swaprateVolatility The Black volatility.
@return Value of this product | [
"This",
"method",
"returns",
"the",
"value",
"of",
"the",
"product",
"using",
"a",
"Black",
"-",
"Scholes",
"model",
"for",
"the",
"swap",
"rate",
"The",
"model",
"is",
"determined",
"by",
"a",
"discount",
"factor",
"curve",
"and",
"a",
"swap",
"rate",
"... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/interestrate/products/Swaption.java#L189-L205 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/products/ForwardRateAgreement.java | ForwardRateAgreement.getRate | public double getRate(AnalyticModel model) {
if(model==null) {
throw new IllegalArgumentException("model==null");
}
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
if(forwardCurve==null) {
throw new IllegalArgumentException("No forward curve of name '" + forwardCurveName + "' found in given model:\n" + model.toString());
}
double fixingDate = schedule.getFixing(0);
return forwardCurve.getForward(model,fixingDate);
} | java | public double getRate(AnalyticModel model) {
if(model==null) {
throw new IllegalArgumentException("model==null");
}
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
if(forwardCurve==null) {
throw new IllegalArgumentException("No forward curve of name '" + forwardCurveName + "' found in given model:\n" + model.toString());
}
double fixingDate = schedule.getFixing(0);
return forwardCurve.getForward(model,fixingDate);
} | [
"public",
"double",
"getRate",
"(",
"AnalyticModel",
"model",
")",
"{",
"if",
"(",
"model",
"==",
"null",
")",
"{",
"throw",
"new",
"IllegalArgumentException",
"(",
"\"model==null\"",
")",
";",
"}",
"ForwardCurve",
"forwardCurve",
"=",
"model",
".",
"getForwar... | Return the par FRA rate for a given curve.
@param model A given model.
@return The par FRA rate. | [
"Return",
"the",
"par",
"FRA",
"rate",
"for",
"a",
"given",
"curve",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/products/ForwardRateAgreement.java#L103-L115 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/models/covariance/AbstractLIBORCovarianceModelParametric.java | AbstractLIBORCovarianceModelParametric.getParameter | public RandomVariable[] getParameter() {
double[] parameterAsDouble = this.getParameterAsDouble();
RandomVariable[] parameter = new RandomVariable[parameterAsDouble.length];
for(int i=0; i<parameter.length; i++) {
parameter[i] = new Scalar(parameterAsDouble[i]);
}
return parameter;
} | java | public RandomVariable[] getParameter() {
double[] parameterAsDouble = this.getParameterAsDouble();
RandomVariable[] parameter = new RandomVariable[parameterAsDouble.length];
for(int i=0; i<parameter.length; i++) {
parameter[i] = new Scalar(parameterAsDouble[i]);
}
return parameter;
} | [
"public",
"RandomVariable",
"[",
"]",
"getParameter",
"(",
")",
"{",
"double",
"[",
"]",
"parameterAsDouble",
"=",
"this",
".",
"getParameterAsDouble",
"(",
")",
";",
"RandomVariable",
"[",
"]",
"parameter",
"=",
"new",
"RandomVariable",
"[",
"parameterAsDouble"... | Get the parameters of determining this parametric
covariance model. The parameters are usually free parameters
which may be used in calibration.
@return Parameter vector. | [
"Get",
"the",
"parameters",
"of",
"determining",
"this",
"parametric",
"covariance",
"model",
".",
"The",
"parameters",
"are",
"usually",
"free",
"parameters",
"which",
"may",
"be",
"used",
"in",
"calibration",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/models/covariance/AbstractLIBORCovarianceModelParametric.java#L89-L96 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/DiscountCurveInterpolation.java | DiscountCurveInterpolation.createDiscountCurveFromMonteCarloLiborModel | public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException{
// Check if the LMM uses a discount curve which is created from a forward curve
if(model.getModel().getDiscountCurve()==null || model.getModel().getDiscountCurve().getName().toLowerCase().contains("DiscountCurveFromForwardCurve".toLowerCase())){
return new DiscountCurveFromForwardCurve(ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel(forwardCurveName, model, startTime));
}
else {
// i.e. forward curve of Libor Model not OIS. In this case return the OIS curve.
// Only at startTime 0!
return (DiscountCurveInterface) model.getModel().getDiscountCurve();
}
} | java | public static DiscountCurveInterface createDiscountCurveFromMonteCarloLiborModel(String forwardCurveName, LIBORModelMonteCarloSimulationModel model, double startTime) throws CalculationException{
// Check if the LMM uses a discount curve which is created from a forward curve
if(model.getModel().getDiscountCurve()==null || model.getModel().getDiscountCurve().getName().toLowerCase().contains("DiscountCurveFromForwardCurve".toLowerCase())){
return new DiscountCurveFromForwardCurve(ForwardCurveInterpolation.createForwardCurveFromMonteCarloLiborModel(forwardCurveName, model, startTime));
}
else {
// i.e. forward curve of Libor Model not OIS. In this case return the OIS curve.
// Only at startTime 0!
return (DiscountCurveInterface) model.getModel().getDiscountCurve();
}
} | [
"public",
"static",
"DiscountCurveInterface",
"createDiscountCurveFromMonteCarloLiborModel",
"(",
"String",
"forwardCurveName",
",",
"LIBORModelMonteCarloSimulationModel",
"model",
",",
"double",
"startTime",
")",
"throws",
"CalculationException",
"{",
"// Check if the LMM uses a d... | Create a discount curve from forwards given by a LIBORMonteCarloModel. If the model uses multiple curves, return its discount curve.
@param forwardCurveName name of the forward curve.
@param model Monte Carlo model providing the forwards.
@param startTime time at which the curve starts, i.e. zero time for the curve
@return a discount curve from forwards given by a LIBORMonteCarloModel.
@throws CalculationException Thrown if the model failed to provide the forward rates. | [
"Create",
"a",
"discount",
"curve",
"from",
"forwards",
"given",
"by",
"a",
"LIBORMonteCarloModel",
".",
"If",
"the",
"model",
"uses",
"multiple",
"curves",
"return",
"its",
"discount",
"curve",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/DiscountCurveInterpolation.java#L401-L412 | train |
finmath/finmath-lib | src/main/java6/net/finmath/time/businessdaycalendar/BusinessdayCalendarExcludingTARGETHolidays.java | BusinessdayCalendarExcludingTARGETHolidays.isEasterSunday | public static boolean isEasterSunday(LocalDate date) {
int y = date.getYear();
int a = y % 19;
int b = y / 100;
int c = y % 100;
int d = b / 4;
int e = b % 4;
int f = (b + 8) / 25;
int g = (b - f + 1) / 3;
int h = (19 * a + b - d - g + 15) % 30;
int i = c / 4;
int k = c % 4;
int l = (32 + 2 * e + 2 * i - h - k) % 7;
int m = (a + 11 * h + 22 * l) / 451;
int easterSundayMonth = (h + l - 7 * m + 114) / 31;
int easterSundayDay = ((h + l - 7 * m + 114) % 31) + 1;
int month = date.getMonthValue();
int day = date.getDayOfMonth();
return (easterSundayMonth == month) && (easterSundayDay == day);
} | java | public static boolean isEasterSunday(LocalDate date) {
int y = date.getYear();
int a = y % 19;
int b = y / 100;
int c = y % 100;
int d = b / 4;
int e = b % 4;
int f = (b + 8) / 25;
int g = (b - f + 1) / 3;
int h = (19 * a + b - d - g + 15) % 30;
int i = c / 4;
int k = c % 4;
int l = (32 + 2 * e + 2 * i - h - k) % 7;
int m = (a + 11 * h + 22 * l) / 451;
int easterSundayMonth = (h + l - 7 * m + 114) / 31;
int easterSundayDay = ((h + l - 7 * m + 114) % 31) + 1;
int month = date.getMonthValue();
int day = date.getDayOfMonth();
return (easterSundayMonth == month) && (easterSundayDay == day);
} | [
"public",
"static",
"boolean",
"isEasterSunday",
"(",
"LocalDate",
"date",
")",
"{",
"int",
"y",
"=",
"date",
".",
"getYear",
"(",
")",
";",
"int",
"a",
"=",
"y",
"%",
"19",
";",
"int",
"b",
"=",
"y",
"/",
"100",
";",
"int",
"c",
"=",
"y",
"%",... | Test a given date for being easter sunday.
The method uses the algorithms sometimes cited as Meeus,Jones, Butcher Gregorian algorithm.
Taken from http://en.wikipedia.org/wiki/Computus
@param date The date to check.
@return True, if date is easter sunday. | [
"Test",
"a",
"given",
"date",
"for",
"being",
"easter",
"sunday",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/time/businessdaycalendar/BusinessdayCalendarExcludingTARGETHolidays.java#L67-L88 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/FloatingpointDate.java | FloatingpointDate.getDateFromFloatingPointDate | public static LocalDateTime getDateFromFloatingPointDate(LocalDateTime referenceDate, double floatingPointDate) {
if(referenceDate == null) {
return null;
}
Duration duration = Duration.ofSeconds(Math.round(floatingPointDate * SECONDS_PER_DAY));
return referenceDate.plus(duration);
} | java | public static LocalDateTime getDateFromFloatingPointDate(LocalDateTime referenceDate, double floatingPointDate) {
if(referenceDate == null) {
return null;
}
Duration duration = Duration.ofSeconds(Math.round(floatingPointDate * SECONDS_PER_DAY));
return referenceDate.plus(duration);
} | [
"public",
"static",
"LocalDateTime",
"getDateFromFloatingPointDate",
"(",
"LocalDateTime",
"referenceDate",
",",
"double",
"floatingPointDate",
")",
"{",
"if",
"(",
"referenceDate",
"==",
"null",
")",
"{",
"return",
"null",
";",
"}",
"Duration",
"duration",
"=",
"... | Convert a floating point date to a LocalDateTime.
Note: This method currently performs a rounding to the next second.
If referenceDate is null, the method returns null.
@param referenceDate The reference date associated with \( t=0 \).
@param floatingPointDate The value to the time offset \( t \).
@return The date resulting from adding Math.round(fixingTime*SECONDS_PER_DAY) seconds to referenceDate, where one day has SECONDS_PER_DAY seconds and SECONDS_PER_DAY is a constant 365*24*60*60 | [
"Convert",
"a",
"floating",
"point",
"date",
"to",
"a",
"LocalDateTime",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/FloatingpointDate.java#L67-L74 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/FloatingpointDate.java | FloatingpointDate.getFloatingPointDateFromDate | public static double getFloatingPointDateFromDate(LocalDateTime referenceDate, LocalDateTime date) {
Duration duration = Duration.between(referenceDate, date);
return ((double)duration.getSeconds()) / SECONDS_PER_DAY;
} | java | public static double getFloatingPointDateFromDate(LocalDateTime referenceDate, LocalDateTime date) {
Duration duration = Duration.between(referenceDate, date);
return ((double)duration.getSeconds()) / SECONDS_PER_DAY;
} | [
"public",
"static",
"double",
"getFloatingPointDateFromDate",
"(",
"LocalDateTime",
"referenceDate",
",",
"LocalDateTime",
"date",
")",
"{",
"Duration",
"duration",
"=",
"Duration",
".",
"between",
"(",
"referenceDate",
",",
"date",
")",
";",
"return",
"(",
"(",
... | Convert a given date to a floating point date using a given reference date.
@param referenceDate The reference date associated with \( t=0 \).
@param date The given date to be associated with the return value \( T \).
@return The value T measuring the distance of reference date and date by ACT/365 with SECONDS_PER_DAY seconds used as the smallest time unit and SECONDS_PER_DAY is a constant 365*24*60*60. | [
"Convert",
"a",
"given",
"date",
"to",
"a",
"floating",
"point",
"date",
"using",
"a",
"given",
"reference",
"date",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/FloatingpointDate.java#L83-L86 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/FloatingpointDate.java | FloatingpointDate.getDateFromFloatingPointDate | public static LocalDate getDateFromFloatingPointDate(LocalDate referenceDate, double floatingPointDate) {
if(referenceDate == null) {
return null;
}
return referenceDate.plusDays((int)Math.round(floatingPointDate*365.0));
} | java | public static LocalDate getDateFromFloatingPointDate(LocalDate referenceDate, double floatingPointDate) {
if(referenceDate == null) {
return null;
}
return referenceDate.plusDays((int)Math.round(floatingPointDate*365.0));
} | [
"public",
"static",
"LocalDate",
"getDateFromFloatingPointDate",
"(",
"LocalDate",
"referenceDate",
",",
"double",
"floatingPointDate",
")",
"{",
"if",
"(",
"referenceDate",
"==",
"null",
")",
"{",
"return",
"null",
";",
"}",
"return",
"referenceDate",
".",
"plusD... | Convert a floating point date to a LocalDate.
Note: This method currently performs a rounding to the next day.
In a future extension intra-day time offsets may be considered.
If referenceDate is null, the method returns null.
@param referenceDate The reference date associated with \( t=0 \).
@param floatingPointDate The value to the time offset \( t \).
@return The date resulting from adding Math.round(fixingTime*365.0) days to referenceDate. | [
"Convert",
"a",
"floating",
"point",
"date",
"to",
"a",
"LocalDate",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/FloatingpointDate.java#L100-L105 | train |
finmath/finmath-lib | src/main/java6/net/finmath/functions/PoissonDistribution.java | PoissonDistribution.inverseCumulativeDistribution | public double inverseCumulativeDistribution(double x) {
double p = Math.exp(-lambda);
double dp = p;
int k = 0;
while(x > p) {
k++;
dp *= lambda / k;
p += dp;
}
return k;
} | java | public double inverseCumulativeDistribution(double x) {
double p = Math.exp(-lambda);
double dp = p;
int k = 0;
while(x > p) {
k++;
dp *= lambda / k;
p += dp;
}
return k;
} | [
"public",
"double",
"inverseCumulativeDistribution",
"(",
"double",
"x",
")",
"{",
"double",
"p",
"=",
"Math",
".",
"exp",
"(",
"-",
"lambda",
")",
";",
"double",
"dp",
"=",
"p",
";",
"int",
"k",
"=",
"0",
";",
"while",
"(",
"x",
">",
"p",
")",
"... | Return the inverse cumulative distribution function at x.
@param x Argument
@return Inverse cumulative distribution function at x. | [
"Return",
"the",
"inverse",
"cumulative",
"distribution",
"function",
"at",
"x",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/PoissonDistribution.java#L27-L37 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/CurveInterpolation.java | CurveInterpolation.addPoint | protected void addPoint(double time, RandomVariable value, boolean isParameter) {
synchronized (rationalFunctionInterpolationLazyInitLock) {
if(interpolationEntity == InterpolationEntity.LOG_OF_VALUE_PER_TIME && time == 0) {
boolean containsOne = false; int index=0;
for(int i = 0; i< value.size(); i++){if(value.get(i)==1.0) {containsOne = true; index=i; break;}}
if(containsOne && isParameter == false) {
return;
} else {
throw new IllegalArgumentException("The interpolation method LOG_OF_VALUE_PER_TIME does not allow to add a value at time = 0 other than 1.0 (received 1 at index" + index + ").");
}
}
RandomVariable interpolationEntityValue = interpolationEntityFromValue(value, time);
int index = getTimeIndex(time);
if(index >= 0) {
if(points.get(index).value == interpolationEntityValue) {
return; // Already in list
} else if(isParameter) {
return;
} else {
throw new RuntimeException("Trying to add a value for a time for which another value already exists.");
}
}
else {
// Insert the new point, retain ordering.
Point point = new Point(time, interpolationEntityValue, isParameter);
points.add(-index-1, point);
if(isParameter) {
// Add this point also to the list of parameters
int parameterIndex = getParameterIndex(time);
if(parameterIndex >= 0) {
new RuntimeException("CurveFromInterpolationPoints inconsistent.");
}
pointsBeingParameters.add(-parameterIndex-1, point);
}
}
rationalFunctionInterpolation = null;
curveCacheReference = null;
}
} | java | protected void addPoint(double time, RandomVariable value, boolean isParameter) {
synchronized (rationalFunctionInterpolationLazyInitLock) {
if(interpolationEntity == InterpolationEntity.LOG_OF_VALUE_PER_TIME && time == 0) {
boolean containsOne = false; int index=0;
for(int i = 0; i< value.size(); i++){if(value.get(i)==1.0) {containsOne = true; index=i; break;}}
if(containsOne && isParameter == false) {
return;
} else {
throw new IllegalArgumentException("The interpolation method LOG_OF_VALUE_PER_TIME does not allow to add a value at time = 0 other than 1.0 (received 1 at index" + index + ").");
}
}
RandomVariable interpolationEntityValue = interpolationEntityFromValue(value, time);
int index = getTimeIndex(time);
if(index >= 0) {
if(points.get(index).value == interpolationEntityValue) {
return; // Already in list
} else if(isParameter) {
return;
} else {
throw new RuntimeException("Trying to add a value for a time for which another value already exists.");
}
}
else {
// Insert the new point, retain ordering.
Point point = new Point(time, interpolationEntityValue, isParameter);
points.add(-index-1, point);
if(isParameter) {
// Add this point also to the list of parameters
int parameterIndex = getParameterIndex(time);
if(parameterIndex >= 0) {
new RuntimeException("CurveFromInterpolationPoints inconsistent.");
}
pointsBeingParameters.add(-parameterIndex-1, point);
}
}
rationalFunctionInterpolation = null;
curveCacheReference = null;
}
} | [
"protected",
"void",
"addPoint",
"(",
"double",
"time",
",",
"RandomVariable",
"value",
",",
"boolean",
"isParameter",
")",
"{",
"synchronized",
"(",
"rationalFunctionInterpolationLazyInitLock",
")",
"{",
"if",
"(",
"interpolationEntity",
"==",
"InterpolationEntity",
... | Add a point to this curveFromInterpolationPoints. The method will throw an exception if the point
is already part of the curveFromInterpolationPoints.
@param time The x<sub>i</sub> in <sub>i</sub> = f(x<sub>i</sub>).
@param value The y<sub>i</sub> in <sub>i</sub> = f(x<sub>i</sub>).
@param isParameter If true, then this point is served via {@link #getParameter()} and changed via {@link #getCloneForParameter(RandomVariable[])}, i.e., it can be calibrated. | [
"Add",
"a",
"point",
"to",
"this",
"curveFromInterpolationPoints",
".",
"The",
"method",
"will",
"throw",
"an",
"exception",
"if",
"the",
"point",
"is",
"already",
"part",
"of",
"the",
"curveFromInterpolationPoints",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/CurveInterpolation.java#L372-L413 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/SchedulePrototype.java | SchedulePrototype.getOffsetCodeFromSchedule | public static String getOffsetCodeFromSchedule(Schedule schedule) {
double doubleLength = 0;
for(int i = 0; i < schedule.getNumberOfPeriods(); i ++) {
doubleLength += schedule.getPeriodLength(i);
}
doubleLength /= schedule.getNumberOfPeriods();
doubleLength *= 12;
int periodLength = (int) Math.round(doubleLength);
String offsetCode = periodLength + "M";
return offsetCode;
} | java | public static String getOffsetCodeFromSchedule(Schedule schedule) {
double doubleLength = 0;
for(int i = 0; i < schedule.getNumberOfPeriods(); i ++) {
doubleLength += schedule.getPeriodLength(i);
}
doubleLength /= schedule.getNumberOfPeriods();
doubleLength *= 12;
int periodLength = (int) Math.round(doubleLength);
String offsetCode = periodLength + "M";
return offsetCode;
} | [
"public",
"static",
"String",
"getOffsetCodeFromSchedule",
"(",
"Schedule",
"schedule",
")",
"{",
"double",
"doubleLength",
"=",
"0",
";",
"for",
"(",
"int",
"i",
"=",
"0",
";",
"i",
"<",
"schedule",
".",
"getNumberOfPeriods",
"(",
")",
";",
"i",
"++",
"... | Determines the offset code of a forward contract from a schedule. Rounds the average period length to full months.
@param schedule The schedule.
@return The offset code as String | [
"Determines",
"the",
"offset",
"code",
"of",
"a",
"forward",
"contract",
"from",
"a",
"schedule",
".",
"Rounds",
"the",
"average",
"period",
"length",
"to",
"full",
"months",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/SchedulePrototype.java#L52-L66 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/SchedulePrototype.java | SchedulePrototype.getOffsetCodeFromCurveName | public static String getOffsetCodeFromCurveName(String curveName) {
if(curveName == null || curveName.length() == 0) {
return null;
}
String[] splits = curveName.split("(?<=\\D)(?=\\d)");
String offsetCode = splits[splits.length-1];
if(!Character.isDigit(offsetCode.charAt(0))) {
return null;
}
offsetCode = offsetCode.split("(?<=[A-Za-z])(?=.)", 2)[0];
offsetCode = offsetCode.replaceAll( "[\\W_]", "" );
return offsetCode;
} | java | public static String getOffsetCodeFromCurveName(String curveName) {
if(curveName == null || curveName.length() == 0) {
return null;
}
String[] splits = curveName.split("(?<=\\D)(?=\\d)");
String offsetCode = splits[splits.length-1];
if(!Character.isDigit(offsetCode.charAt(0))) {
return null;
}
offsetCode = offsetCode.split("(?<=[A-Za-z])(?=.)", 2)[0];
offsetCode = offsetCode.replaceAll( "[\\W_]", "" );
return offsetCode;
} | [
"public",
"static",
"String",
"getOffsetCodeFromCurveName",
"(",
"String",
"curveName",
")",
"{",
"if",
"(",
"curveName",
"==",
"null",
"||",
"curveName",
".",
"length",
"(",
")",
"==",
"0",
")",
"{",
"return",
"null",
";",
"}",
"String",
"[",
"]",
"spli... | Determines the offset code of a forward contract from the name of a forward curve.
This method will extract a group of one or more digits together with the first letter behind them, if any.
If there are multiple groups of digits in the name, this method will extract the last.
If there is no number in the string, this method will return null.
@param curveName The name of the curve.
@return The offset code as String | [
"Determines",
"the",
"offset",
"code",
"of",
"a",
"forward",
"contract",
"from",
"the",
"name",
"of",
"a",
"forward",
"curve",
".",
"This",
"method",
"will",
"extract",
"a",
"group",
"of",
"one",
"or",
"more",
"digits",
"together",
"with",
"the",
"first",
... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/SchedulePrototype.java#L77-L90 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/SchedulePrototype.java | SchedulePrototype.generateScheduleDescriptor | public ScheduleDescriptor generateScheduleDescriptor(LocalDate startDate, LocalDate endDate) {
return new ScheduleDescriptor(startDate, endDate, getFrequency(), getDaycountConvention(), getShortPeriodConvention(), getDateRollConvention(),
getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
} | java | public ScheduleDescriptor generateScheduleDescriptor(LocalDate startDate, LocalDate endDate) {
return new ScheduleDescriptor(startDate, endDate, getFrequency(), getDaycountConvention(), getShortPeriodConvention(), getDateRollConvention(),
getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
} | [
"public",
"ScheduleDescriptor",
"generateScheduleDescriptor",
"(",
"LocalDate",
"startDate",
",",
"LocalDate",
"endDate",
")",
"{",
"return",
"new",
"ScheduleDescriptor",
"(",
"startDate",
",",
"endDate",
",",
"getFrequency",
"(",
")",
",",
"getDaycountConvention",
"(... | Generate a schedule descriptor for the given start and end date.
@param startDate The start date.
@param endDate The end date.
@return The schedule descriptor | [
"Generate",
"a",
"schedule",
"descriptor",
"for",
"the",
"given",
"start",
"and",
"end",
"date",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/SchedulePrototype.java#L126-L129 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/SchedulePrototype.java | SchedulePrototype.generateSchedule | public Schedule generateSchedule(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) {
return ScheduleGenerator.createScheduleFromConventions(referenceDate, startDate, endDate, getFrequency(), getDaycountConvention(),
getShortPeriodConvention(), getDateRollConvention(), getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
} | java | public Schedule generateSchedule(LocalDate referenceDate, LocalDate startDate, LocalDate endDate) {
return ScheduleGenerator.createScheduleFromConventions(referenceDate, startDate, endDate, getFrequency(), getDaycountConvention(),
getShortPeriodConvention(), getDateRollConvention(), getBusinessdayCalendar(), getFixingOffsetDays(), getPaymentOffsetDays(), isUseEndOfMonth());
} | [
"public",
"Schedule",
"generateSchedule",
"(",
"LocalDate",
"referenceDate",
",",
"LocalDate",
"startDate",
",",
"LocalDate",
"endDate",
")",
"{",
"return",
"ScheduleGenerator",
".",
"createScheduleFromConventions",
"(",
"referenceDate",
",",
"startDate",
",",
"endDate"... | Generate a schedule for the given start and end date.
@param referenceDate The reference date (corresponds to \( t = 0 \).
@param startDate The start date.
@param endDate The end date.
@return The schedule | [
"Generate",
"a",
"schedule",
"for",
"the",
"given",
"start",
"and",
"end",
"date",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/SchedulePrototype.java#L139-L142 | train |
finmath/finmath-lib | src/main/java6/net/finmath/time/ScheduleGenerator.java | ScheduleGenerator.createScheduleFromConventions | @Deprecated
public static ScheduleInterface createScheduleFromConventions(
LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention
)
{
return createScheduleFromConventions(
referenceDate,
startDate,
frequency,
maturity,
daycountConvention,
shortPeriodConvention,
"UNADJUSTED",
new BusinessdayCalendarAny(),
0, 0);
} | java | @Deprecated
public static ScheduleInterface createScheduleFromConventions(
LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention
)
{
return createScheduleFromConventions(
referenceDate,
startDate,
frequency,
maturity,
daycountConvention,
shortPeriodConvention,
"UNADJUSTED",
new BusinessdayCalendarAny(),
0, 0);
} | [
"@",
"Deprecated",
"public",
"static",
"ScheduleInterface",
"createScheduleFromConventions",
"(",
"LocalDate",
"referenceDate",
",",
"LocalDate",
"startDate",
",",
"String",
"frequency",
",",
"double",
"maturity",
",",
"String",
"daycountConvention",
",",
"String",
"sho... | Generates a schedule based on some meta data. The schedule generation
considers short periods. Date rolling is ignored.
@param referenceDate The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.
@param startDate The start date of the first period.
@param frequency The frequency.
@param maturity The end date of the last period.
@param daycountConvention The daycount convention.
@param shortPeriodConvention If short period exists, have it first or last.
@return The corresponding schedule
@deprecated Will be removed in version 2.3 | [
"Generates",
"a",
"schedule",
"based",
"on",
"some",
"meta",
"data",
".",
"The",
"schedule",
"generation",
"considers",
"short",
"periods",
".",
"Date",
"rolling",
"is",
"ignored",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/time/ScheduleGenerator.java#L790-L810 | train |
finmath/finmath-lib | src/main/java6/net/finmath/marketdata/calibration/CalibratedCurves.java | CalibratedCurves.getCalibrationProductForSymbol | public AnalyticProductInterface getCalibrationProductForSymbol(String symbol) {
/*
* The internal data structure is not optimal here (a map would make more sense here),
* if the user does not require access to the products, we would allow non-unique symbols.
* Hence we store both in two side by side vectors.
*/
for(int i=0; i<calibrationProductsSymbols.size(); i++) {
String calibrationProductSymbol = calibrationProductsSymbols.get(i);
if(calibrationProductSymbol.equals(symbol)) {
return calibrationProducts.get(i);
}
}
return null;
} | java | public AnalyticProductInterface getCalibrationProductForSymbol(String symbol) {
/*
* The internal data structure is not optimal here (a map would make more sense here),
* if the user does not require access to the products, we would allow non-unique symbols.
* Hence we store both in two side by side vectors.
*/
for(int i=0; i<calibrationProductsSymbols.size(); i++) {
String calibrationProductSymbol = calibrationProductsSymbols.get(i);
if(calibrationProductSymbol.equals(symbol)) {
return calibrationProducts.get(i);
}
}
return null;
} | [
"public",
"AnalyticProductInterface",
"getCalibrationProductForSymbol",
"(",
"String",
"symbol",
")",
"{",
"/*\n\t\t * The internal data structure is not optimal here (a map would make more sense here),\n\t\t * if the user does not require access to the products, we would allow non-unique symbols.\n... | Returns the first product found in the vector of calibration products
which matches the given symbol, where symbol is the String set in
the calibrationSpecs.
@param symbol A given symbol string.
@return The product associated with that symbol. | [
"Returns",
"the",
"first",
"product",
"found",
"in",
"the",
"vector",
"of",
"calibration",
"products",
"which",
"matches",
"the",
"given",
"symbol",
"where",
"symbol",
"is",
"the",
"String",
"set",
"in",
"the",
"calibrationSpecs",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/marketdata/calibration/CalibratedCurves.java#L649-L664 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/assetderivativevaluation/products/BermudanDigitalOption.java | BermudanDigitalOption.getValue | @Override
public RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException {
if(exerciseMethod == ExerciseMethod.UPPER_BOUND_METHOD) {
// Find optimal lambda
GoldenSectionSearch optimizer = new GoldenSectionSearch(-1.0, 1.0);
while(!optimizer.isDone()) {
double lambda = optimizer.getNextPoint();
double value = this.getValues(evaluationTime, model, lambda).getAverage();
optimizer.setValue(value);
}
return getValues(evaluationTime, model, optimizer.getBestPoint());
}
else {
return getValues(evaluationTime, model, 0.0);
}
} | java | @Override
public RandomVariable getValue(double evaluationTime, AssetModelMonteCarloSimulationModel model) throws CalculationException {
if(exerciseMethod == ExerciseMethod.UPPER_BOUND_METHOD) {
// Find optimal lambda
GoldenSectionSearch optimizer = new GoldenSectionSearch(-1.0, 1.0);
while(!optimizer.isDone()) {
double lambda = optimizer.getNextPoint();
double value = this.getValues(evaluationTime, model, lambda).getAverage();
optimizer.setValue(value);
}
return getValues(evaluationTime, model, optimizer.getBestPoint());
}
else {
return getValues(evaluationTime, model, 0.0);
}
} | [
"@",
"Override",
"public",
"RandomVariable",
"getValue",
"(",
"double",
"evaluationTime",
",",
"AssetModelMonteCarloSimulationModel",
"model",
")",
"throws",
"CalculationException",
"{",
"if",
"(",
"exerciseMethod",
"==",
"ExerciseMethod",
".",
"UPPER_BOUND_METHOD",
")",
... | This method returns the value random variable of the product within the specified model,
evaluated at a given evalutationTime.
Cash-flows prior evaluationTime are not considered.
@param evaluationTime The time on which this products value should be observed.
@param model The model used to price the product.
@return The random variable representing the value of the product discounted to evaluation time.
@throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method. | [
"This",
"method",
"returns",
"the",
"value",
"random",
"variable",
"of",
"the",
"product",
"within",
"the",
"specified",
"model",
"evaluated",
"at",
"a",
"given",
"evalutationTime",
".",
"Cash",
"-",
"flows",
"prior",
"evaluationTime",
"are",
"not",
"considered"... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/assetderivativevaluation/products/BermudanDigitalOption.java#L96-L111 | train |
finmath/finmath-lib | src/main/java6/net/finmath/marketdata/model/curves/HazardCurve.java | HazardCurve.createHazardCurveFromSurvivalProbabilities | public static HazardCurve createHazardCurveFromSurvivalProbabilities(String name, double[] times, double[] givenSurvivalProbabilities){
HazardCurve survivalProbabilities = new HazardCurve(name);
for(int timeIndex=0; timeIndex<times.length;timeIndex++) {
survivalProbabilities.addSurvivalProbability(times[timeIndex], givenSurvivalProbabilities[timeIndex], times[timeIndex] > 0);
}
return survivalProbabilities;
} | java | public static HazardCurve createHazardCurveFromSurvivalProbabilities(String name, double[] times, double[] givenSurvivalProbabilities){
HazardCurve survivalProbabilities = new HazardCurve(name);
for(int timeIndex=0; timeIndex<times.length;timeIndex++) {
survivalProbabilities.addSurvivalProbability(times[timeIndex], givenSurvivalProbabilities[timeIndex], times[timeIndex] > 0);
}
return survivalProbabilities;
} | [
"public",
"static",
"HazardCurve",
"createHazardCurveFromSurvivalProbabilities",
"(",
"String",
"name",
",",
"double",
"[",
"]",
"times",
",",
"double",
"[",
"]",
"givenSurvivalProbabilities",
")",
"{",
"HazardCurve",
"survivalProbabilities",
"=",
"new",
"HazardCurve",
... | Create a hazard curve from given times and given discount factors using default interpolation and extrapolation methods.
@param name The name of this hazard curve.
@param times Array of times as doubles.
@param givenSurvivalProbabilities Array of corresponding survival probabilities.
@return A new discount factor object. | [
"Create",
"a",
"hazard",
"curve",
"from",
"given",
"times",
"and",
"given",
"discount",
"factors",
"using",
"default",
"interpolation",
"and",
"extrapolation",
"methods",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/marketdata/model/curves/HazardCurve.java#L152-L160 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.convertLattice | public SwaptionDataLattice convertLattice(QuotingConvention targetConvention, double displacement, AnalyticModel model) {
if(displacement != 0 && targetConvention != QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
throw new IllegalArgumentException("SwaptionDataLattice only supports displacement, when using QuotingCOnvention.PAYERVOLATILITYLOGNORMAL.");
}
//Reverse sign of moneyness, if switching between payer and receiver convention.
int reverse = ((targetConvention == QuotingConvention.RECEIVERPRICE) ^ (quotingConvention == QuotingConvention.RECEIVERPRICE)) ? -1 : 1;
List<Integer> maturities = new ArrayList<>();
List<Integer> tenors = new ArrayList<>();
List<Integer> moneynesss = new ArrayList<>();
List<Double> values = new ArrayList<>();
for(DataKey key : entryMap.keySet()) {
maturities.add(key.maturity);
tenors.add(key.tenor);
moneynesss.add(key.moneyness * reverse);
values.add(getValue(key.maturity, key.tenor, key.moneyness, targetConvention, displacement, model));
}
return new SwaptionDataLattice(referenceDate, targetConvention, displacement,
forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule,
maturities.stream().mapToInt(Integer::intValue).toArray(),
tenors.stream().mapToInt(Integer::intValue).toArray(),
moneynesss.stream().mapToInt(Integer::intValue).toArray(),
values.stream().mapToDouble(Double::doubleValue).toArray());
} | java | public SwaptionDataLattice convertLattice(QuotingConvention targetConvention, double displacement, AnalyticModel model) {
if(displacement != 0 && targetConvention != QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
throw new IllegalArgumentException("SwaptionDataLattice only supports displacement, when using QuotingCOnvention.PAYERVOLATILITYLOGNORMAL.");
}
//Reverse sign of moneyness, if switching between payer and receiver convention.
int reverse = ((targetConvention == QuotingConvention.RECEIVERPRICE) ^ (quotingConvention == QuotingConvention.RECEIVERPRICE)) ? -1 : 1;
List<Integer> maturities = new ArrayList<>();
List<Integer> tenors = new ArrayList<>();
List<Integer> moneynesss = new ArrayList<>();
List<Double> values = new ArrayList<>();
for(DataKey key : entryMap.keySet()) {
maturities.add(key.maturity);
tenors.add(key.tenor);
moneynesss.add(key.moneyness * reverse);
values.add(getValue(key.maturity, key.tenor, key.moneyness, targetConvention, displacement, model));
}
return new SwaptionDataLattice(referenceDate, targetConvention, displacement,
forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule,
maturities.stream().mapToInt(Integer::intValue).toArray(),
tenors.stream().mapToInt(Integer::intValue).toArray(),
moneynesss.stream().mapToInt(Integer::intValue).toArray(),
values.stream().mapToDouble(Double::doubleValue).toArray());
} | [
"public",
"SwaptionDataLattice",
"convertLattice",
"(",
"QuotingConvention",
"targetConvention",
",",
"double",
"displacement",
",",
"AnalyticModel",
"model",
")",
"{",
"if",
"(",
"displacement",
"!=",
"0",
"&&",
"targetConvention",
"!=",
"QuotingConvention",
".",
"PA... | Convert this lattice to store data in the given convention.
Conversion involving receiver premium assumes zero wide collar.
@param targetConvention The convention to store the data in.
@param displacement The displacement to use, if applicable.
@param model The model for context.
@return The converted lattice. | [
"Convert",
"this",
"lattice",
"to",
"store",
"data",
"in",
"the",
"given",
"convention",
".",
"Conversion",
"involving",
"receiver",
"premium",
"assumes",
"zero",
"wide",
"collar",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L260-L287 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.append | public SwaptionDataLattice append(SwaptionDataLattice other, AnalyticModel model) {
SwaptionDataLattice combined = new SwaptionDataLattice(referenceDate, quotingConvention, displacement,
forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
combined.entryMap.putAll(entryMap);
if(quotingConvention == other.quotingConvention && displacement == other.displacement) {
combined.entryMap.putAll(other.entryMap);
} else {
SwaptionDataLattice converted = other.convertLattice(quotingConvention, displacement, model);
combined.entryMap.putAll(converted.entryMap);
}
return combined;
} | java | public SwaptionDataLattice append(SwaptionDataLattice other, AnalyticModel model) {
SwaptionDataLattice combined = new SwaptionDataLattice(referenceDate, quotingConvention, displacement,
forwardCurveName, discountCurveName, floatMetaSchedule, fixMetaSchedule);
combined.entryMap.putAll(entryMap);
if(quotingConvention == other.quotingConvention && displacement == other.displacement) {
combined.entryMap.putAll(other.entryMap);
} else {
SwaptionDataLattice converted = other.convertLattice(quotingConvention, displacement, model);
combined.entryMap.putAll(converted.entryMap);
}
return combined;
} | [
"public",
"SwaptionDataLattice",
"append",
"(",
"SwaptionDataLattice",
"other",
",",
"AnalyticModel",
"model",
")",
"{",
"SwaptionDataLattice",
"combined",
"=",
"new",
"SwaptionDataLattice",
"(",
"referenceDate",
",",
"quotingConvention",
",",
"displacement",
",",
"forw... | Append the data of another lattice to this lattice. If the other lattice follows a different quoting convention, it is automatically converted.
However, this method does not check, whether the two lattices are aligned in terms of reference date, curve names and meta schedules.
If the two lattices have shared data points, the data from this lattice will be overwritten.
@param other The lattice containing the data to be appended.
@param model The model to use for context, in case the other lattice follows a different convention.
@return The lattice with the combined swaption entries. | [
"Append",
"the",
"data",
"of",
"another",
"lattice",
"to",
"this",
"lattice",
".",
"If",
"the",
"other",
"lattice",
"follows",
"a",
"different",
"quoting",
"convention",
"it",
"is",
"automatically",
"converted",
".",
"However",
"this",
"method",
"does",
"not",... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L299-L313 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.getMoneynessAsOffsets | public double[] getMoneynessAsOffsets() {
DoubleStream moneyness = getGridNodesPerMoneyness().keySet().stream().mapToDouble(Integer::doubleValue);
if(quotingConvention == QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return x * 0.01;
}
});
} else if(quotingConvention == QuotingConvention.RECEIVERPRICE) {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return - x * 0.0001;
}
});
} else {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return x * 0.0001;
}
});
}
return moneyness.toArray();
} | java | public double[] getMoneynessAsOffsets() {
DoubleStream moneyness = getGridNodesPerMoneyness().keySet().stream().mapToDouble(Integer::doubleValue);
if(quotingConvention == QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return x * 0.01;
}
});
} else if(quotingConvention == QuotingConvention.RECEIVERPRICE) {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return - x * 0.0001;
}
});
} else {
moneyness = moneyness.map(new DoubleUnaryOperator() {
@Override
public double applyAsDouble(double x) {
return x * 0.0001;
}
});
}
return moneyness.toArray();
} | [
"public",
"double",
"[",
"]",
"getMoneynessAsOffsets",
"(",
")",
"{",
"DoubleStream",
"moneyness",
"=",
"getGridNodesPerMoneyness",
"(",
")",
".",
"keySet",
"(",
")",
".",
"stream",
"(",
")",
".",
"mapToDouble",
"(",
"Integer",
"::",
"doubleValue",
")",
";",... | Return all levels of moneyness for which data exists.
Moneyness is returned as actual difference strike - par swap rate.
@return The levels of moneyness as difference of strike to par swap rate. | [
"Return",
"all",
"levels",
"of",
"moneyness",
"for",
"which",
"data",
"exists",
".",
"Moneyness",
"is",
"returned",
"as",
"actual",
"difference",
"strike",
"-",
"par",
"swap",
"rate",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L372-L397 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.getMaturities | public double[] getMaturities(double moneyness) {
int[] maturitiesInMonths = getMaturities(convertMoneyness(moneyness));
double[] maturities = new double[maturitiesInMonths.length];
for(int index = 0; index < maturities.length; index++) {
maturities[index] = convertMaturity(maturitiesInMonths[index]);
}
return maturities;
} | java | public double[] getMaturities(double moneyness) {
int[] maturitiesInMonths = getMaturities(convertMoneyness(moneyness));
double[] maturities = new double[maturitiesInMonths.length];
for(int index = 0; index < maturities.length; index++) {
maturities[index] = convertMaturity(maturitiesInMonths[index]);
}
return maturities;
} | [
"public",
"double",
"[",
"]",
"getMaturities",
"(",
"double",
"moneyness",
")",
"{",
"int",
"[",
"]",
"maturitiesInMonths",
"=",
"getMaturities",
"(",
"convertMoneyness",
"(",
"moneyness",
")",
")",
";",
"double",
"[",
"]",
"maturities",
"=",
"new",
"double"... | Return all valid maturities for a given moneyness.
Uses the fixing times of the fix schedule to determine fractions.
@param moneyness The moneyness as actual offset from par swap rate for which to get the maturities.
@return The maturities as year fraction from reference date. | [
"Return",
"all",
"valid",
"maturities",
"for",
"a",
"given",
"moneyness",
".",
"Uses",
"the",
"fixing",
"times",
"of",
"the",
"fix",
"schedule",
"to",
"determine",
"fractions",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L434-L442 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.getTenors | public int[] getTenors() {
Set<Integer> setTenors = new HashSet<>();
for(int moneyness : getGridNodesPerMoneyness().keySet()) {
setTenors.addAll(Arrays.asList((IntStream.of(keyMap.get(moneyness)[1]).boxed().toArray(Integer[]::new))));
}
return setTenors.stream().sorted().mapToInt(Integer::intValue).toArray();
} | java | public int[] getTenors() {
Set<Integer> setTenors = new HashSet<>();
for(int moneyness : getGridNodesPerMoneyness().keySet()) {
setTenors.addAll(Arrays.asList((IntStream.of(keyMap.get(moneyness)[1]).boxed().toArray(Integer[]::new))));
}
return setTenors.stream().sorted().mapToInt(Integer::intValue).toArray();
} | [
"public",
"int",
"[",
"]",
"getTenors",
"(",
")",
"{",
"Set",
"<",
"Integer",
">",
"setTenors",
"=",
"new",
"HashSet",
"<>",
"(",
")",
";",
"for",
"(",
"int",
"moneyness",
":",
"getGridNodesPerMoneyness",
"(",
")",
".",
"keySet",
"(",
")",
")",
"{",
... | Return all tenors for which data exists.
@return The tenors in months. | [
"Return",
"all",
"tenors",
"for",
"which",
"data",
"exists",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L449-L456 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.getTenors | public int[] getTenors(int moneynessBP, int maturityInMonths) {
try {
List<Integer> ret = new ArrayList<>();
for(int tenor : getGridNodesPerMoneyness().get(moneynessBP)[1]) {
if(containsEntryFor(maturityInMonths, tenor, moneynessBP)) {
ret.add(tenor);
}
}
return ret.stream().mapToInt(Integer::intValue).toArray();
} catch (NullPointerException e) {
return new int[0];
}
} | java | public int[] getTenors(int moneynessBP, int maturityInMonths) {
try {
List<Integer> ret = new ArrayList<>();
for(int tenor : getGridNodesPerMoneyness().get(moneynessBP)[1]) {
if(containsEntryFor(maturityInMonths, tenor, moneynessBP)) {
ret.add(tenor);
}
}
return ret.stream().mapToInt(Integer::intValue).toArray();
} catch (NullPointerException e) {
return new int[0];
}
} | [
"public",
"int",
"[",
"]",
"getTenors",
"(",
"int",
"moneynessBP",
",",
"int",
"maturityInMonths",
")",
"{",
"try",
"{",
"List",
"<",
"Integer",
">",
"ret",
"=",
"new",
"ArrayList",
"<>",
"(",
")",
";",
"for",
"(",
"int",
"tenor",
":",
"getGridNodesPer... | Return all valid tenors for a given moneyness and maturity.
@param moneynessBP The moneyness in bp for which to get the tenors.
@param maturityInMonths The maturities in months for which to get the tenors.
@return The tenors in months. | [
"Return",
"all",
"valid",
"tenors",
"for",
"a",
"given",
"moneyness",
"and",
"maturity",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L465-L478 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.getTenors | public double[] getTenors(double moneyness, double maturity) {
int maturityInMonths = (int) Math.round(maturity * 12);
int[] tenorsInMonths = getTenors(convertMoneyness(moneyness), maturityInMonths);
double[] tenors = new double[tenorsInMonths.length];
for(int index = 0; index < tenors.length; index++) {
tenors[index] = convertTenor(maturityInMonths, tenorsInMonths[index]);
}
return tenors;
} | java | public double[] getTenors(double moneyness, double maturity) {
int maturityInMonths = (int) Math.round(maturity * 12);
int[] tenorsInMonths = getTenors(convertMoneyness(moneyness), maturityInMonths);
double[] tenors = new double[tenorsInMonths.length];
for(int index = 0; index < tenors.length; index++) {
tenors[index] = convertTenor(maturityInMonths, tenorsInMonths[index]);
}
return tenors;
} | [
"public",
"double",
"[",
"]",
"getTenors",
"(",
"double",
"moneyness",
",",
"double",
"maturity",
")",
"{",
"int",
"maturityInMonths",
"=",
"(",
"int",
")",
"Math",
".",
"round",
"(",
"maturity",
"*",
"12",
")",
";",
"int",
"[",
"]",
"tenorsInMonths",
... | Return all valid tenors for a given moneyness and maturity.
Uses the payment times of the fix schedule to determine fractions.
@param moneyness The moneyness as actual offset from par swap rate for which to get the maturities.
@param maturity The maturities as year fraction from the reference date.
@return The tenors as year fraction from reference date. | [
"Return",
"all",
"valid",
"tenors",
"for",
"a",
"given",
"moneyness",
"and",
"maturity",
".",
"Uses",
"the",
"payment",
"times",
"of",
"the",
"fix",
"schedule",
"to",
"determine",
"fractions",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L488-L497 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.convertMoneyness | private int convertMoneyness(double moneyness) {
if(quotingConvention == QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
return (int) Math.round(moneyness * 100);
} else if(quotingConvention == QuotingConvention.RECEIVERPRICE) {
return - (int) Math.round(moneyness * 10000);
} else {
return (int) Math.round(moneyness * 10000);
}
} | java | private int convertMoneyness(double moneyness) {
if(quotingConvention == QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
return (int) Math.round(moneyness * 100);
} else if(quotingConvention == QuotingConvention.RECEIVERPRICE) {
return - (int) Math.round(moneyness * 10000);
} else {
return (int) Math.round(moneyness * 10000);
}
} | [
"private",
"int",
"convertMoneyness",
"(",
"double",
"moneyness",
")",
"{",
"if",
"(",
"quotingConvention",
"==",
"QuotingConvention",
".",
"PAYERVOLATILITYLOGNORMAL",
")",
"{",
"return",
"(",
"int",
")",
"Math",
".",
"round",
"(",
"moneyness",
"*",
"100",
")"... | Convert moneyness given as difference to par swap rate to moneyness in bp.
Uses the fixing times of the fix schedule to determine fractions.
@param moneyness as offset.
@return Moneyness in bp. | [
"Convert",
"moneyness",
"given",
"as",
"difference",
"to",
"par",
"swap",
"rate",
"to",
"moneyness",
"in",
"bp",
".",
"Uses",
"the",
"fixing",
"times",
"of",
"the",
"fix",
"schedule",
"to",
"determine",
"fractions",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L506-L514 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.convertMaturity | private double convertMaturity(int maturityInMonths) {
Schedule schedule = fixMetaSchedule.generateSchedule(referenceDate, maturityInMonths, 12);
return schedule.getFixing(0);
} | java | private double convertMaturity(int maturityInMonths) {
Schedule schedule = fixMetaSchedule.generateSchedule(referenceDate, maturityInMonths, 12);
return schedule.getFixing(0);
} | [
"private",
"double",
"convertMaturity",
"(",
"int",
"maturityInMonths",
")",
"{",
"Schedule",
"schedule",
"=",
"fixMetaSchedule",
".",
"generateSchedule",
"(",
"referenceDate",
",",
"maturityInMonths",
",",
"12",
")",
";",
"return",
"schedule",
".",
"getFixing",
"... | Convert maturity given as offset in months to year fraction.
@param maturityInMonths The maturity as offset in months.
@return The maturity as year fraction. | [
"Convert",
"maturity",
"given",
"as",
"offset",
"in",
"months",
"to",
"year",
"fraction",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L522-L525 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.convertTenor | private double convertTenor(int maturityInMonths, int tenorInMonths) {
Schedule schedule = fixMetaSchedule.generateSchedule(referenceDate, maturityInMonths, tenorInMonths);
return schedule.getPayment(schedule.getNumberOfPeriods()-1);
} | java | private double convertTenor(int maturityInMonths, int tenorInMonths) {
Schedule schedule = fixMetaSchedule.generateSchedule(referenceDate, maturityInMonths, tenorInMonths);
return schedule.getPayment(schedule.getNumberOfPeriods()-1);
} | [
"private",
"double",
"convertTenor",
"(",
"int",
"maturityInMonths",
",",
"int",
"tenorInMonths",
")",
"{",
"Schedule",
"schedule",
"=",
"fixMetaSchedule",
".",
"generateSchedule",
"(",
"referenceDate",
",",
"maturityInMonths",
",",
"tenorInMonths",
")",
";",
"retur... | Convert tenor given as offset in months to year fraction.
@param maturityInMonths The maturity as offset in months.
@param tenorInMonths The tenor as offset in months.
@return THe tenor as year fraction. | [
"Convert",
"tenor",
"given",
"as",
"offset",
"in",
"months",
"to",
"year",
"fraction",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L534-L537 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.containsEntryFor | public boolean containsEntryFor(int maturityInMonths, int tenorInMonths, int moneynessBP) {
return entryMap.containsKey(new DataKey(maturityInMonths, tenorInMonths, moneynessBP));
} | java | public boolean containsEntryFor(int maturityInMonths, int tenorInMonths, int moneynessBP) {
return entryMap.containsKey(new DataKey(maturityInMonths, tenorInMonths, moneynessBP));
} | [
"public",
"boolean",
"containsEntryFor",
"(",
"int",
"maturityInMonths",
",",
"int",
"tenorInMonths",
",",
"int",
"moneynessBP",
")",
"{",
"return",
"entryMap",
".",
"containsKey",
"(",
"new",
"DataKey",
"(",
"maturityInMonths",
",",
"tenorInMonths",
",",
"moneyne... | Returns true if the lattice contains an entry at the specified location.
@param maturityInMonths The maturity in months to check.
@param tenorInMonths The tenor in months to check.
@param moneynessBP The moneyness in bp to check.
@return True iff there is an entry at the specified location. | [
"Returns",
"true",
"if",
"the",
"lattice",
"contains",
"an",
"entry",
"at",
"the",
"specified",
"location",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L547-L549 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java | SwaptionDataLattice.convertToConvention | private double convertToConvention(double value, DataKey key, QuotingConvention toConvention, double toDisplacement,
QuotingConvention fromConvention, double fromDisplacement, AnalyticModel model) {
if(toConvention == fromConvention) {
if(toConvention != QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
return value;
} else {
if(toDisplacement == fromDisplacement) {
return value;
} else {
return convertToConvention(convertToConvention(value, key, QuotingConvention.PAYERPRICE, 0, fromConvention, fromDisplacement, model),
key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model);
}
}
}
Schedule floatSchedule = floatMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor);
Schedule fixSchedule = fixMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor);
double forward = Swap.getForwardSwapRate(fixSchedule, floatSchedule, model.getForwardCurve(forwardCurveName), model);
double optionMaturity = floatSchedule.getFixing(0);
double offset = key.moneyness /10000.0;
double optionStrike = forward + (quotingConvention == QuotingConvention.RECEIVERPRICE ? -offset : offset);
double payoffUnit = SwapAnnuity.getSwapAnnuity(fixSchedule.getFixing(0), fixSchedule, model.getDiscountCurve(discountCurveName), model);
if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.PAYERVOLATILITYLOGNORMAL)) {
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forward + fromDisplacement, value, optionMaturity, optionStrike + fromDisplacement, payoffUnit);
}
else if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.PAYERVOLATILITYNORMAL)) {
return AnalyticFormulas.bachelierOptionValue(forward, value, optionMaturity, optionStrike, payoffUnit);
}
else if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.RECEIVERPRICE)) {
return value + (forward - optionStrike) * payoffUnit;
}
else if(toConvention.equals(QuotingConvention.PAYERVOLATILITYLOGNORMAL) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return AnalyticFormulas.blackScholesOptionImpliedVolatility(forward + toDisplacement, optionMaturity, optionStrike + toDisplacement, payoffUnit, value);
}
else if(toConvention.equals(QuotingConvention.PAYERVOLATILITYNORMAL) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return AnalyticFormulas.bachelierOptionImpliedVolatility(forward, optionMaturity, optionStrike, payoffUnit, value);
}
else if(toConvention.equals(QuotingConvention.RECEIVERPRICE) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return value - (forward - optionStrike) * payoffUnit;
}
else {
return convertToConvention(convertToConvention(value, key, QuotingConvention.PAYERPRICE, 0, fromConvention, fromDisplacement, model),
key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model);
}
} | java | private double convertToConvention(double value, DataKey key, QuotingConvention toConvention, double toDisplacement,
QuotingConvention fromConvention, double fromDisplacement, AnalyticModel model) {
if(toConvention == fromConvention) {
if(toConvention != QuotingConvention.PAYERVOLATILITYLOGNORMAL) {
return value;
} else {
if(toDisplacement == fromDisplacement) {
return value;
} else {
return convertToConvention(convertToConvention(value, key, QuotingConvention.PAYERPRICE, 0, fromConvention, fromDisplacement, model),
key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model);
}
}
}
Schedule floatSchedule = floatMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor);
Schedule fixSchedule = fixMetaSchedule.generateSchedule(getReferenceDate(), key.maturity, key.tenor);
double forward = Swap.getForwardSwapRate(fixSchedule, floatSchedule, model.getForwardCurve(forwardCurveName), model);
double optionMaturity = floatSchedule.getFixing(0);
double offset = key.moneyness /10000.0;
double optionStrike = forward + (quotingConvention == QuotingConvention.RECEIVERPRICE ? -offset : offset);
double payoffUnit = SwapAnnuity.getSwapAnnuity(fixSchedule.getFixing(0), fixSchedule, model.getDiscountCurve(discountCurveName), model);
if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.PAYERVOLATILITYLOGNORMAL)) {
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forward + fromDisplacement, value, optionMaturity, optionStrike + fromDisplacement, payoffUnit);
}
else if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.PAYERVOLATILITYNORMAL)) {
return AnalyticFormulas.bachelierOptionValue(forward, value, optionMaturity, optionStrike, payoffUnit);
}
else if(toConvention.equals(QuotingConvention.PAYERPRICE) && fromConvention.equals(QuotingConvention.RECEIVERPRICE)) {
return value + (forward - optionStrike) * payoffUnit;
}
else if(toConvention.equals(QuotingConvention.PAYERVOLATILITYLOGNORMAL) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return AnalyticFormulas.blackScholesOptionImpliedVolatility(forward + toDisplacement, optionMaturity, optionStrike + toDisplacement, payoffUnit, value);
}
else if(toConvention.equals(QuotingConvention.PAYERVOLATILITYNORMAL) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return AnalyticFormulas.bachelierOptionImpliedVolatility(forward, optionMaturity, optionStrike, payoffUnit, value);
}
else if(toConvention.equals(QuotingConvention.RECEIVERPRICE) && fromConvention.equals(QuotingConvention.PAYERPRICE)) {
return value - (forward - optionStrike) * payoffUnit;
}
else {
return convertToConvention(convertToConvention(value, key, QuotingConvention.PAYERPRICE, 0, fromConvention, fromDisplacement, model),
key, toConvention, toDisplacement, QuotingConvention.PAYERPRICE, 0, model);
}
} | [
"private",
"double",
"convertToConvention",
"(",
"double",
"value",
",",
"DataKey",
"key",
",",
"QuotingConvention",
"toConvention",
",",
"double",
"toDisplacement",
",",
"QuotingConvention",
"fromConvention",
",",
"double",
"fromDisplacement",
",",
"AnalyticModel",
"mo... | Convert the value to requested quoting convention.
Conversion involving receiver premium assumes zero wide collar.
@param value The value to convert.
@param key The key of the value.
@param toConvention The convention to convert to.
@param toDisplacement The displacement to be used, if converting to log normal implied volatility.
@param fromConvention The current convention of the value.
@param fromDisplacement The current displacement.
@param model The model for context.
@return The converted value. | [
"Convert",
"the",
"value",
"to",
"requested",
"quoting",
"convention",
".",
"Conversion",
"involving",
"receiver",
"premium",
"assumes",
"zero",
"wide",
"collar",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L666-L713 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getCouponPayment | public double getCouponPayment(int periodIndex, AnalyticModel model) {
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
if(forwardCurve == null && forwardCurveName != null && forwardCurveName.length() > 0) {
throw new IllegalArgumentException("No forward curve with name '" + forwardCurveName + "' was found in the model:\n" + model.toString());
}
double periodLength = schedule.getPeriodLength(periodIndex);
double couponPayment=fixedCoupon ;
if(forwardCurve != null ) {
couponPayment = floatingSpread+forwardCurve.getForward(model, schedule.getFixing(periodIndex));
}
return couponPayment*periodLength;
} | java | public double getCouponPayment(int periodIndex, AnalyticModel model) {
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
if(forwardCurve == null && forwardCurveName != null && forwardCurveName.length() > 0) {
throw new IllegalArgumentException("No forward curve with name '" + forwardCurveName + "' was found in the model:\n" + model.toString());
}
double periodLength = schedule.getPeriodLength(periodIndex);
double couponPayment=fixedCoupon ;
if(forwardCurve != null ) {
couponPayment = floatingSpread+forwardCurve.getForward(model, schedule.getFixing(periodIndex));
}
return couponPayment*periodLength;
} | [
"public",
"double",
"getCouponPayment",
"(",
"int",
"periodIndex",
",",
"AnalyticModel",
"model",
")",
"{",
"ForwardCurve",
"forwardCurve",
"=",
"model",
".",
"getForwardCurve",
"(",
"forwardCurveName",
")",
";",
"if",
"(",
"forwardCurve",
"==",
"null",
"&&",
"f... | Returns the coupon payment of the period with the given index. The analytic model is needed in case of floating bonds.
@param periodIndex The index of the period of interest.
@param model The model under which the product is valued.
@return The value of the coupon payment in the given period. | [
"Returns",
"the",
"coupon",
"payment",
"of",
"the",
"period",
"with",
"the",
"given",
"index",
".",
"The",
"analytic",
"model",
"is",
"needed",
"in",
"case",
"of",
"floating",
"bonds",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L209-L222 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getValueWithGivenSpreadOverCurve | public double getValueWithGivenSpreadOverCurve(double evaluationTime,Curve referenceCurve, double spread, AnalyticModel model) {
double value=0;
for(int periodIndex=0; periodIndex<schedule.getNumberOfPeriods();periodIndex++) {
double paymentDate = schedule.getPayment(periodIndex);
value+= paymentDate>evaluationTime ? getCouponPayment(periodIndex,model)*Math.exp(-spread*paymentDate)*referenceCurve.getValue(paymentDate): 0.0;
}
double paymentDate = schedule.getPayment(schedule.getNumberOfPeriods()-1);
return paymentDate>evaluationTime ? value+Math.exp(-spread*paymentDate)*referenceCurve.getValue(paymentDate):0.0;
} | java | public double getValueWithGivenSpreadOverCurve(double evaluationTime,Curve referenceCurve, double spread, AnalyticModel model) {
double value=0;
for(int periodIndex=0; periodIndex<schedule.getNumberOfPeriods();periodIndex++) {
double paymentDate = schedule.getPayment(periodIndex);
value+= paymentDate>evaluationTime ? getCouponPayment(periodIndex,model)*Math.exp(-spread*paymentDate)*referenceCurve.getValue(paymentDate): 0.0;
}
double paymentDate = schedule.getPayment(schedule.getNumberOfPeriods()-1);
return paymentDate>evaluationTime ? value+Math.exp(-spread*paymentDate)*referenceCurve.getValue(paymentDate):0.0;
} | [
"public",
"double",
"getValueWithGivenSpreadOverCurve",
"(",
"double",
"evaluationTime",
",",
"Curve",
"referenceCurve",
",",
"double",
"spread",
",",
"AnalyticModel",
"model",
")",
"{",
"double",
"value",
"=",
"0",
";",
"for",
"(",
"int",
"periodIndex",
"=",
"0... | Returns the value of the sum of discounted cash flows of the bond where
the discounting is done with the given reference curve and an additional spread.
This method can be used for optimizer.
@param evaluationTime The evaluation time as double. Cash flows prior and including this time are not considered.
@param referenceCurve The reference curve used for discounting the coupon payments.
@param spread The spread which should be added to the discount curve.
@param model The model under which the product is valued.
@return The value of the bond for the given curve and spread. | [
"Returns",
"the",
"value",
"of",
"the",
"sum",
"of",
"discounted",
"cash",
"flows",
"of",
"the",
"bond",
"where",
"the",
"discounting",
"is",
"done",
"with",
"the",
"given",
"reference",
"curve",
"and",
"an",
"additional",
"spread",
".",
"This",
"method",
... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L235-L244 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getValueWithGivenYield | public double getValueWithGivenYield(double evaluationTime, double rate, AnalyticModel model) {
DiscountCurve referenceCurve = DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors("referenceCurve", new double[] {0.0, 1.0}, new double[] {1.0, 1.0});
return getValueWithGivenSpreadOverCurve(evaluationTime, referenceCurve, rate, model);
} | java | public double getValueWithGivenYield(double evaluationTime, double rate, AnalyticModel model) {
DiscountCurve referenceCurve = DiscountCurveInterpolation.createDiscountCurveFromDiscountFactors("referenceCurve", new double[] {0.0, 1.0}, new double[] {1.0, 1.0});
return getValueWithGivenSpreadOverCurve(evaluationTime, referenceCurve, rate, model);
} | [
"public",
"double",
"getValueWithGivenYield",
"(",
"double",
"evaluationTime",
",",
"double",
"rate",
",",
"AnalyticModel",
"model",
")",
"{",
"DiscountCurve",
"referenceCurve",
"=",
"DiscountCurveInterpolation",
".",
"createDiscountCurveFromDiscountFactors",
"(",
"\"refere... | Returns the value of the sum of discounted cash flows of the bond where
the discounting is done with the given yield curve.
This method can be used for optimizer.
@param evaluationTime The evaluation time as double. Cash flows prior and including this time are not considered.
@param rate The yield which is used for discounted the coupon payments.
@param model The model under which the product is valued.
@return The value of the bond for the given yield. | [
"Returns",
"the",
"value",
"of",
"the",
"sum",
"of",
"discounted",
"cash",
"flows",
"of",
"the",
"bond",
"where",
"the",
"discounting",
"is",
"done",
"with",
"the",
"given",
"yield",
"curve",
".",
"This",
"method",
"can",
"be",
"used",
"for",
"optimizer",
... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L256-L259 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getSpread | public double getSpread(double bondPrice, Curve referenceCurve, AnalyticModel model) {
GoldenSectionSearch search = new GoldenSectionSearch(-2.0, 2.0);
while(search.getAccuracy() > 1E-11 && !search.isDone()) {
double x = search.getNextPoint();
double fx=getValueWithGivenSpreadOverCurve(0.0,referenceCurve,x,model);
double y = (bondPrice-fx)*(bondPrice-fx);
search.setValue(y);
}
return search.getBestPoint();
} | java | public double getSpread(double bondPrice, Curve referenceCurve, AnalyticModel model) {
GoldenSectionSearch search = new GoldenSectionSearch(-2.0, 2.0);
while(search.getAccuracy() > 1E-11 && !search.isDone()) {
double x = search.getNextPoint();
double fx=getValueWithGivenSpreadOverCurve(0.0,referenceCurve,x,model);
double y = (bondPrice-fx)*(bondPrice-fx);
search.setValue(y);
}
return search.getBestPoint();
} | [
"public",
"double",
"getSpread",
"(",
"double",
"bondPrice",
",",
"Curve",
"referenceCurve",
",",
"AnalyticModel",
"model",
")",
"{",
"GoldenSectionSearch",
"search",
"=",
"new",
"GoldenSectionSearch",
"(",
"-",
"2.0",
",",
"2.0",
")",
";",
"while",
"(",
"sear... | Returns the spread value such that the sum of cash flows of the bond discounted with a given reference curve
with the additional spread coincides with a given price.
@param bondPrice The target price as double.
@param referenceCurve The reference curve used for discounting the coupon payments.
@param model The model under which the product is valued.
@return The optimal spread value. | [
"Returns",
"the",
"spread",
"value",
"such",
"that",
"the",
"sum",
"of",
"cash",
"flows",
"of",
"the",
"bond",
"discounted",
"with",
"a",
"given",
"reference",
"curve",
"with",
"the",
"additional",
"spread",
"coincides",
"with",
"a",
"given",
"price",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L270-L280 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getYield | public double getYield(double bondPrice, AnalyticModel model) {
GoldenSectionSearch search = new GoldenSectionSearch(-2.0, 2.0);
while(search.getAccuracy() > 1E-11 && !search.isDone()) {
double x = search.getNextPoint();
double fx=getValueWithGivenYield(0.0,x,model);
double y = (bondPrice-fx)*(bondPrice-fx);
search.setValue(y);
}
return search.getBestPoint();
} | java | public double getYield(double bondPrice, AnalyticModel model) {
GoldenSectionSearch search = new GoldenSectionSearch(-2.0, 2.0);
while(search.getAccuracy() > 1E-11 && !search.isDone()) {
double x = search.getNextPoint();
double fx=getValueWithGivenYield(0.0,x,model);
double y = (bondPrice-fx)*(bondPrice-fx);
search.setValue(y);
}
return search.getBestPoint();
} | [
"public",
"double",
"getYield",
"(",
"double",
"bondPrice",
",",
"AnalyticModel",
"model",
")",
"{",
"GoldenSectionSearch",
"search",
"=",
"new",
"GoldenSectionSearch",
"(",
"-",
"2.0",
",",
"2.0",
")",
";",
"while",
"(",
"search",
".",
"getAccuracy",
"(",
"... | Returns the yield value such that the sum of cash flows of the bond discounted with the yield curve
coincides with a given price.
@param bondPrice The target price as double.
@param model The model under which the product is valued.
@return The optimal yield value. | [
"Returns",
"the",
"yield",
"value",
"such",
"that",
"the",
"sum",
"of",
"cash",
"flows",
"of",
"the",
"bond",
"discounted",
"with",
"the",
"yield",
"curve",
"coincides",
"with",
"a",
"given",
"price",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L290-L300 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getAccruedInterest | public double getAccruedInterest(LocalDate date, AnalyticModel model) {
int periodIndex=schedule.getPeriodIndex(date);
Period period=schedule.getPeriod(periodIndex);
DayCountConvention dcc= schedule.getDaycountconvention();
double accruedInterest=getCouponPayment(periodIndex,model)*(dcc.getDaycountFraction(period.getPeriodStart(), date))/schedule.getPeriodLength(periodIndex);
return accruedInterest;
} | java | public double getAccruedInterest(LocalDate date, AnalyticModel model) {
int periodIndex=schedule.getPeriodIndex(date);
Period period=schedule.getPeriod(periodIndex);
DayCountConvention dcc= schedule.getDaycountconvention();
double accruedInterest=getCouponPayment(periodIndex,model)*(dcc.getDaycountFraction(period.getPeriodStart(), date))/schedule.getPeriodLength(periodIndex);
return accruedInterest;
} | [
"public",
"double",
"getAccruedInterest",
"(",
"LocalDate",
"date",
",",
"AnalyticModel",
"model",
")",
"{",
"int",
"periodIndex",
"=",
"schedule",
".",
"getPeriodIndex",
"(",
"date",
")",
";",
"Period",
"period",
"=",
"schedule",
".",
"getPeriod",
"(",
"perio... | Returns the accrued interest of the bond for a given date.
@param date The date of interest.
@param model The model under which the product is valued.
@return The accrued interest. | [
"Returns",
"the",
"accrued",
"interest",
"of",
"the",
"bond",
"for",
"a",
"given",
"date",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L309-L315 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/bond/Bond.java | Bond.getAccruedInterest | public double getAccruedInterest(double time, AnalyticModel model) {
LocalDate date= FloatingpointDate.getDateFromFloatingPointDate(schedule.getReferenceDate(), time);
return getAccruedInterest(date, model);
} | java | public double getAccruedInterest(double time, AnalyticModel model) {
LocalDate date= FloatingpointDate.getDateFromFloatingPointDate(schedule.getReferenceDate(), time);
return getAccruedInterest(date, model);
} | [
"public",
"double",
"getAccruedInterest",
"(",
"double",
"time",
",",
"AnalyticModel",
"model",
")",
"{",
"LocalDate",
"date",
"=",
"FloatingpointDate",
".",
"getDateFromFloatingPointDate",
"(",
"schedule",
".",
"getReferenceDate",
"(",
")",
",",
"time",
")",
";",... | Returns the accrued interest of the bond for a given time.
@param time The time of interest as double.
@param model The model under which the product is valued.
@return The accrued interest. | [
"Returns",
"the",
"accrued",
"interest",
"of",
"the",
"bond",
"for",
"a",
"given",
"time",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L324-L327 | train |
finmath/finmath-lib | src/main/java/net/finmath/functions/AnalyticFormulas.java | AnalyticFormulas.blackScholesOptionTheta | public static double blackScholesOptionTheta(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionStrike <= 0.0 || optionMaturity <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 0.0;
}
else
{
// Calculate theta
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double theta = volatility * Math.exp(-0.5*dPlus*dPlus) / Math.sqrt(2.0 * Math.PI) / Math.sqrt(optionMaturity) / 2 * initialStockValue + riskFreeRate * optionStrike * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return theta;
}
} | java | public static double blackScholesOptionTheta(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionStrike <= 0.0 || optionMaturity <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 0.0;
}
else
{
// Calculate theta
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double theta = volatility * Math.exp(-0.5*dPlus*dPlus) / Math.sqrt(2.0 * Math.PI) / Math.sqrt(optionMaturity) / 2 * initialStockValue + riskFreeRate * optionStrike * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return theta;
}
} | [
"public",
"static",
"double",
"blackScholesOptionTheta",
"(",
"double",
"initialStockValue",
",",
"double",
"riskFreeRate",
",",
"double",
"volatility",
",",
"double",
"optionMaturity",
",",
"double",
"optionStrike",
")",
"{",
"if",
"(",
"optionStrike",
"<=",
"0.0",... | This static method calculated the vega of a call option under a Black-Scholes model
@param initialStockValue The initial value of the underlying, i.e., the spot.
@param riskFreeRate The risk free rate of the bank account numerarie.
@param volatility The Black-Scholes volatility.
@param optionMaturity The option maturity T.
@param optionStrike The option strike.
@return The vega of the option | [
"This",
"static",
"method",
"calculated",
"the",
"vega",
"of",
"a",
"call",
"option",
"under",
"a",
"Black",
"-",
"Scholes",
"model"
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/functions/AnalyticFormulas.java#L439-L461 | train |
finmath/finmath-lib | src/main/java6/net/finmath/montecarlo/AbstractMonteCarloProduct.java | AbstractMonteCarloProduct.getValues | public Map<String, Object> getValues(double evaluationTime, MonteCarloSimulationInterface model) throws CalculationException
{
RandomVariableInterface values = getValue(evaluationTime, model);
if(values == null) {
return null;
}
// Sum up values on path
double value = values.getAverage();
double error = values.getStandardError();
Map<String, Object> results = new HashMap<String, Object>();
results.put("value", value);
results.put("error", error);
return results;
} | java | public Map<String, Object> getValues(double evaluationTime, MonteCarloSimulationInterface model) throws CalculationException
{
RandomVariableInterface values = getValue(evaluationTime, model);
if(values == null) {
return null;
}
// Sum up values on path
double value = values.getAverage();
double error = values.getStandardError();
Map<String, Object> results = new HashMap<String, Object>();
results.put("value", value);
results.put("error", error);
return results;
} | [
"public",
"Map",
"<",
"String",
",",
"Object",
">",
"getValues",
"(",
"double",
"evaluationTime",
",",
"MonteCarloSimulationInterface",
"model",
")",
"throws",
"CalculationException",
"{",
"RandomVariableInterface",
"values",
"=",
"getValue",
"(",
"evaluationTime",
",... | This method returns the value of the product under the specified model and other information in a key-value map.
@param evaluationTime The time on which this products value should be observed.
@param model A model used to evaluate the product.
@return The values of the product.
@throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method. | [
"This",
"method",
"returns",
"the",
"value",
"of",
"the",
"product",
"under",
"the",
"specified",
"model",
"and",
"other",
"information",
"in",
"a",
"key",
"-",
"value",
"map",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/AbstractMonteCarloProduct.java#L113-L130 | train |
finmath/finmath-lib | src/main/java6/net/finmath/interpolation/RationalFunctionInterpolation.java | RationalFunctionInterpolation.getValue | public double getValue(double x)
{
synchronized(interpolatingRationalFunctionsLazyInitLock) {
if(interpolatingRationalFunctions == null) {
doCreateRationalFunctions();
}
}
// Get interpolating rational function for the given point x
int pointIndex = java.util.Arrays.binarySearch(points, x);
if(pointIndex >= 0) {
return values[pointIndex];
}
int intervallIndex = -pointIndex-2;
// Check for extrapolation
if(intervallIndex < 0) {
// Extrapolation
if(this.extrapolationMethod == ExtrapolationMethod.CONSTANT) {
return values[0];
} else if(this.extrapolationMethod == ExtrapolationMethod.LINEAR) {
return values[0]+(values[1]-values[0])/(points[1]-points[0])*(x-points[0]);
} else {
intervallIndex = 0;
}
}
else if(intervallIndex > points.length-2) {
// Extrapolation
if(this.extrapolationMethod == ExtrapolationMethod.CONSTANT) {
return values[points.length-1];
} else if(this.extrapolationMethod == ExtrapolationMethod.LINEAR) {
return values[points.length-1]+(values[points.length-2]-values[points.length-1])/(points[points.length-2]-points[points.length-1])*(x-points[points.length-1]);
} else {
intervallIndex = points.length-2;
}
}
RationalFunction rationalFunction = interpolatingRationalFunctions[intervallIndex];
// Calculate interpolating value
return rationalFunction.getValue(x-points[intervallIndex]);
} | java | public double getValue(double x)
{
synchronized(interpolatingRationalFunctionsLazyInitLock) {
if(interpolatingRationalFunctions == null) {
doCreateRationalFunctions();
}
}
// Get interpolating rational function for the given point x
int pointIndex = java.util.Arrays.binarySearch(points, x);
if(pointIndex >= 0) {
return values[pointIndex];
}
int intervallIndex = -pointIndex-2;
// Check for extrapolation
if(intervallIndex < 0) {
// Extrapolation
if(this.extrapolationMethod == ExtrapolationMethod.CONSTANT) {
return values[0];
} else if(this.extrapolationMethod == ExtrapolationMethod.LINEAR) {
return values[0]+(values[1]-values[0])/(points[1]-points[0])*(x-points[0]);
} else {
intervallIndex = 0;
}
}
else if(intervallIndex > points.length-2) {
// Extrapolation
if(this.extrapolationMethod == ExtrapolationMethod.CONSTANT) {
return values[points.length-1];
} else if(this.extrapolationMethod == ExtrapolationMethod.LINEAR) {
return values[points.length-1]+(values[points.length-2]-values[points.length-1])/(points[points.length-2]-points[points.length-1])*(x-points[points.length-1]);
} else {
intervallIndex = points.length-2;
}
}
RationalFunction rationalFunction = interpolatingRationalFunctions[intervallIndex];
// Calculate interpolating value
return rationalFunction.getValue(x-points[intervallIndex]);
} | [
"public",
"double",
"getValue",
"(",
"double",
"x",
")",
"{",
"synchronized",
"(",
"interpolatingRationalFunctionsLazyInitLock",
")",
"{",
"if",
"(",
"interpolatingRationalFunctions",
"==",
"null",
")",
"{",
"doCreateRationalFunctions",
"(",
")",
";",
"}",
"}",
"/... | Get an interpolated value for a given argument x.
@param x The abscissa at which the interpolation should be performed.
@return The interpolated value (ordinate). | [
"Get",
"an",
"interpolated",
"value",
"for",
"a",
"given",
"argument",
"x",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/interpolation/RationalFunctionInterpolation.java#L186-L228 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/automaticdifferentiation/backward/alternative/RandomVariableUniqueVariable.java | RandomVariableUniqueVariable.getGradient | public RandomVariable[] getGradient(){
// for now let us take the case for output-dimension equal to one!
int numberOfVariables = getNumberOfVariablesInList();
int numberOfCalculationSteps = factory.getNumberOfEntriesInList();
RandomVariable[] omega_hat = new RandomVariable[numberOfCalculationSteps];
// first entry gets initialized
omega_hat[numberOfCalculationSteps-1] = new RandomVariableFromDoubleArray(1.0);
/*
* TODO: Find way that calculations form here on are not 'recorded' by the factory
* IDEA: Let the calculation below run on {@link RandomVariableFromDoubleArray}, ie cast everything down!
* */
for(int functionIndex = numberOfCalculationSteps - 2; functionIndex > 0; functionIndex--){
// apply chain rule
omega_hat[functionIndex] = new RandomVariableFromDoubleArray(0.0);
/*TODO: save all D_{i,j}*\omega_j in vector and sum up later */
for(RandomVariableUniqueVariable parent:parentsVariables){
int variableIndex = parent.getVariableID();
omega_hat[functionIndex] = omega_hat[functionIndex].add(getPartialDerivative(functionIndex, variableIndex).mult(omega_hat[variableIndex]));
}
}
/* Due to the fact that we can still introduce 'new' true variables on the fly they are NOT the last couple of indices!
* Thus save the indices of the true variables and recover them after finalizing all the calculations
* IDEA: quit calculation after minimal true variable index is reached */
RandomVariable[] gradient = new RandomVariable[numberOfVariables];
/* TODO: sort array in correct manner! */
int[] indicesOfVariables = getIDsOfVariablesInList();
for(int i = 0; i < numberOfVariables; i++){
gradient[i] = omega_hat[numberOfCalculationSteps - numberOfVariables + indicesOfVariables[i]];
}
return gradient;
} | java | public RandomVariable[] getGradient(){
// for now let us take the case for output-dimension equal to one!
int numberOfVariables = getNumberOfVariablesInList();
int numberOfCalculationSteps = factory.getNumberOfEntriesInList();
RandomVariable[] omega_hat = new RandomVariable[numberOfCalculationSteps];
// first entry gets initialized
omega_hat[numberOfCalculationSteps-1] = new RandomVariableFromDoubleArray(1.0);
/*
* TODO: Find way that calculations form here on are not 'recorded' by the factory
* IDEA: Let the calculation below run on {@link RandomVariableFromDoubleArray}, ie cast everything down!
* */
for(int functionIndex = numberOfCalculationSteps - 2; functionIndex > 0; functionIndex--){
// apply chain rule
omega_hat[functionIndex] = new RandomVariableFromDoubleArray(0.0);
/*TODO: save all D_{i,j}*\omega_j in vector and sum up later */
for(RandomVariableUniqueVariable parent:parentsVariables){
int variableIndex = parent.getVariableID();
omega_hat[functionIndex] = omega_hat[functionIndex].add(getPartialDerivative(functionIndex, variableIndex).mult(omega_hat[variableIndex]));
}
}
/* Due to the fact that we can still introduce 'new' true variables on the fly they are NOT the last couple of indices!
* Thus save the indices of the true variables and recover them after finalizing all the calculations
* IDEA: quit calculation after minimal true variable index is reached */
RandomVariable[] gradient = new RandomVariable[numberOfVariables];
/* TODO: sort array in correct manner! */
int[] indicesOfVariables = getIDsOfVariablesInList();
for(int i = 0; i < numberOfVariables; i++){
gradient[i] = omega_hat[numberOfCalculationSteps - numberOfVariables + indicesOfVariables[i]];
}
return gradient;
} | [
"public",
"RandomVariable",
"[",
"]",
"getGradient",
"(",
")",
"{",
"// for now let us take the case for output-dimension equal to one!\r",
"int",
"numberOfVariables",
"=",
"getNumberOfVariablesInList",
"(",
")",
";",
"int",
"numberOfCalculationSteps",
"=",
"factory",
".",
... | Apply the AAD algorithm to this very variable
NOTE: in this case it is indeed correct to assume that the output dimension is "one"
meaning that there is only one {@link RandomVariableUniqueVariable} as an output.
@return gradient for the built up function | [
"Apply",
"the",
"AAD",
"algorithm",
"to",
"this",
"very",
"variable"
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/automaticdifferentiation/backward/alternative/RandomVariableUniqueVariable.java#L712-L754 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/volatilities/AbstractVolatilitySurfaceParametric.java | AbstractVolatilitySurfaceParametric.getCloneCalibrated | public AbstractVolatilitySurfaceParametric getCloneCalibrated(final AnalyticModel calibrationModel, final Vector<AnalyticProduct> calibrationProducts, final List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, final ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) throws SolverException {
if(calibrationParameters == null) {
calibrationParameters = new HashMap<>();
}
Integer maxIterationsParameter = (Integer)calibrationParameters.get("maxIterations");
Double accuracyParameter = (Double)calibrationParameters.get("accuracy");
Double evaluationTimeParameter = (Double)calibrationParameters.get("evaluationTime");
// @TODO currently ignored, we use the setting form the OptimizerFactory
int maxIterations = maxIterationsParameter != null ? maxIterationsParameter.intValue() : 600;
double accuracy = accuracyParameter != null ? accuracyParameter.doubleValue() : 1E-8;
double evaluationTime = evaluationTimeParameter != null ? evaluationTimeParameter.doubleValue() : 0.0;
AnalyticModel model = calibrationModel.addVolatilitySurfaces(this);
Solver solver = new Solver(model, calibrationProducts, calibrationTargetValues, parameterTransformation, evaluationTime, optimizerFactory);
Set<ParameterObject> objectsToCalibrate = new HashSet<>();
objectsToCalibrate.add(this);
AnalyticModel modelCalibrated = solver.getCalibratedModel(objectsToCalibrate);
// Diagnostic output
if (logger.isLoggable(Level.FINE)) {
double lastAccuracy = solver.getAccuracy();
int lastIterations = solver.getIterations();
logger.fine("The solver achieved an accuracy of " + lastAccuracy + " in " + lastIterations + ".");
}
return (AbstractVolatilitySurfaceParametric)modelCalibrated.getVolatilitySurface(this.getName());
} | java | public AbstractVolatilitySurfaceParametric getCloneCalibrated(final AnalyticModel calibrationModel, final Vector<AnalyticProduct> calibrationProducts, final List<Double> calibrationTargetValues, Map<String,Object> calibrationParameters, final ParameterTransformation parameterTransformation, OptimizerFactory optimizerFactory) throws SolverException {
if(calibrationParameters == null) {
calibrationParameters = new HashMap<>();
}
Integer maxIterationsParameter = (Integer)calibrationParameters.get("maxIterations");
Double accuracyParameter = (Double)calibrationParameters.get("accuracy");
Double evaluationTimeParameter = (Double)calibrationParameters.get("evaluationTime");
// @TODO currently ignored, we use the setting form the OptimizerFactory
int maxIterations = maxIterationsParameter != null ? maxIterationsParameter.intValue() : 600;
double accuracy = accuracyParameter != null ? accuracyParameter.doubleValue() : 1E-8;
double evaluationTime = evaluationTimeParameter != null ? evaluationTimeParameter.doubleValue() : 0.0;
AnalyticModel model = calibrationModel.addVolatilitySurfaces(this);
Solver solver = new Solver(model, calibrationProducts, calibrationTargetValues, parameterTransformation, evaluationTime, optimizerFactory);
Set<ParameterObject> objectsToCalibrate = new HashSet<>();
objectsToCalibrate.add(this);
AnalyticModel modelCalibrated = solver.getCalibratedModel(objectsToCalibrate);
// Diagnostic output
if (logger.isLoggable(Level.FINE)) {
double lastAccuracy = solver.getAccuracy();
int lastIterations = solver.getIterations();
logger.fine("The solver achieved an accuracy of " + lastAccuracy + " in " + lastIterations + ".");
}
return (AbstractVolatilitySurfaceParametric)modelCalibrated.getVolatilitySurface(this.getName());
} | [
"public",
"AbstractVolatilitySurfaceParametric",
"getCloneCalibrated",
"(",
"final",
"AnalyticModel",
"calibrationModel",
",",
"final",
"Vector",
"<",
"AnalyticProduct",
">",
"calibrationProducts",
",",
"final",
"List",
"<",
"Double",
">",
"calibrationTargetValues",
",",
... | Create a clone of this volatility surface using a generic calibration
of its parameters to given market data.
@param calibrationModel The model used during calibration (contains additional objects required during valuation, e.g. curves).
@param calibrationProducts The calibration products.
@param calibrationTargetValues The target values of the calibration products.
@param calibrationParameters A map containing additional settings like "evaluationTime" (Double).
@param parameterTransformation An optional parameter transformation.
@param optimizerFactory The factory providing the optimizer to be used during calibration.
@return An object having the same type as this one, using (hopefully) calibrated parameters.
@throws SolverException Exception thrown when solver fails. | [
"Create",
"a",
"clone",
"of",
"this",
"volatility",
"surface",
"using",
"a",
"generic",
"calibration",
"of",
"its",
"parameters",
"to",
"given",
"market",
"data",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/AbstractVolatilitySurfaceParametric.java#L81-L110 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/curves/SeasonalCurve.java | SeasonalCurve.computeSeasonalAdjustments | public static double[] computeSeasonalAdjustments(double[] realizedCPIValues, int lastMonth, int numberOfYearsToAverage) {
/*
* Cacluate average log returns
*/
double[] averageLogReturn = new double[12];
Arrays.fill(averageLogReturn, 0.0);
for(int arrayIndex = 0; arrayIndex < 12*numberOfYearsToAverage; arrayIndex++){
int month = (((((lastMonth-1 - arrayIndex) % 12) + 12) % 12));
double logReturn = Math.log(realizedCPIValues[realizedCPIValues.length - 1 - arrayIndex] / realizedCPIValues[realizedCPIValues.length - 2 - arrayIndex]);
averageLogReturn[month] += logReturn/numberOfYearsToAverage;
}
/*
* Normalize
*/
double sum = 0.0;
for(int index = 0; index < averageLogReturn.length; index++){
sum += averageLogReturn[index];
}
double averageSeasonal = sum / averageLogReturn.length;
double[] seasonalAdjustments = new double[averageLogReturn.length];
for(int index = 0; index < seasonalAdjustments.length; index++){
seasonalAdjustments[index] = averageLogReturn[index] - averageSeasonal;
}
// Annualize seasonal adjustments
for(int index = 0; index < seasonalAdjustments.length; index++){
seasonalAdjustments[index] = seasonalAdjustments[index] * 12;
}
return seasonalAdjustments;
} | java | public static double[] computeSeasonalAdjustments(double[] realizedCPIValues, int lastMonth, int numberOfYearsToAverage) {
/*
* Cacluate average log returns
*/
double[] averageLogReturn = new double[12];
Arrays.fill(averageLogReturn, 0.0);
for(int arrayIndex = 0; arrayIndex < 12*numberOfYearsToAverage; arrayIndex++){
int month = (((((lastMonth-1 - arrayIndex) % 12) + 12) % 12));
double logReturn = Math.log(realizedCPIValues[realizedCPIValues.length - 1 - arrayIndex] / realizedCPIValues[realizedCPIValues.length - 2 - arrayIndex]);
averageLogReturn[month] += logReturn/numberOfYearsToAverage;
}
/*
* Normalize
*/
double sum = 0.0;
for(int index = 0; index < averageLogReturn.length; index++){
sum += averageLogReturn[index];
}
double averageSeasonal = sum / averageLogReturn.length;
double[] seasonalAdjustments = new double[averageLogReturn.length];
for(int index = 0; index < seasonalAdjustments.length; index++){
seasonalAdjustments[index] = averageLogReturn[index] - averageSeasonal;
}
// Annualize seasonal adjustments
for(int index = 0; index < seasonalAdjustments.length; index++){
seasonalAdjustments[index] = seasonalAdjustments[index] * 12;
}
return seasonalAdjustments;
} | [
"public",
"static",
"double",
"[",
"]",
"computeSeasonalAdjustments",
"(",
"double",
"[",
"]",
"realizedCPIValues",
",",
"int",
"lastMonth",
",",
"int",
"numberOfYearsToAverage",
")",
"{",
"/*\n\t\t * Cacluate average log returns\n\t\t */",
"double",
"[",
"]",
"averageL... | Computes annualized seasonal adjustments from given monthly realized CPI values.
@param realizedCPIValues An array of consecutive monthly CPI values (minimum size is 12*numberOfYearsToAverage))
@param lastMonth The index of the last month in the sequence of realizedCPIValues (corresponding to the enums in <code>{@link java.time.Month}</code>).
@param numberOfYearsToAverage The number of years to go back in the array of realizedCPIValues.
@return Array of annualized seasonal adjustments, where [0] corresponds to the adjustment for from December to January. | [
"Computes",
"annualized",
"seasonal",
"adjustments",
"from",
"given",
"monthly",
"realized",
"CPI",
"values",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/curves/SeasonalCurve.java#L176-L211 | train |
finmath/finmath-lib | src/main/java/net/finmath/modelling/productfactory/ProductFactoryCascade.java | ProductFactoryCascade.addFactoryBefore | public ProductFactoryCascade<T> addFactoryBefore(ProductFactory<? extends T> factory) {
ArrayList<ProductFactory<? extends T>> factories = new ArrayList<ProductFactory<? extends T>>(this.factories.size()+1);
factories.addAll(this.factories);
factories.add(0, factory);
return new ProductFactoryCascade<>(factories);
} | java | public ProductFactoryCascade<T> addFactoryBefore(ProductFactory<? extends T> factory) {
ArrayList<ProductFactory<? extends T>> factories = new ArrayList<ProductFactory<? extends T>>(this.factories.size()+1);
factories.addAll(this.factories);
factories.add(0, factory);
return new ProductFactoryCascade<>(factories);
} | [
"public",
"ProductFactoryCascade",
"<",
"T",
">",
"addFactoryBefore",
"(",
"ProductFactory",
"<",
"?",
"extends",
"T",
">",
"factory",
")",
"{",
"ArrayList",
"<",
"ProductFactory",
"<",
"?",
"extends",
"T",
">",
">",
"factories",
"=",
"new",
"ArrayList",
"<"... | Add a given factory to the list of factories at the BEGINNING.
@param factory The factory to be added.
@return Cascade with amended factory list. | [
"Add",
"a",
"given",
"factory",
"to",
"the",
"list",
"of",
"factories",
"at",
"the",
"BEGINNING",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/modelling/productfactory/ProductFactoryCascade.java#L49-L54 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/products/ForwardRateVolatilitySurfaceCurvature.java | ForwardRateVolatilitySurfaceCurvature.getValues | public RandomVariable getValues(double evaluationTime, LIBORMarketModel model) {
if(evaluationTime > 0) {
throw new RuntimeException("Forward start evaluation currently not supported.");
}
// Fetch the covariance model of the model
LIBORCovarianceModel covarianceModel = model.getCovarianceModel();
// We sum over all forward rates
int numberOfComponents = covarianceModel.getLiborPeriodDiscretization().getNumberOfTimeSteps();
// Accumulator
RandomVariable integratedLIBORCurvature = new RandomVariableFromDoubleArray(0.0);
for(int componentIndex = 0; componentIndex < numberOfComponents; componentIndex++) {
// Integrate from 0 up to the fixing of the rate
double timeEnd = covarianceModel.getLiborPeriodDiscretization().getTime(componentIndex);
int timeEndIndex = covarianceModel.getTimeDiscretization().getTimeIndex(timeEnd);
// If timeEnd is not in the time discretization we get timeEndIndex = -insertionPoint-1. In that case, we use the index prior to the insertionPoint
if(timeEndIndex < 0) {
timeEndIndex = -timeEndIndex - 2;
}
// Sum squared second derivative of the variance for all components at this time step
RandomVariable integratedLIBORCurvatureCurrentRate = new RandomVariableFromDoubleArray(0.0);
for(int timeIndex = 0; timeIndex < timeEndIndex-2; timeIndex++) {
double timeStep1 = covarianceModel.getTimeDiscretization().getTimeStep(timeIndex);
double timeStep2 = covarianceModel.getTimeDiscretization().getTimeStep(timeIndex+1);
RandomVariable covarianceLeft = covarianceModel.getCovariance(timeIndex+0, componentIndex, componentIndex, null);
RandomVariable covarianceCenter = covarianceModel.getCovariance(timeIndex+1, componentIndex, componentIndex, null);
RandomVariable covarianceRight = covarianceModel.getCovariance(timeIndex+2, componentIndex, componentIndex, null);
// Calculate second derivative
RandomVariable curvatureSquared = covarianceRight.sub(covarianceCenter.mult(2.0)).add(covarianceLeft);
curvatureSquared = curvatureSquared.div(timeStep1 * timeStep2);
// Take square
curvatureSquared = curvatureSquared.squared();
// Integrate over time
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.add(curvatureSquared.mult(timeStep1));
}
// Empty intervall - skip
if(timeEnd == 0) {
continue;
}
// Average over time
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.div(timeEnd);
// Take square root
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.sqrt();
// Take max over all forward rates
integratedLIBORCurvature = integratedLIBORCurvature.add(integratedLIBORCurvatureCurrentRate);
}
integratedLIBORCurvature = integratedLIBORCurvature.div(numberOfComponents);
return integratedLIBORCurvature.sub(tolerance).floor(0.0);
} | java | public RandomVariable getValues(double evaluationTime, LIBORMarketModel model) {
if(evaluationTime > 0) {
throw new RuntimeException("Forward start evaluation currently not supported.");
}
// Fetch the covariance model of the model
LIBORCovarianceModel covarianceModel = model.getCovarianceModel();
// We sum over all forward rates
int numberOfComponents = covarianceModel.getLiborPeriodDiscretization().getNumberOfTimeSteps();
// Accumulator
RandomVariable integratedLIBORCurvature = new RandomVariableFromDoubleArray(0.0);
for(int componentIndex = 0; componentIndex < numberOfComponents; componentIndex++) {
// Integrate from 0 up to the fixing of the rate
double timeEnd = covarianceModel.getLiborPeriodDiscretization().getTime(componentIndex);
int timeEndIndex = covarianceModel.getTimeDiscretization().getTimeIndex(timeEnd);
// If timeEnd is not in the time discretization we get timeEndIndex = -insertionPoint-1. In that case, we use the index prior to the insertionPoint
if(timeEndIndex < 0) {
timeEndIndex = -timeEndIndex - 2;
}
// Sum squared second derivative of the variance for all components at this time step
RandomVariable integratedLIBORCurvatureCurrentRate = new RandomVariableFromDoubleArray(0.0);
for(int timeIndex = 0; timeIndex < timeEndIndex-2; timeIndex++) {
double timeStep1 = covarianceModel.getTimeDiscretization().getTimeStep(timeIndex);
double timeStep2 = covarianceModel.getTimeDiscretization().getTimeStep(timeIndex+1);
RandomVariable covarianceLeft = covarianceModel.getCovariance(timeIndex+0, componentIndex, componentIndex, null);
RandomVariable covarianceCenter = covarianceModel.getCovariance(timeIndex+1, componentIndex, componentIndex, null);
RandomVariable covarianceRight = covarianceModel.getCovariance(timeIndex+2, componentIndex, componentIndex, null);
// Calculate second derivative
RandomVariable curvatureSquared = covarianceRight.sub(covarianceCenter.mult(2.0)).add(covarianceLeft);
curvatureSquared = curvatureSquared.div(timeStep1 * timeStep2);
// Take square
curvatureSquared = curvatureSquared.squared();
// Integrate over time
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.add(curvatureSquared.mult(timeStep1));
}
// Empty intervall - skip
if(timeEnd == 0) {
continue;
}
// Average over time
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.div(timeEnd);
// Take square root
integratedLIBORCurvatureCurrentRate = integratedLIBORCurvatureCurrentRate.sqrt();
// Take max over all forward rates
integratedLIBORCurvature = integratedLIBORCurvature.add(integratedLIBORCurvatureCurrentRate);
}
integratedLIBORCurvature = integratedLIBORCurvature.div(numberOfComponents);
return integratedLIBORCurvature.sub(tolerance).floor(0.0);
} | [
"public",
"RandomVariable",
"getValues",
"(",
"double",
"evaluationTime",
",",
"LIBORMarketModel",
"model",
")",
"{",
"if",
"(",
"evaluationTime",
">",
"0",
")",
"{",
"throw",
"new",
"RuntimeException",
"(",
"\"Forward start evaluation currently not supported.\"",
")",
... | Calculates the squared curvature of the LIBOR instantaneous variance.
@param evaluationTime Time at which the product is evaluated.
@param model A model implementing the LIBORModelMonteCarloSimulationModel
@return The squared curvature of the LIBOR instantaneous variance (reduced a possible tolerance). The return value is ≥ 0. | [
"Calculates",
"the",
"squared",
"curvature",
"of",
"the",
"LIBOR",
"instantaneous",
"variance",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/ForwardRateVolatilitySurfaceCurvature.java#L117-L179 | train |
finmath/finmath-lib | src/main/java6/net/finmath/montecarlo/interestrate/modelplugins/AbstractLIBORCovarianceModel.java | AbstractLIBORCovarianceModel.getFactorLoading | public RandomVariableInterface[] getFactorLoading(double time, double component, RandomVariableInterface[] realizationAtTimeIndex) {
int componentIndex = liborPeriodDiscretization.getTimeIndex(component);
if(componentIndex < 0) {
componentIndex = -componentIndex - 2;
}
return getFactorLoading(time, componentIndex, realizationAtTimeIndex);
} | java | public RandomVariableInterface[] getFactorLoading(double time, double component, RandomVariableInterface[] realizationAtTimeIndex) {
int componentIndex = liborPeriodDiscretization.getTimeIndex(component);
if(componentIndex < 0) {
componentIndex = -componentIndex - 2;
}
return getFactorLoading(time, componentIndex, realizationAtTimeIndex);
} | [
"public",
"RandomVariableInterface",
"[",
"]",
"getFactorLoading",
"(",
"double",
"time",
",",
"double",
"component",
",",
"RandomVariableInterface",
"[",
"]",
"realizationAtTimeIndex",
")",
"{",
"int",
"componentIndex",
"=",
"liborPeriodDiscretization",
".",
"getTimeIn... | Return the factor loading for a given time and a given component.
The factor loading is the vector <i>f<sub>i</sub></i> such that the scalar product <br>
<i>f<sub>j</sub>f<sub>k</sub> = f<sub>j,1</sub>f<sub>k,1</sub> + ... + f<sub>j,m</sub>f<sub>k,m</sub></i> <br>
is the instantaneous covariance of the component <i>j</i> and <i>k</i>.
With respect to simulation time <i>t</i>, this method uses a piece wise constant interpolation, i.e.,
it calculates <i>t_<sub>i</sub></i> such that <i>t_<sub>i</sub></i> is the largest point in <code>getTimeDiscretization</code>
such that <i>t_<sub>i</sub> ≤ t </i>.
The component here, it given via a double <i>T</i> which may be associated with the LIBOR fixing date.
With respect to component time <i>T</i>, this method uses a piece wise constant interpolation, i.e.,
it calculates <i>T_<sub>j</sub></i> such that <i>T_<sub>j</sub></i> is the largest point in <code>getTimeDiscretization</code>
such that <i>T_<sub>j</sub> ≤ T </i>.
@param time The time <i>t</i> at which factor loading is requested.
@param component The component time (as a double associated with the fixing of the forward rate) <i>T<sub>i</sub></i>.
@param realizationAtTimeIndex The realization of the stochastic process (may be used to implement local volatility/covariance/correlation models).
@return The factor loading <i>f<sub>i</sub>(t)</i>. | [
"Return",
"the",
"factor",
"loading",
"for",
"a",
"given",
"time",
"and",
"a",
"given",
"component",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/interestrate/modelplugins/AbstractLIBORCovarianceModel.java#L63-L69 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaptionFromSwapSchedules.java | BermudanSwaptionFromSwapSchedules.getValueUnderlyingNumeraireRelative | private RandomVariable getValueUnderlyingNumeraireRelative(LIBORModelMonteCarloSimulationModel model, Schedule legSchedule, boolean paysFloat, double swaprate, double notional) throws CalculationException {
RandomVariable value = model.getRandomVariableForConstant(0.0);
for(int periodIndex = legSchedule.getNumberOfPeriods() - 1; periodIndex >= 0; periodIndex--) {
double fixingTime = FloatingpointDate.getFloatingPointDateFromDate(model.getReferenceDate().toLocalDate(), legSchedule.getPeriod(periodIndex).getFixing());
double paymentTime = FloatingpointDate.getFloatingPointDateFromDate(model.getReferenceDate().toLocalDate(), legSchedule.getPeriod(periodIndex).getPayment());
double periodLength = legSchedule.getPeriodLength(periodIndex);
RandomVariable numeraireAtPayment = model.getNumeraire(paymentTime);
RandomVariable monteCarloProbabilitiesAtPayment = model.getMonteCarloWeights(paymentTime);
if(swaprate != 0.0) {
RandomVariable periodCashFlowFix = model.getRandomVariableForConstant(swaprate * periodLength * notional).div(numeraireAtPayment).mult(monteCarloProbabilitiesAtPayment);
value = value.add(periodCashFlowFix);
}
if(paysFloat) {
RandomVariable libor = model.getLIBOR(fixingTime, fixingTime, paymentTime);
RandomVariable periodCashFlowFloat = libor.mult(periodLength).mult(notional).div(numeraireAtPayment).mult(monteCarloProbabilitiesAtPayment);
value = value.add(periodCashFlowFloat);
}
}
return value;
} | java | private RandomVariable getValueUnderlyingNumeraireRelative(LIBORModelMonteCarloSimulationModel model, Schedule legSchedule, boolean paysFloat, double swaprate, double notional) throws CalculationException {
RandomVariable value = model.getRandomVariableForConstant(0.0);
for(int periodIndex = legSchedule.getNumberOfPeriods() - 1; periodIndex >= 0; periodIndex--) {
double fixingTime = FloatingpointDate.getFloatingPointDateFromDate(model.getReferenceDate().toLocalDate(), legSchedule.getPeriod(periodIndex).getFixing());
double paymentTime = FloatingpointDate.getFloatingPointDateFromDate(model.getReferenceDate().toLocalDate(), legSchedule.getPeriod(periodIndex).getPayment());
double periodLength = legSchedule.getPeriodLength(periodIndex);
RandomVariable numeraireAtPayment = model.getNumeraire(paymentTime);
RandomVariable monteCarloProbabilitiesAtPayment = model.getMonteCarloWeights(paymentTime);
if(swaprate != 0.0) {
RandomVariable periodCashFlowFix = model.getRandomVariableForConstant(swaprate * periodLength * notional).div(numeraireAtPayment).mult(monteCarloProbabilitiesAtPayment);
value = value.add(periodCashFlowFix);
}
if(paysFloat) {
RandomVariable libor = model.getLIBOR(fixingTime, fixingTime, paymentTime);
RandomVariable periodCashFlowFloat = libor.mult(periodLength).mult(notional).div(numeraireAtPayment).mult(monteCarloProbabilitiesAtPayment);
value = value.add(periodCashFlowFloat);
}
}
return value;
} | [
"private",
"RandomVariable",
"getValueUnderlyingNumeraireRelative",
"(",
"LIBORModelMonteCarloSimulationModel",
"model",
",",
"Schedule",
"legSchedule",
",",
"boolean",
"paysFloat",
",",
"double",
"swaprate",
",",
"double",
"notional",
")",
"throws",
"CalculationException",
... | Calculated the numeraire relative value of an underlying swap leg.
@param model The Monte Carlo model.
@param legSchedule The schedule of the leg.
@param paysFloat If true a floating rate is payed.
@param swaprate The swaprate. May be 0.0 for pure floating leg.
@param notional The notional.
@return The sum of the numeraire relative cash flows.
@throws CalculationException Thrown if underlying model failed to calculate stochastic process. | [
"Calculated",
"the",
"numeraire",
"relative",
"value",
"of",
"an",
"underlying",
"swap",
"leg",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaptionFromSwapSchedules.java#L292-L314 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaptionFromSwapSchedules.java | BermudanSwaptionFromSwapSchedules.getConditionalExpectationEstimator | public ConditionalExpectationEstimator getConditionalExpectationEstimator(double exerciseTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException {
RandomVariable[] regressionBasisFunctions = regressionBasisFunctionProvider.getBasisFunctions(exerciseTime, model);
return conditionalExpectationRegressionFactory.getConditionalExpectationEstimator(regressionBasisFunctions, regressionBasisFunctions);
} | java | public ConditionalExpectationEstimator getConditionalExpectationEstimator(double exerciseTime, LIBORModelMonteCarloSimulationModel model) throws CalculationException {
RandomVariable[] regressionBasisFunctions = regressionBasisFunctionProvider.getBasisFunctions(exerciseTime, model);
return conditionalExpectationRegressionFactory.getConditionalExpectationEstimator(regressionBasisFunctions, regressionBasisFunctions);
} | [
"public",
"ConditionalExpectationEstimator",
"getConditionalExpectationEstimator",
"(",
"double",
"exerciseTime",
",",
"LIBORModelMonteCarloSimulationModel",
"model",
")",
"throws",
"CalculationException",
"{",
"RandomVariable",
"[",
"]",
"regressionBasisFunctions",
"=",
"regress... | The conditional expectation is calculated using a Monte-Carlo regression technique.
@param exerciseTime The exercise time
@param model The valuation model
@return The condition expectation estimator
@throws CalculationException Thrown if underlying model failed to calculate stochastic process. | [
"The",
"conditional",
"expectation",
"is",
"calculated",
"using",
"a",
"Monte",
"-",
"Carlo",
"regression",
"technique",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaptionFromSwapSchedules.java#L324-L327 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/models/LIBORMarketModelStandard.java | LIBORMarketModelStandard.getNumeraire | @Override
public RandomVariable getNumeraire(double time) throws CalculationException {
int timeIndex = getLiborPeriodIndex(time);
if(timeIndex < 0) {
// Interpolation of Numeraire: linear interpolation of the reciprocal.
int lowerIndex = -timeIndex -1;
int upperIndex = -timeIndex;
double alpha = (time-getLiborPeriod(lowerIndex)) / (getLiborPeriod(upperIndex) - getLiborPeriod(lowerIndex));
return getNumeraire(getLiborPeriod(upperIndex)).invert().mult(alpha).add(getNumeraire(getLiborPeriod(lowerIndex)).invert().mult(1.0-alpha)).invert();
}
// Calculate the numeraire, when time is part of liborPeriodDiscretization
// Get the start of the product
int firstLiborIndex = getLiborPeriodIndex(time);
if(firstLiborIndex < 0) {
throw new CalculationException("Simulation time discretization not part of forward rate tenor discretization.");
}
// Get the end of the product
int lastLiborIndex = liborPeriodDiscretization.getNumberOfTimeSteps()-1;
if(measure == Measure.SPOT) {
// Spot measure
firstLiborIndex = 0;
lastLiborIndex = getLiborPeriodIndex(time)-1;
}
/*
* Calculation of the numeraire
*/
// Initialize to 1.0
RandomVariable numeraire = new RandomVariableFromDoubleArray(time, 1.0);
// The product
for(int liborIndex = firstLiborIndex; liborIndex<=lastLiborIndex; liborIndex++) {
RandomVariable libor = getLIBOR(getTimeIndex(Math.min(time,liborPeriodDiscretization.getTime(liborIndex))), liborIndex);
double periodLength = liborPeriodDiscretization.getTimeStep(liborIndex);
if(measure == Measure.SPOT) {
numeraire = numeraire.accrue(libor, periodLength);
}
else {
numeraire = numeraire.discount(libor, periodLength);
}
}
/*
* Adjust for discounting
*/
if(discountCurve != null) {
DiscountCurve discountcountCurveFromForwardPerformance = new DiscountCurveFromForwardCurve(forwardRateCurve);
double deterministicNumeraireAdjustment = discountcountCurveFromForwardPerformance.getDiscountFactor(time) / discountCurve.getDiscountFactor(time);
numeraire = numeraire.mult(deterministicNumeraireAdjustment);
}
return numeraire;
} | java | @Override
public RandomVariable getNumeraire(double time) throws CalculationException {
int timeIndex = getLiborPeriodIndex(time);
if(timeIndex < 0) {
// Interpolation of Numeraire: linear interpolation of the reciprocal.
int lowerIndex = -timeIndex -1;
int upperIndex = -timeIndex;
double alpha = (time-getLiborPeriod(lowerIndex)) / (getLiborPeriod(upperIndex) - getLiborPeriod(lowerIndex));
return getNumeraire(getLiborPeriod(upperIndex)).invert().mult(alpha).add(getNumeraire(getLiborPeriod(lowerIndex)).invert().mult(1.0-alpha)).invert();
}
// Calculate the numeraire, when time is part of liborPeriodDiscretization
// Get the start of the product
int firstLiborIndex = getLiborPeriodIndex(time);
if(firstLiborIndex < 0) {
throw new CalculationException("Simulation time discretization not part of forward rate tenor discretization.");
}
// Get the end of the product
int lastLiborIndex = liborPeriodDiscretization.getNumberOfTimeSteps()-1;
if(measure == Measure.SPOT) {
// Spot measure
firstLiborIndex = 0;
lastLiborIndex = getLiborPeriodIndex(time)-1;
}
/*
* Calculation of the numeraire
*/
// Initialize to 1.0
RandomVariable numeraire = new RandomVariableFromDoubleArray(time, 1.0);
// The product
for(int liborIndex = firstLiborIndex; liborIndex<=lastLiborIndex; liborIndex++) {
RandomVariable libor = getLIBOR(getTimeIndex(Math.min(time,liborPeriodDiscretization.getTime(liborIndex))), liborIndex);
double periodLength = liborPeriodDiscretization.getTimeStep(liborIndex);
if(measure == Measure.SPOT) {
numeraire = numeraire.accrue(libor, periodLength);
}
else {
numeraire = numeraire.discount(libor, periodLength);
}
}
/*
* Adjust for discounting
*/
if(discountCurve != null) {
DiscountCurve discountcountCurveFromForwardPerformance = new DiscountCurveFromForwardCurve(forwardRateCurve);
double deterministicNumeraireAdjustment = discountcountCurveFromForwardPerformance.getDiscountFactor(time) / discountCurve.getDiscountFactor(time);
numeraire = numeraire.mult(deterministicNumeraireAdjustment);
}
return numeraire;
} | [
"@",
"Override",
"public",
"RandomVariable",
"getNumeraire",
"(",
"double",
"time",
")",
"throws",
"CalculationException",
"{",
"int",
"timeIndex",
"=",
"getLiborPeriodIndex",
"(",
"time",
")",
";",
"if",
"(",
"timeIndex",
"<",
"0",
")",
"{",
"// Interpolation o... | Return the numeraire at a given time.
The numeraire is provided for interpolated points. If requested on points which are not
part of the tenor discretization, the numeraire uses a linear interpolation of the reciprocal
value. See ISBN 0470047224 for details.
@param time Time time <i>t</i> for which the numeraire should be returned <i>N(t)</i>.
@return The numeraire at the specified time as <code>RandomVariableFromDoubleArray</code>
@throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method. | [
"Return",
"the",
"numeraire",
"at",
"a",
"given",
"time",
".",
"The",
"numeraire",
"is",
"provided",
"for",
"interpolated",
"points",
".",
"If",
"requested",
"on",
"points",
"which",
"are",
"not",
"part",
"of",
"the",
"tenor",
"discretization",
"the",
"numer... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/models/LIBORMarketModelStandard.java#L282-L341 | train |
finmath/finmath-lib | src/main/java/net/finmath/finitedifference/solvers/FDMThetaMethod.java | FDMThetaMethod.u_neg_inf | private double u_neg_inf(double x, double tau) {
return f(boundaryCondition.getValueAtLowerBoundary(model, f_t(tau), f_s(x)), x, tau);
} | java | private double u_neg_inf(double x, double tau) {
return f(boundaryCondition.getValueAtLowerBoundary(model, f_t(tau), f_s(x)), x, tau);
} | [
"private",
"double",
"u_neg_inf",
"(",
"double",
"x",
",",
"double",
"tau",
")",
"{",
"return",
"f",
"(",
"boundaryCondition",
".",
"getValueAtLowerBoundary",
"(",
"model",
",",
"f_t",
"(",
"tau",
")",
",",
"f_s",
"(",
"x",
")",
")",
",",
"x",
",",
"... | Heat Equation Boundary Conditions | [
"Heat",
"Equation",
"Boundary",
"Conditions"
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/finitedifference/solvers/FDMThetaMethod.java#L150-L152 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/conditionalexpectation/LinearRegression.java | LinearRegression.getRegressionCoefficients | public double[] getRegressionCoefficients(RandomVariable value) {
if(basisFunctions.length == 0) {
return new double[] { };
}
else if(basisFunctions.length == 1) {
/*
* Regression with one basis function is just a projection on that vector. <b,x>/<b,b>
*/
return new double[] { value.mult(basisFunctions[0]).getAverage() / basisFunctions[0].squared().getAverage() };
}
else if(basisFunctions.length == 2) {
/*
* Regression with two basis functions can be solved explicitly if determinant != 0 (otherwise we will fallback to SVD)
*/
double a = basisFunctions[0].squared().getAverage();
double b = basisFunctions[0].mult(basisFunctions[1]).average().squared().doubleValue();
double c = b;
double d = basisFunctions[1].squared().getAverage();
double determinant = (a * d - b * c);
if(determinant != 0) {
double x = value.mult(basisFunctions[0]).getAverage();
double y = value.mult(basisFunctions[1]).getAverage();
double alpha0 = (d * x - b * y) / determinant;
double alpha1 = (a * y - c * x) / determinant;
return new double[] { alpha0, alpha1 };
}
}
/*
* General case
*/
// Build regression matrix
double[][] BTB = new double[basisFunctions.length][basisFunctions.length];
for(int i=0; i<basisFunctions.length; i++) {
for(int j=0; j<=i; j++) {
double covariance = basisFunctions[i].mult(basisFunctions[j]).getAverage();
BTB[i][j] = covariance;
BTB[j][i] = covariance;
}
}
double[] BTX = new double[basisFunctions.length];
for(int i=0; i<basisFunctions.length; i++) {
double covariance = basisFunctions[i].mult(value).getAverage();
BTX[i] = covariance;
}
return LinearAlgebra.solveLinearEquationLeastSquare(BTB, BTX);
} | java | public double[] getRegressionCoefficients(RandomVariable value) {
if(basisFunctions.length == 0) {
return new double[] { };
}
else if(basisFunctions.length == 1) {
/*
* Regression with one basis function is just a projection on that vector. <b,x>/<b,b>
*/
return new double[] { value.mult(basisFunctions[0]).getAverage() / basisFunctions[0].squared().getAverage() };
}
else if(basisFunctions.length == 2) {
/*
* Regression with two basis functions can be solved explicitly if determinant != 0 (otherwise we will fallback to SVD)
*/
double a = basisFunctions[0].squared().getAverage();
double b = basisFunctions[0].mult(basisFunctions[1]).average().squared().doubleValue();
double c = b;
double d = basisFunctions[1].squared().getAverage();
double determinant = (a * d - b * c);
if(determinant != 0) {
double x = value.mult(basisFunctions[0]).getAverage();
double y = value.mult(basisFunctions[1]).getAverage();
double alpha0 = (d * x - b * y) / determinant;
double alpha1 = (a * y - c * x) / determinant;
return new double[] { alpha0, alpha1 };
}
}
/*
* General case
*/
// Build regression matrix
double[][] BTB = new double[basisFunctions.length][basisFunctions.length];
for(int i=0; i<basisFunctions.length; i++) {
for(int j=0; j<=i; j++) {
double covariance = basisFunctions[i].mult(basisFunctions[j]).getAverage();
BTB[i][j] = covariance;
BTB[j][i] = covariance;
}
}
double[] BTX = new double[basisFunctions.length];
for(int i=0; i<basisFunctions.length; i++) {
double covariance = basisFunctions[i].mult(value).getAverage();
BTX[i] = covariance;
}
return LinearAlgebra.solveLinearEquationLeastSquare(BTB, BTX);
} | [
"public",
"double",
"[",
"]",
"getRegressionCoefficients",
"(",
"RandomVariable",
"value",
")",
"{",
"if",
"(",
"basisFunctions",
".",
"length",
"==",
"0",
")",
"{",
"return",
"new",
"double",
"[",
"]",
"{",
"}",
";",
"}",
"else",
"if",
"(",
"basisFuncti... | Get the vector of regression coefficients.
@param value The random variable to regress.
@return The vector of regression coefficients. | [
"Get",
"the",
"vector",
"of",
"regression",
"coefficients",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/conditionalexpectation/LinearRegression.java#L36-L88 | train |
finmath/finmath-lib | src/main/java/net/finmath/modelling/descriptor/xmlparser/FPMLParser.java | FPMLParser.getSwapProductDescriptor | private ProductDescriptor getSwapProductDescriptor(Element trade) {
InterestRateSwapLegProductDescriptor legReceiver = null;
InterestRateSwapLegProductDescriptor legPayer = null;
NodeList legs = trade.getElementsByTagName("swapStream");
for(int legIndex = 0; legIndex < legs.getLength(); legIndex++) {
Element leg = (Element) legs.item(legIndex);
boolean isPayer = leg.getElementsByTagName("payerPartyReference").item(0).getAttributes().getNamedItem("href").getNodeValue().equals(homePartyId);
if(isPayer) {
legPayer = getSwapLegProductDescriptor(leg);
} else {
legReceiver = getSwapLegProductDescriptor(leg);
}
}
return new InterestRateSwapProductDescriptor(legReceiver, legPayer);
} | java | private ProductDescriptor getSwapProductDescriptor(Element trade) {
InterestRateSwapLegProductDescriptor legReceiver = null;
InterestRateSwapLegProductDescriptor legPayer = null;
NodeList legs = trade.getElementsByTagName("swapStream");
for(int legIndex = 0; legIndex < legs.getLength(); legIndex++) {
Element leg = (Element) legs.item(legIndex);
boolean isPayer = leg.getElementsByTagName("payerPartyReference").item(0).getAttributes().getNamedItem("href").getNodeValue().equals(homePartyId);
if(isPayer) {
legPayer = getSwapLegProductDescriptor(leg);
} else {
legReceiver = getSwapLegProductDescriptor(leg);
}
}
return new InterestRateSwapProductDescriptor(legReceiver, legPayer);
} | [
"private",
"ProductDescriptor",
"getSwapProductDescriptor",
"(",
"Element",
"trade",
")",
"{",
"InterestRateSwapLegProductDescriptor",
"legReceiver",
"=",
"null",
";",
"InterestRateSwapLegProductDescriptor",
"legPayer",
"=",
"null",
";",
"NodeList",
"legs",
"=",
"trade",
... | Construct an InterestRateSwapProductDescriptor from a node in a FpML file.
@param trade The node containing the swap.
@return Descriptor of the swap. | [
"Construct",
"an",
"InterestRateSwapProductDescriptor",
"from",
"a",
"node",
"in",
"a",
"FpML",
"file",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/modelling/descriptor/xmlparser/FPMLParser.java#L101-L120 | train |
finmath/finmath-lib | src/main/java/net/finmath/information/Library.java | Library.getVersionString | public static String getVersionString() {
String versionString = "UNKNOWN";
Properties propeties = getProperites();
if(propeties != null) {
versionString = propeties.getProperty("finmath-lib.version");
}
return versionString;
} | java | public static String getVersionString() {
String versionString = "UNKNOWN";
Properties propeties = getProperites();
if(propeties != null) {
versionString = propeties.getProperty("finmath-lib.version");
}
return versionString;
} | [
"public",
"static",
"String",
"getVersionString",
"(",
")",
"{",
"String",
"versionString",
"=",
"\"UNKNOWN\"",
";",
"Properties",
"propeties",
"=",
"getProperites",
"(",
")",
";",
"if",
"(",
"propeties",
"!=",
"null",
")",
"{",
"versionString",
"=",
"propetie... | Return the version string of this instance of finmath-lib.
@return The version string of this instance of finmath-lib. | [
"Return",
"the",
"version",
"string",
"of",
"this",
"instance",
"of",
"finmath",
"-",
"lib",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/information/Library.java#L40-L47 | train |
finmath/finmath-lib | src/main/java/net/finmath/information/Library.java | Library.getBuildString | public static String getBuildString() {
String versionString = "UNKNOWN";
Properties propeties = getProperites();
if(propeties != null) {
versionString = propeties.getProperty("finmath-lib.build");
}
return versionString;
} | java | public static String getBuildString() {
String versionString = "UNKNOWN";
Properties propeties = getProperites();
if(propeties != null) {
versionString = propeties.getProperty("finmath-lib.build");
}
return versionString;
} | [
"public",
"static",
"String",
"getBuildString",
"(",
")",
"{",
"String",
"versionString",
"=",
"\"UNKNOWN\"",
";",
"Properties",
"propeties",
"=",
"getProperites",
"(",
")",
";",
"if",
"(",
"propeties",
"!=",
"null",
")",
"{",
"versionString",
"=",
"propeties"... | Return the build string of this instance of finmath-lib.
Currently this is the Git commit hash.
@return The build string of this instance of finmath-lib. | [
"Return",
"the",
"build",
"string",
"of",
"this",
"instance",
"of",
"finmath",
"-",
"lib",
".",
"Currently",
"this",
"is",
"the",
"Git",
"commit",
"hash",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/information/Library.java#L55-L62 | train |
finmath/finmath-lib | src/main/java6/net/finmath/marketdata/model/curves/DiscountCurve.java | DiscountCurve.createDiscountCurveFromDiscountFactors | public static DiscountCurve createDiscountCurveFromDiscountFactors(String name, double[] times, double[] givenDiscountFactors) {
DiscountCurve discountFactors = new DiscountCurve(name);
for(int timeIndex=0; timeIndex<times.length;timeIndex++) {
discountFactors.addDiscountFactor(times[timeIndex], givenDiscountFactors[timeIndex], times[timeIndex] > 0);
}
return discountFactors;
} | java | public static DiscountCurve createDiscountCurveFromDiscountFactors(String name, double[] times, double[] givenDiscountFactors) {
DiscountCurve discountFactors = new DiscountCurve(name);
for(int timeIndex=0; timeIndex<times.length;timeIndex++) {
discountFactors.addDiscountFactor(times[timeIndex], givenDiscountFactors[timeIndex], times[timeIndex] > 0);
}
return discountFactors;
} | [
"public",
"static",
"DiscountCurve",
"createDiscountCurveFromDiscountFactors",
"(",
"String",
"name",
",",
"double",
"[",
"]",
"times",
",",
"double",
"[",
"]",
"givenDiscountFactors",
")",
"{",
"DiscountCurve",
"discountFactors",
"=",
"new",
"DiscountCurve",
"(",
"... | Create a discount curve from given times and given discount factors using default interpolation and extrapolation methods.
@param name The name of this discount curve.
@param times Array of times as doubles.
@param givenDiscountFactors Array of corresponding discount factors.
@return A new discount factor object. | [
"Create",
"a",
"discount",
"curve",
"from",
"given",
"times",
"and",
"given",
"discount",
"factors",
"using",
"default",
"interpolation",
"and",
"extrapolation",
"methods",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/marketdata/model/curves/DiscountCurve.java#L158-L166 | train |
finmath/finmath-lib | src/main/java/net/finmath/fouriermethod/products/smile/EuropeanOptionSmile.java | EuropeanOptionSmile.getDescriptors | public Map<Double, SingleAssetEuropeanOptionProductDescriptor> getDescriptors(LocalDate referenceDate){
int numberOfStrikes = strikes.length;
HashMap<Double, SingleAssetEuropeanOptionProductDescriptor> descriptors = new HashMap<Double, SingleAssetEuropeanOptionProductDescriptor>();
LocalDate maturityDate = FloatingpointDate.getDateFromFloatingPointDate(referenceDate, maturity);
for(int i = 0; i< numberOfStrikes; i++) {
descriptors.put(strikes[i], new SingleAssetEuropeanOptionProductDescriptor(underlyingName, maturityDate, strikes[i]));
}
return descriptors;
} | java | public Map<Double, SingleAssetEuropeanOptionProductDescriptor> getDescriptors(LocalDate referenceDate){
int numberOfStrikes = strikes.length;
HashMap<Double, SingleAssetEuropeanOptionProductDescriptor> descriptors = new HashMap<Double, SingleAssetEuropeanOptionProductDescriptor>();
LocalDate maturityDate = FloatingpointDate.getDateFromFloatingPointDate(referenceDate, maturity);
for(int i = 0; i< numberOfStrikes; i++) {
descriptors.put(strikes[i], new SingleAssetEuropeanOptionProductDescriptor(underlyingName, maturityDate, strikes[i]));
}
return descriptors;
} | [
"public",
"Map",
"<",
"Double",
",",
"SingleAssetEuropeanOptionProductDescriptor",
">",
"getDescriptors",
"(",
"LocalDate",
"referenceDate",
")",
"{",
"int",
"numberOfStrikes",
"=",
"strikes",
".",
"length",
";",
"HashMap",
"<",
"Double",
",",
"SingleAssetEuropeanOpti... | Return a collection of product descriptors for each option in the smile.
@param referenceDate The reference date (translating the maturity floating point date to dates.
@return a collection of product descriptors for each option in the smile. | [
"Return",
"a",
"collection",
"of",
"product",
"descriptors",
"for",
"each",
"option",
"in",
"the",
"smile",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/fouriermethod/products/smile/EuropeanOptionSmile.java#L88-L99 | train |
finmath/finmath-lib | src/main/java/net/finmath/fouriermethod/products/smile/EuropeanOptionSmile.java | EuropeanOptionSmile.getDescriptor | public SingleAssetEuropeanOptionProductDescriptor getDescriptor(LocalDate referenceDate, int index) throws ArrayIndexOutOfBoundsException{
LocalDate maturityDate = FloatingpointDate.getDateFromFloatingPointDate(referenceDate, maturity);
if(index >= strikes.length) {
throw new ArrayIndexOutOfBoundsException("Strike index out of bounds");
}else {
return new SingleAssetEuropeanOptionProductDescriptor(underlyingName, maturityDate, strikes[index]);
}
} | java | public SingleAssetEuropeanOptionProductDescriptor getDescriptor(LocalDate referenceDate, int index) throws ArrayIndexOutOfBoundsException{
LocalDate maturityDate = FloatingpointDate.getDateFromFloatingPointDate(referenceDate, maturity);
if(index >= strikes.length) {
throw new ArrayIndexOutOfBoundsException("Strike index out of bounds");
}else {
return new SingleAssetEuropeanOptionProductDescriptor(underlyingName, maturityDate, strikes[index]);
}
} | [
"public",
"SingleAssetEuropeanOptionProductDescriptor",
"getDescriptor",
"(",
"LocalDate",
"referenceDate",
",",
"int",
"index",
")",
"throws",
"ArrayIndexOutOfBoundsException",
"{",
"LocalDate",
"maturityDate",
"=",
"FloatingpointDate",
".",
"getDateFromFloatingPointDate",
"("... | Return a product descriptor for a specific strike.
@param referenceDate The reference date (translating the maturity floating point date to dates.
@param index The index corresponding to the strike grid.
@return a product descriptor for a specific strike.
@throws ArrayIndexOutOfBoundsException Thrown if index is out of bound. | [
"Return",
"a",
"product",
"descriptor",
"for",
"a",
"specific",
"strike",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/fouriermethod/products/smile/EuropeanOptionSmile.java#L109-L116 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata2/model/curves/AbstractCurve.java | AbstractCurve.getValues | public RandomVariable[] getValues(double[] times) {
RandomVariable[] values = new RandomVariable[times.length];
for(int i=0; i<times.length; i++) {
values[i] = getValue(null, times[i]);
}
return values;
} | java | public RandomVariable[] getValues(double[] times) {
RandomVariable[] values = new RandomVariable[times.length];
for(int i=0; i<times.length; i++) {
values[i] = getValue(null, times[i]);
}
return values;
} | [
"public",
"RandomVariable",
"[",
"]",
"getValues",
"(",
"double",
"[",
"]",
"times",
")",
"{",
"RandomVariable",
"[",
"]",
"values",
"=",
"new",
"RandomVariable",
"[",
"times",
".",
"length",
"]",
";",
"for",
"(",
"int",
"i",
"=",
"0",
";",
"i",
"<",... | Return a vector of values corresponding to a given vector of times.
@param times A given vector of times.
@return A vector of values corresponding to the given vector of times. | [
"Return",
"a",
"vector",
"of",
"values",
"corresponding",
"to",
"a",
"given",
"vector",
"of",
"times",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/AbstractCurve.java#L60-L68 | train |
finmath/finmath-lib | src/main/java6/net/finmath/time/daycount/DayCountConventionFactory.java | DayCountConventionFactory.getDaycount | public static double getDaycount(LocalDate startDate, LocalDate endDate, String convention) {
DayCountConventionInterface daycountConvention = getDayCountConvention(convention);
return daycountConvention.getDaycount(startDate, endDate);
} | java | public static double getDaycount(LocalDate startDate, LocalDate endDate, String convention) {
DayCountConventionInterface daycountConvention = getDayCountConvention(convention);
return daycountConvention.getDaycount(startDate, endDate);
} | [
"public",
"static",
"double",
"getDaycount",
"(",
"LocalDate",
"startDate",
",",
"LocalDate",
"endDate",
",",
"String",
"convention",
")",
"{",
"DayCountConventionInterface",
"daycountConvention",
"=",
"getDayCountConvention",
"(",
"convention",
")",
";",
"return",
"d... | Return the number of days between startDate and endDate given the
specific daycount convention.
@param startDate The start date given as a {@link org.threeten.bp.LocalDate}.
@param endDate The end date given as a {@link org.threeten.bp.LocalDate}.
@param convention A convention string.
@return The number of days within the given period. | [
"Return",
"the",
"number",
"of",
"days",
"between",
"startDate",
"and",
"endDate",
"given",
"the",
"specific",
"daycount",
"convention",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/time/daycount/DayCountConventionFactory.java#L76-L79 | train |
finmath/finmath-lib | src/main/java/net/finmath/montecarlo/interestrate/products/CMSOption.java | CMSOption.getValue | public double getValue(ForwardCurve forwardCurve, double swaprateVolatility) {
double[] swapTenor = new double[fixingDates.length+1];
System.arraycopy(fixingDates, 0, swapTenor, 0, fixingDates.length);
swapTenor[swapTenor.length-1] = paymentDates[paymentDates.length-1];
TimeDiscretization fixTenor = new TimeDiscretizationFromArray(swapTenor);
TimeDiscretization floatTenor = new TimeDiscretizationFromArray(swapTenor);
double forwardSwapRate = Swap.getForwardSwapRate(fixTenor, floatTenor, forwardCurve);
double swapAnnuity = SwapAnnuity.getSwapAnnuity(fixTenor, forwardCurve);
double payoffUnit = SwapAnnuity.getSwapAnnuity(new TimeDiscretizationFromArray(swapTenor[0], swapTenor[1]), forwardCurve) / (swapTenor[1] - swapTenor[0]);
return AnalyticFormulas.huntKennedyCMSOptionValue(forwardSwapRate, swaprateVolatility, swapAnnuity, exerciseDate, swapTenor[swapTenor.length-1]-swapTenor[0], payoffUnit, strike) * (swapTenor[1] - swapTenor[0]);
} | java | public double getValue(ForwardCurve forwardCurve, double swaprateVolatility) {
double[] swapTenor = new double[fixingDates.length+1];
System.arraycopy(fixingDates, 0, swapTenor, 0, fixingDates.length);
swapTenor[swapTenor.length-1] = paymentDates[paymentDates.length-1];
TimeDiscretization fixTenor = new TimeDiscretizationFromArray(swapTenor);
TimeDiscretization floatTenor = new TimeDiscretizationFromArray(swapTenor);
double forwardSwapRate = Swap.getForwardSwapRate(fixTenor, floatTenor, forwardCurve);
double swapAnnuity = SwapAnnuity.getSwapAnnuity(fixTenor, forwardCurve);
double payoffUnit = SwapAnnuity.getSwapAnnuity(new TimeDiscretizationFromArray(swapTenor[0], swapTenor[1]), forwardCurve) / (swapTenor[1] - swapTenor[0]);
return AnalyticFormulas.huntKennedyCMSOptionValue(forwardSwapRate, swaprateVolatility, swapAnnuity, exerciseDate, swapTenor[swapTenor.length-1]-swapTenor[0], payoffUnit, strike) * (swapTenor[1] - swapTenor[0]);
} | [
"public",
"double",
"getValue",
"(",
"ForwardCurve",
"forwardCurve",
",",
"double",
"swaprateVolatility",
")",
"{",
"double",
"[",
"]",
"swapTenor",
"=",
"new",
"double",
"[",
"fixingDates",
".",
"length",
"+",
"1",
"]",
";",
"System",
".",
"arraycopy",
"(",... | This method returns the value of the product using a Black-Scholes model for the swap rate with the Hunt-Kennedy convexity adjustment.
The model is determined by a discount factor curve and a swap rate volatility.
@param forwardCurve The forward curve from which the swap rate is calculated. The discount curve, associated with this forward curve is used for discounting this option.
@param swaprateVolatility The volatility of the log-swaprate.
@return Value of this product | [
"This",
"method",
"returns",
"the",
"value",
"of",
"the",
"product",
"using",
"a",
"Black",
"-",
"Scholes",
"model",
"for",
"the",
"swap",
"rate",
"with",
"the",
"Hunt",
"-",
"Kennedy",
"convexity",
"adjustment",
".",
"The",
"model",
"is",
"determined",
"b... | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/CMSOption.java#L132-L143 | train |
finmath/finmath-lib | src/main/java6/net/finmath/marketdata/model/curves/DiscountCurveNelsonSiegelSvensson.java | DiscountCurveNelsonSiegelSvensson.getDiscountFactor | @Override
public double getDiscountFactor(AnalyticModelInterface model, double maturity)
{
// Change time scale
maturity *= timeScaling;
double beta1 = parameter[0];
double beta2 = parameter[1];
double beta3 = parameter[2];
double beta4 = parameter[3];
double tau1 = parameter[4];
double tau2 = parameter[5];
double x1 = tau1 > 0 ? FastMath.exp(-maturity/tau1) : 0.0;
double x2 = tau2 > 0 ? FastMath.exp(-maturity/tau2) : 0.0;
double y1 = tau1 > 0 ? (maturity > 0.0 ? (1.0-x1)/maturity*tau1 : 1.0) : 0.0;
double y2 = tau2 > 0 ? (maturity > 0.0 ? (1.0-x2)/maturity*tau2 : 1.0) : 0.0;
double zeroRate = beta1 + beta2 * y1 + beta3 * (y1-x1) + beta4 * (y2-x2);
return Math.exp(- zeroRate * maturity);
} | java | @Override
public double getDiscountFactor(AnalyticModelInterface model, double maturity)
{
// Change time scale
maturity *= timeScaling;
double beta1 = parameter[0];
double beta2 = parameter[1];
double beta3 = parameter[2];
double beta4 = parameter[3];
double tau1 = parameter[4];
double tau2 = parameter[5];
double x1 = tau1 > 0 ? FastMath.exp(-maturity/tau1) : 0.0;
double x2 = tau2 > 0 ? FastMath.exp(-maturity/tau2) : 0.0;
double y1 = tau1 > 0 ? (maturity > 0.0 ? (1.0-x1)/maturity*tau1 : 1.0) : 0.0;
double y2 = tau2 > 0 ? (maturity > 0.0 ? (1.0-x2)/maturity*tau2 : 1.0) : 0.0;
double zeroRate = beta1 + beta2 * y1 + beta3 * (y1-x1) + beta4 * (y2-x2);
return Math.exp(- zeroRate * maturity);
} | [
"@",
"Override",
"public",
"double",
"getDiscountFactor",
"(",
"AnalyticModelInterface",
"model",
",",
"double",
"maturity",
")",
"{",
"// Change time scale",
"maturity",
"*=",
"timeScaling",
";",
"double",
"beta1",
"=",
"parameter",
"[",
"0",
"]",
";",
"double",
... | Return the discount factor within a given model context for a given maturity.
@param model The model used as a context (not required for this class).
@param maturity The maturity in terms of ACT/365 daycount form this curve reference date. Note that this parameter might get rescaled to a different time parameter.
@see net.finmath.marketdata.model.curves.DiscountCurveInterface#getDiscountFactor(net.finmath.marketdata.model.AnalyticModelInterface, double) | [
"Return",
"the",
"discount",
"factor",
"within",
"a",
"given",
"model",
"context",
"for",
"a",
"given",
"maturity",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/marketdata/model/curves/DiscountCurveNelsonSiegelSvensson.java#L71-L93 | train |
finmath/finmath-lib | src/main/java/net/finmath/time/ScheduleGenerator.java | ScheduleGenerator.createScheduleFromConventions | @Deprecated
public static Schedule createScheduleFromConventions(
LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendar businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays
)
{
LocalDate maturityDate = createDateFromDateAndOffset(startDate, maturity);
return createScheduleFromConventions(
referenceDate,
startDate,
maturityDate,
Frequency.valueOf(frequency.toUpperCase()),
DaycountConvention.getEnum(daycountConvention),
ShortPeriodConvention.valueOf(shortPeriodConvention.toUpperCase()),
DateRollConvention.getEnum(dateRollConvention),
businessdayCalendar,
fixingOffsetDays,
paymentOffsetDays
);
} | java | @Deprecated
public static Schedule createScheduleFromConventions(
LocalDate referenceDate,
LocalDate startDate,
String frequency,
double maturity,
String daycountConvention,
String shortPeriodConvention,
String dateRollConvention,
BusinessdayCalendar businessdayCalendar,
int fixingOffsetDays,
int paymentOffsetDays
)
{
LocalDate maturityDate = createDateFromDateAndOffset(startDate, maturity);
return createScheduleFromConventions(
referenceDate,
startDate,
maturityDate,
Frequency.valueOf(frequency.toUpperCase()),
DaycountConvention.getEnum(daycountConvention),
ShortPeriodConvention.valueOf(shortPeriodConvention.toUpperCase()),
DateRollConvention.getEnum(dateRollConvention),
businessdayCalendar,
fixingOffsetDays,
paymentOffsetDays
);
} | [
"@",
"Deprecated",
"public",
"static",
"Schedule",
"createScheduleFromConventions",
"(",
"LocalDate",
"referenceDate",
",",
"LocalDate",
"startDate",
",",
"String",
"frequency",
",",
"double",
"maturity",
",",
"String",
"daycountConvention",
",",
"String",
"shortPeriodC... | Generates a schedule based on some meta data. The schedule generation
considers short periods.
@param referenceDate The date which is used in the schedule to internally convert dates to doubles, i.e., the date where t=0.
@param startDate The start date of the first period.
@param frequency The frequency.
@param maturity The end date of the last period.
@param daycountConvention The daycount convention.
@param shortPeriodConvention If short period exists, have it first or last.
@param dateRollConvention Adjustment to be applied to the all dates.
@param businessdayCalendar Businessday calendar (holiday calendar) to be used for date roll adjustment.
@param fixingOffsetDays Number of business days to be added to period start to get the fixing date.
@param paymentOffsetDays Number of business days to be added to period end to get the payment date.
@return The corresponding schedule
@deprecated Will be removed in version 2.3 | [
"Generates",
"a",
"schedule",
"based",
"on",
"some",
"meta",
"data",
".",
"The",
"schedule",
"generation",
"considers",
"short",
"periods",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/ScheduleGenerator.java#L745-L774 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/model/curves/locallinearregression/CurveEstimation.java | CurveEstimation.getRegressionCurve | public Curve getRegressionCurve(){
// @TODO Add threadsafe lazy init.
if(regressionCurve !=null) {
return regressionCurve;
}
DoubleMatrix a = solveEquationSystem();
double[] curvePoints=new double[partition.getLength()];
curvePoints[0]=a.get(0);
for(int i=1;i<curvePoints.length;i++) {
curvePoints[i]=curvePoints[i-1]+a.get(i)*(partition.getIntervalLength(i-1));
}
return new CurveInterpolation(
"RegressionCurve",
referenceDate,
CurveInterpolation.InterpolationMethod.LINEAR,
CurveInterpolation.ExtrapolationMethod.CONSTANT,
CurveInterpolation.InterpolationEntity.VALUE,
partition.getPoints(),
curvePoints);
} | java | public Curve getRegressionCurve(){
// @TODO Add threadsafe lazy init.
if(regressionCurve !=null) {
return regressionCurve;
}
DoubleMatrix a = solveEquationSystem();
double[] curvePoints=new double[partition.getLength()];
curvePoints[0]=a.get(0);
for(int i=1;i<curvePoints.length;i++) {
curvePoints[i]=curvePoints[i-1]+a.get(i)*(partition.getIntervalLength(i-1));
}
return new CurveInterpolation(
"RegressionCurve",
referenceDate,
CurveInterpolation.InterpolationMethod.LINEAR,
CurveInterpolation.ExtrapolationMethod.CONSTANT,
CurveInterpolation.InterpolationEntity.VALUE,
partition.getPoints(),
curvePoints);
} | [
"public",
"Curve",
"getRegressionCurve",
"(",
")",
"{",
"// @TODO Add threadsafe lazy init.",
"if",
"(",
"regressionCurve",
"!=",
"null",
")",
"{",
"return",
"regressionCurve",
";",
"}",
"DoubleMatrix",
"a",
"=",
"solveEquationSystem",
"(",
")",
";",
"double",
"["... | Returns the curve resulting from the local linear regression with discrete kernel.
@return The regression curve. | [
"Returns",
"the",
"curve",
"resulting",
"from",
"the",
"local",
"linear",
"regression",
"with",
"discrete",
"kernel",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/curves/locallinearregression/CurveEstimation.java#L123-L142 | train |
finmath/finmath-lib | src/main/java/net/finmath/marketdata/products/Cap.java | Cap.getValueAsPrice | public double getValueAsPrice(double evaluationTime, AnalyticModel model) {
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
DiscountCurve discountCurve = model.getDiscountCurve(discountCurveName);
DiscountCurve discountCurveForForward = null;
if(forwardCurve == null && forwardCurveName != null && forwardCurveName.length() > 0) {
// User might like to get forward from discount curve.
discountCurveForForward = model.getDiscountCurve(forwardCurveName);
if(discountCurveForForward == null) {
// User specified a name for the forward curve, but no curve was found.
throw new IllegalArgumentException("No curve of the name " + forwardCurveName + " was found in the model.");
}
}
double value = 0.0;
for(int periodIndex=0; periodIndex<schedule.getNumberOfPeriods(); periodIndex++) {
double fixingDate = schedule.getFixing(periodIndex);
double paymentDate = schedule.getPayment(periodIndex);
double periodLength = schedule.getPeriodLength(periodIndex);
/*
* We do not count empty periods.
* Since empty periods are an indication for a ill-specified product,
* it might be reasonable to throw an illegal argument exception instead.
*/
if(periodLength == 0) {
continue;
}
double forward = 0.0;
if(forwardCurve != null) {
forward += forwardCurve.getForward(model, fixingDate, paymentDate-fixingDate);
}
else if(discountCurveForForward != null) {
/*
* Classical single curve case: using a discount curve as a forward curve.
* This is only implemented for demonstration purposes (an exception would also be appropriate :-)
*/
if(fixingDate != paymentDate) {
forward += (discountCurveForForward.getDiscountFactor(fixingDate) / discountCurveForForward.getDiscountFactor(paymentDate) - 1.0) / (paymentDate-fixingDate);
}
}
double discountFactor = paymentDate > evaluationTime ? discountCurve.getDiscountFactor(model, paymentDate) : 0.0;
double payoffUnit = discountFactor * periodLength;
double effektiveStrike = strike;
if(isStrikeMoneyness) {
effektiveStrike += getATMForward(model, true);
}
VolatilitySurface volatilitySurface = model.getVolatilitySurface(volatiltiySufaceName);
if(volatilitySurface == null) {
throw new IllegalArgumentException("Volatility surface not found in model: " + volatiltiySufaceName);
}
if(volatilitySurface.getQuotingConvention() == QuotingConvention.VOLATILITYLOGNORMAL) {
double volatility = volatilitySurface.getValue(model, fixingDate, effektiveStrike, VolatilitySurface.QuotingConvention.VOLATILITYLOGNORMAL);
value += AnalyticFormulas.blackScholesGeneralizedOptionValue(forward, volatility, fixingDate, effektiveStrike, payoffUnit);
}
else {
// Default to normal volatility as quoting convention
double volatility = volatilitySurface.getValue(model, fixingDate, effektiveStrike, VolatilitySurface.QuotingConvention.VOLATILITYNORMAL);
value += AnalyticFormulas.bachelierOptionValue(forward, volatility, fixingDate, effektiveStrike, payoffUnit);
}
}
return value / discountCurve.getDiscountFactor(model, evaluationTime);
} | java | public double getValueAsPrice(double evaluationTime, AnalyticModel model) {
ForwardCurve forwardCurve = model.getForwardCurve(forwardCurveName);
DiscountCurve discountCurve = model.getDiscountCurve(discountCurveName);
DiscountCurve discountCurveForForward = null;
if(forwardCurve == null && forwardCurveName != null && forwardCurveName.length() > 0) {
// User might like to get forward from discount curve.
discountCurveForForward = model.getDiscountCurve(forwardCurveName);
if(discountCurveForForward == null) {
// User specified a name for the forward curve, but no curve was found.
throw new IllegalArgumentException("No curve of the name " + forwardCurveName + " was found in the model.");
}
}
double value = 0.0;
for(int periodIndex=0; periodIndex<schedule.getNumberOfPeriods(); periodIndex++) {
double fixingDate = schedule.getFixing(periodIndex);
double paymentDate = schedule.getPayment(periodIndex);
double periodLength = schedule.getPeriodLength(periodIndex);
/*
* We do not count empty periods.
* Since empty periods are an indication for a ill-specified product,
* it might be reasonable to throw an illegal argument exception instead.
*/
if(periodLength == 0) {
continue;
}
double forward = 0.0;
if(forwardCurve != null) {
forward += forwardCurve.getForward(model, fixingDate, paymentDate-fixingDate);
}
else if(discountCurveForForward != null) {
/*
* Classical single curve case: using a discount curve as a forward curve.
* This is only implemented for demonstration purposes (an exception would also be appropriate :-)
*/
if(fixingDate != paymentDate) {
forward += (discountCurveForForward.getDiscountFactor(fixingDate) / discountCurveForForward.getDiscountFactor(paymentDate) - 1.0) / (paymentDate-fixingDate);
}
}
double discountFactor = paymentDate > evaluationTime ? discountCurve.getDiscountFactor(model, paymentDate) : 0.0;
double payoffUnit = discountFactor * periodLength;
double effektiveStrike = strike;
if(isStrikeMoneyness) {
effektiveStrike += getATMForward(model, true);
}
VolatilitySurface volatilitySurface = model.getVolatilitySurface(volatiltiySufaceName);
if(volatilitySurface == null) {
throw new IllegalArgumentException("Volatility surface not found in model: " + volatiltiySufaceName);
}
if(volatilitySurface.getQuotingConvention() == QuotingConvention.VOLATILITYLOGNORMAL) {
double volatility = volatilitySurface.getValue(model, fixingDate, effektiveStrike, VolatilitySurface.QuotingConvention.VOLATILITYLOGNORMAL);
value += AnalyticFormulas.blackScholesGeneralizedOptionValue(forward, volatility, fixingDate, effektiveStrike, payoffUnit);
}
else {
// Default to normal volatility as quoting convention
double volatility = volatilitySurface.getValue(model, fixingDate, effektiveStrike, VolatilitySurface.QuotingConvention.VOLATILITYNORMAL);
value += AnalyticFormulas.bachelierOptionValue(forward, volatility, fixingDate, effektiveStrike, payoffUnit);
}
}
return value / discountCurve.getDiscountFactor(model, evaluationTime);
} | [
"public",
"double",
"getValueAsPrice",
"(",
"double",
"evaluationTime",
",",
"AnalyticModel",
"model",
")",
"{",
"ForwardCurve",
"forwardCurve",
"=",
"model",
".",
"getForwardCurve",
"(",
"forwardCurveName",
")",
";",
"DiscountCurve",
"discountCurve",
"=",
"model",
... | Returns the value of this product under the given model.
@param evaluationTime Evaluation time.
@param model The model.
@return Value of this product und the given model. | [
"Returns",
"the",
"value",
"of",
"this",
"product",
"under",
"the",
"given",
"model",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/products/Cap.java#L115-L183 | train |
finmath/finmath-lib | src/main/java6/net/finmath/optimizer/LevenbergMarquardt.java | LevenbergMarquardt.setDerivatives | public void setDerivatives(double[] parameters, double[][] derivatives) throws SolverException {
// Calculate new derivatives. Note that this method is called only with
// parameters = parameterCurrent, so we may use valueCurrent.
Vector<Future<double[]>> valueFutures = new Vector<Future<double[]>>(parameterCurrent.length);
for (int parameterIndex = 0; parameterIndex < parameterCurrent.length; parameterIndex++) {
final double[] parametersNew = parameters.clone();
final double[] derivative = derivatives[parameterIndex];
final int workerParameterIndex = parameterIndex;
Callable<double[]> worker = new Callable<double[]>() {
public double[] call() {
double parameterFiniteDifference;
if(parameterSteps != null) {
parameterFiniteDifference = parameterSteps[workerParameterIndex];
}
else {
/*
* Try to adaptively set a parameter shift. Note that in some
* applications it may be important to set parameterSteps.
* appropriately.
*/
parameterFiniteDifference = (Math.abs(parametersNew[workerParameterIndex]) + 1) * 1E-8;
}
// Shift parameter value
parametersNew[workerParameterIndex] += parameterFiniteDifference;
// Calculate derivative as (valueUpShift - valueCurrent) / parameterFiniteDifference
try {
setValues(parametersNew, derivative);
} catch (Exception e) {
// We signal an exception to calculate the derivative as NaN
Arrays.fill(derivative, Double.NaN);
}
for (int valueIndex = 0; valueIndex < valueCurrent.length; valueIndex++) {
derivative[valueIndex] -= valueCurrent[valueIndex];
derivative[valueIndex] /= parameterFiniteDifference;
if(Double.isNaN(derivative[valueIndex])) {
derivative[valueIndex] = 0.0;
}
}
return derivative;
}
};
if(executor != null) {
Future<double[]> valueFuture = executor.submit(worker);
valueFutures.add(parameterIndex, valueFuture);
}
else {
FutureTask<double[]> valueFutureTask = new FutureTask<double[]>(worker);
valueFutureTask.run();
valueFutures.add(parameterIndex, valueFutureTask);
}
}
for (int parameterIndex = 0; parameterIndex < parameterCurrent.length; parameterIndex++) {
try {
derivatives[parameterIndex] = valueFutures.get(parameterIndex).get();
}
catch (InterruptedException e) {
throw new SolverException(e);
} catch (ExecutionException e) {
throw new SolverException(e);
}
}
} | java | public void setDerivatives(double[] parameters, double[][] derivatives) throws SolverException {
// Calculate new derivatives. Note that this method is called only with
// parameters = parameterCurrent, so we may use valueCurrent.
Vector<Future<double[]>> valueFutures = new Vector<Future<double[]>>(parameterCurrent.length);
for (int parameterIndex = 0; parameterIndex < parameterCurrent.length; parameterIndex++) {
final double[] parametersNew = parameters.clone();
final double[] derivative = derivatives[parameterIndex];
final int workerParameterIndex = parameterIndex;
Callable<double[]> worker = new Callable<double[]>() {
public double[] call() {
double parameterFiniteDifference;
if(parameterSteps != null) {
parameterFiniteDifference = parameterSteps[workerParameterIndex];
}
else {
/*
* Try to adaptively set a parameter shift. Note that in some
* applications it may be important to set parameterSteps.
* appropriately.
*/
parameterFiniteDifference = (Math.abs(parametersNew[workerParameterIndex]) + 1) * 1E-8;
}
// Shift parameter value
parametersNew[workerParameterIndex] += parameterFiniteDifference;
// Calculate derivative as (valueUpShift - valueCurrent) / parameterFiniteDifference
try {
setValues(parametersNew, derivative);
} catch (Exception e) {
// We signal an exception to calculate the derivative as NaN
Arrays.fill(derivative, Double.NaN);
}
for (int valueIndex = 0; valueIndex < valueCurrent.length; valueIndex++) {
derivative[valueIndex] -= valueCurrent[valueIndex];
derivative[valueIndex] /= parameterFiniteDifference;
if(Double.isNaN(derivative[valueIndex])) {
derivative[valueIndex] = 0.0;
}
}
return derivative;
}
};
if(executor != null) {
Future<double[]> valueFuture = executor.submit(worker);
valueFutures.add(parameterIndex, valueFuture);
}
else {
FutureTask<double[]> valueFutureTask = new FutureTask<double[]>(worker);
valueFutureTask.run();
valueFutures.add(parameterIndex, valueFutureTask);
}
}
for (int parameterIndex = 0; parameterIndex < parameterCurrent.length; parameterIndex++) {
try {
derivatives[parameterIndex] = valueFutures.get(parameterIndex).get();
}
catch (InterruptedException e) {
throw new SolverException(e);
} catch (ExecutionException e) {
throw new SolverException(e);
}
}
} | [
"public",
"void",
"setDerivatives",
"(",
"double",
"[",
"]",
"parameters",
",",
"double",
"[",
"]",
"[",
"]",
"derivatives",
")",
"throws",
"SolverException",
"{",
"// Calculate new derivatives. Note that this method is called only with",
"// parameters = parameterCurrent, so... | The derivative of the objective function. You may override this method
if you like to implement your own derivative.
@param parameters Input value. The parameter vector.
@param derivatives Output value, where derivatives[i][j] is d(value(j)) / d(parameters(i)
@throws SolverException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method. | [
"The",
"derivative",
"of",
"the",
"objective",
"function",
".",
"You",
"may",
"override",
"this",
"method",
"if",
"you",
"like",
"to",
"implement",
"your",
"own",
"derivative",
"."
] | a3c067d52dd33feb97d851df6cab130e4116759f | https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/optimizer/LevenbergMarquardt.java#L547-L613 | train |
spring-cloud/spring-cloud-stream-app-starters | processor/spring-cloud-starter-stream-processor-tasklaunchrequest-transform/src/main/java/org/springframework/cloud/stream/app/tasklaunchrequest/transform/processor/TasklaunchrequestTransformProcessorConfiguration.java | TasklaunchrequestTransformProcessorConfiguration.parseParams | private List<String> parseParams(String param) {
Assert.hasText(param, "param must not be empty nor null");
List<String> paramsToUse = new ArrayList<>();
Matcher regexMatcher = DEPLOYMENT_PARAMS_PATTERN.matcher(param);
int start = 0;
while (regexMatcher.find()) {
String p = removeQuoting(param.substring(start, regexMatcher.start()).trim());
if (StringUtils.hasText(p)) {
paramsToUse.add(p);
}
start = regexMatcher.start();
}
if (param != null && param.length() > 0) {
String p = removeQuoting(param.substring(start, param.length()).trim());
if (StringUtils.hasText(p)) {
paramsToUse.add(p);
}
}
return paramsToUse;
} | java | private List<String> parseParams(String param) {
Assert.hasText(param, "param must not be empty nor null");
List<String> paramsToUse = new ArrayList<>();
Matcher regexMatcher = DEPLOYMENT_PARAMS_PATTERN.matcher(param);
int start = 0;
while (regexMatcher.find()) {
String p = removeQuoting(param.substring(start, regexMatcher.start()).trim());
if (StringUtils.hasText(p)) {
paramsToUse.add(p);
}
start = regexMatcher.start();
}
if (param != null && param.length() > 0) {
String p = removeQuoting(param.substring(start, param.length()).trim());
if (StringUtils.hasText(p)) {
paramsToUse.add(p);
}
}
return paramsToUse;
} | [
"private",
"List",
"<",
"String",
">",
"parseParams",
"(",
"String",
"param",
")",
"{",
"Assert",
".",
"hasText",
"(",
"param",
",",
"\"param must not be empty nor null\"",
")",
";",
"List",
"<",
"String",
">",
"paramsToUse",
"=",
"new",
"ArrayList",
"<>",
"... | Parses a string of space delimited command line parameters and returns a
list of parameters which doesn't contain any special quoting either for
values or whole parameter.
@param param string containing a list
@return the list | [
"Parses",
"a",
"string",
"of",
"space",
"delimited",
"command",
"line",
"parameters",
"and",
"returns",
"a",
"list",
"of",
"parameters",
"which",
"doesn",
"t",
"contain",
"any",
"special",
"quoting",
"either",
"for",
"values",
"or",
"whole",
"parameter",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/processor/spring-cloud-starter-stream-processor-tasklaunchrequest-transform/src/main/java/org/springframework/cloud/stream/app/tasklaunchrequest/transform/processor/TasklaunchrequestTransformProcessorConfiguration.java#L136-L155 | train |
spring-cloud/spring-cloud-stream-app-starters | gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/support/SqlUtils.java | SqlUtils.load | public static String load(LoadConfiguration config, String prefix) {
if (config.getMode() == Mode.INSERT) {
return loadInsert(config, prefix);
}
else if (config.getMode() == Mode.UPDATE) {
return loadUpdate(config, prefix);
}
throw new IllegalArgumentException("Unsupported mode " + config.getMode());
} | java | public static String load(LoadConfiguration config, String prefix) {
if (config.getMode() == Mode.INSERT) {
return loadInsert(config, prefix);
}
else if (config.getMode() == Mode.UPDATE) {
return loadUpdate(config, prefix);
}
throw new IllegalArgumentException("Unsupported mode " + config.getMode());
} | [
"public",
"static",
"String",
"load",
"(",
"LoadConfiguration",
"config",
",",
"String",
"prefix",
")",
"{",
"if",
"(",
"config",
".",
"getMode",
"(",
")",
"==",
"Mode",
".",
"INSERT",
")",
"{",
"return",
"loadInsert",
"(",
"config",
",",
"prefix",
")",
... | Builds sql clause to load data into a database.
@param config Load configuration.
@param prefix Prefix for temporary resources.
@return the load DDL | [
"Builds",
"sql",
"clause",
"to",
"load",
"data",
"into",
"a",
"database",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/support/SqlUtils.java#L158-L166 | train |
spring-cloud/spring-cloud-stream-app-starters | triggertask/spring-cloud-starter-stream-source-triggertask/src/main/java/org/springframework/cloud/stream/app/triggertask/source/TriggertaskSourceConfiguration.java | TriggertaskSourceConfiguration.parseProperties | public static Map<String, String> parseProperties(String s) {
Map<String, String> properties = new HashMap<String, String>();
if (!StringUtils.isEmpty(s)) {
Matcher matcher = PROPERTIES_PATTERN.matcher(s);
int start = 0;
while (matcher.find()) {
addKeyValuePairAsProperty(s.substring(start, matcher.start()), properties);
start = matcher.start() + 1;
}
addKeyValuePairAsProperty(s.substring(start), properties);
}
return properties;
} | java | public static Map<String, String> parseProperties(String s) {
Map<String, String> properties = new HashMap<String, String>();
if (!StringUtils.isEmpty(s)) {
Matcher matcher = PROPERTIES_PATTERN.matcher(s);
int start = 0;
while (matcher.find()) {
addKeyValuePairAsProperty(s.substring(start, matcher.start()), properties);
start = matcher.start() + 1;
}
addKeyValuePairAsProperty(s.substring(start), properties);
}
return properties;
} | [
"public",
"static",
"Map",
"<",
"String",
",",
"String",
">",
"parseProperties",
"(",
"String",
"s",
")",
"{",
"Map",
"<",
"String",
",",
"String",
">",
"properties",
"=",
"new",
"HashMap",
"<",
"String",
",",
"String",
">",
"(",
")",
";",
"if",
"(",... | Parses a String comprised of 0 or more comma-delimited key=value pairs.
@param s the string to parse
@return the Map of parsed key value pairs | [
"Parses",
"a",
"String",
"comprised",
"of",
"0",
"or",
"more",
"comma",
"-",
"delimited",
"key",
"=",
"value",
"pairs",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/triggertask/spring-cloud-starter-stream-source-triggertask/src/main/java/org/springframework/cloud/stream/app/triggertask/source/TriggertaskSourceConfiguration.java#L93-L105 | train |
spring-cloud/spring-cloud-stream-app-starters | gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/GpfdistServer.java | GpfdistServer.start | public synchronized HttpServer<Buffer, Buffer> start() throws Exception {
if (server == null) {
server = createProtocolListener();
}
return server;
} | java | public synchronized HttpServer<Buffer, Buffer> start() throws Exception {
if (server == null) {
server = createProtocolListener();
}
return server;
} | [
"public",
"synchronized",
"HttpServer",
"<",
"Buffer",
",",
"Buffer",
">",
"start",
"(",
")",
"throws",
"Exception",
"{",
"if",
"(",
"server",
"==",
"null",
")",
"{",
"server",
"=",
"createProtocolListener",
"(",
")",
";",
"}",
"return",
"server",
";",
"... | Start a server.
@return the http server
@throws Exception the exception | [
"Start",
"a",
"server",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/GpfdistServer.java#L82-L87 | train |
spring-cloud/spring-cloud-stream-app-starters | gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/support/ReadableTableFactoryBean.java | ReadableTableFactoryBean.setSegmentReject | public void setSegmentReject(String reject) {
if (!StringUtils.hasText(reject)) {
return;
}
Integer parsedLimit = null;
try {
parsedLimit = Integer.parseInt(reject);
segmentRejectType = SegmentRejectType.ROWS;
} catch (NumberFormatException e) {
}
if (parsedLimit == null && reject.contains("%")) {
try {
parsedLimit = Integer.parseInt(reject.replace("%", "").trim());
segmentRejectType = SegmentRejectType.PERCENT;
} catch (NumberFormatException e) {
}
}
segmentRejectLimit = parsedLimit;
} | java | public void setSegmentReject(String reject) {
if (!StringUtils.hasText(reject)) {
return;
}
Integer parsedLimit = null;
try {
parsedLimit = Integer.parseInt(reject);
segmentRejectType = SegmentRejectType.ROWS;
} catch (NumberFormatException e) {
}
if (parsedLimit == null && reject.contains("%")) {
try {
parsedLimit = Integer.parseInt(reject.replace("%", "").trim());
segmentRejectType = SegmentRejectType.PERCENT;
} catch (NumberFormatException e) {
}
}
segmentRejectLimit = parsedLimit;
} | [
"public",
"void",
"setSegmentReject",
"(",
"String",
"reject",
")",
"{",
"if",
"(",
"!",
"StringUtils",
".",
"hasText",
"(",
"reject",
")",
")",
"{",
"return",
";",
"}",
"Integer",
"parsedLimit",
"=",
"null",
";",
"try",
"{",
"parsedLimit",
"=",
"Integer... | Sets the segment reject as a string. This method is for convenience
to be able to set percent reject type just by calling with '3%' and
otherwise it uses rows. All this assuming that parsing finds '%' characher
and is able to parse a raw reject number.
@param reject the new segment reject | [
"Sets",
"the",
"segment",
"reject",
"as",
"a",
"string",
".",
"This",
"method",
"is",
"for",
"convenience",
"to",
"be",
"able",
"to",
"set",
"percent",
"reject",
"type",
"just",
"by",
"calling",
"with",
"3%",
"and",
"otherwise",
"it",
"uses",
"rows",
"."... | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/gpfdist/spring-cloud-starter-stream-sink-gpfdist/src/main/java/org/springframework/cloud/stream/app/gpfdist/sink/support/ReadableTableFactoryBean.java#L133-L151 | train |
spring-cloud/spring-cloud-stream-app-starters | twitter/spring-cloud-starter-stream-source-twitterstream/src/main/java/org/springframework/cloud/stream/app/twitterstream/source/AbstractTwitterInboundChannelAdapter.java | AbstractTwitterInboundChannelAdapter.setReadTimeout | public void setReadTimeout(int millis) {
// Hack to get round Spring's dynamic loading of http client stuff
ClientHttpRequestFactory f = getRequestFactory();
if (f instanceof SimpleClientHttpRequestFactory) {
((SimpleClientHttpRequestFactory) f).setReadTimeout(millis);
}
else {
((HttpComponentsClientHttpRequestFactory) f).setReadTimeout(millis);
}
} | java | public void setReadTimeout(int millis) {
// Hack to get round Spring's dynamic loading of http client stuff
ClientHttpRequestFactory f = getRequestFactory();
if (f instanceof SimpleClientHttpRequestFactory) {
((SimpleClientHttpRequestFactory) f).setReadTimeout(millis);
}
else {
((HttpComponentsClientHttpRequestFactory) f).setReadTimeout(millis);
}
} | [
"public",
"void",
"setReadTimeout",
"(",
"int",
"millis",
")",
"{",
"// Hack to get round Spring's dynamic loading of http client stuff",
"ClientHttpRequestFactory",
"f",
"=",
"getRequestFactory",
"(",
")",
";",
"if",
"(",
"f",
"instanceof",
"SimpleClientHttpRequestFactory",
... | The read timeout for the underlying URLConnection to the twitter stream. | [
"The",
"read",
"timeout",
"for",
"the",
"underlying",
"URLConnection",
"to",
"the",
"twitter",
"stream",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/twitter/spring-cloud-starter-stream-source-twitterstream/src/main/java/org/springframework/cloud/stream/app/twitterstream/source/AbstractTwitterInboundChannelAdapter.java#L83-L92 | train |
spring-cloud/spring-cloud-stream-app-starters | twitter/spring-cloud-starter-stream-source-twitterstream/src/main/java/org/springframework/cloud/stream/app/twitterstream/source/AbstractTwitterInboundChannelAdapter.java | AbstractTwitterInboundChannelAdapter.setConnectTimeout | public void setConnectTimeout(int millis) {
ClientHttpRequestFactory f = getRequestFactory();
if (f instanceof SimpleClientHttpRequestFactory) {
((SimpleClientHttpRequestFactory) f).setConnectTimeout(millis);
}
else {
((HttpComponentsClientHttpRequestFactory) f).setConnectTimeout(millis);
}
} | java | public void setConnectTimeout(int millis) {
ClientHttpRequestFactory f = getRequestFactory();
if (f instanceof SimpleClientHttpRequestFactory) {
((SimpleClientHttpRequestFactory) f).setConnectTimeout(millis);
}
else {
((HttpComponentsClientHttpRequestFactory) f).setConnectTimeout(millis);
}
} | [
"public",
"void",
"setConnectTimeout",
"(",
"int",
"millis",
")",
"{",
"ClientHttpRequestFactory",
"f",
"=",
"getRequestFactory",
"(",
")",
";",
"if",
"(",
"f",
"instanceof",
"SimpleClientHttpRequestFactory",
")",
"{",
"(",
"(",
"SimpleClientHttpRequestFactory",
")"... | The connection timeout for making a connection to Twitter. | [
"The",
"connection",
"timeout",
"for",
"making",
"a",
"connection",
"to",
"Twitter",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/twitter/spring-cloud-starter-stream-source-twitterstream/src/main/java/org/springframework/cloud/stream/app/twitterstream/source/AbstractTwitterInboundChannelAdapter.java#L97-L105 | train |
spring-cloud/spring-cloud-stream-app-starters | websocket/spring-cloud-starter-stream-sink-websocket/src/main/java/org/springframework/cloud/stream/app/websocket/sink/WebsocketSinkServerHandler.java | WebsocketSinkServerHandler.handleTextWebSocketFrameInternal | private void handleTextWebSocketFrameInternal(TextWebSocketFrame frame, ChannelHandlerContext ctx) {
if (logger.isTraceEnabled()) {
logger.trace(String.format("%s received %s", ctx.channel(), frame.text()));
}
addTraceForFrame(frame, "text");
ctx.channel().write(new TextWebSocketFrame("Echo: " + frame.text()));
} | java | private void handleTextWebSocketFrameInternal(TextWebSocketFrame frame, ChannelHandlerContext ctx) {
if (logger.isTraceEnabled()) {
logger.trace(String.format("%s received %s", ctx.channel(), frame.text()));
}
addTraceForFrame(frame, "text");
ctx.channel().write(new TextWebSocketFrame("Echo: " + frame.text()));
} | [
"private",
"void",
"handleTextWebSocketFrameInternal",
"(",
"TextWebSocketFrame",
"frame",
",",
"ChannelHandlerContext",
"ctx",
")",
"{",
"if",
"(",
"logger",
".",
"isTraceEnabled",
"(",
")",
")",
"{",
"logger",
".",
"trace",
"(",
"String",
".",
"format",
"(",
... | simple echo implementation | [
"simple",
"echo",
"implementation"
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/websocket/spring-cloud-starter-stream-sink-websocket/src/main/java/org/springframework/cloud/stream/app/websocket/sink/WebsocketSinkServerHandler.java#L157-L164 | train |
spring-cloud/spring-cloud-stream-app-starters | websocket/spring-cloud-starter-stream-sink-websocket/src/main/java/org/springframework/cloud/stream/app/websocket/sink/WebsocketSinkServerHandler.java | WebsocketSinkServerHandler.addTraceForFrame | private void addTraceForFrame(WebSocketFrame frame, String type) {
Map<String, Object> trace = new LinkedHashMap<>();
trace.put("type", type);
trace.put("direction", "in");
if (frame instanceof TextWebSocketFrame) {
trace.put("payload", ((TextWebSocketFrame) frame).text());
}
if (traceEnabled) {
websocketTraceRepository.add(trace);
}
} | java | private void addTraceForFrame(WebSocketFrame frame, String type) {
Map<String, Object> trace = new LinkedHashMap<>();
trace.put("type", type);
trace.put("direction", "in");
if (frame instanceof TextWebSocketFrame) {
trace.put("payload", ((TextWebSocketFrame) frame).text());
}
if (traceEnabled) {
websocketTraceRepository.add(trace);
}
} | [
"private",
"void",
"addTraceForFrame",
"(",
"WebSocketFrame",
"frame",
",",
"String",
"type",
")",
"{",
"Map",
"<",
"String",
",",
"Object",
">",
"trace",
"=",
"new",
"LinkedHashMap",
"<>",
"(",
")",
";",
"trace",
".",
"put",
"(",
"\"type\"",
",",
"type"... | add trace information for received frame | [
"add",
"trace",
"information",
"for",
"received",
"frame"
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/websocket/spring-cloud-starter-stream-sink-websocket/src/main/java/org/springframework/cloud/stream/app/websocket/sink/WebsocketSinkServerHandler.java#L167-L178 | train |
spring-cloud/spring-cloud-stream-app-starters | mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java | MailSourceConfiguration.getFlowBuilder | @SuppressWarnings({ "rawtypes", "unchecked" })
private IntegrationFlowBuilder getFlowBuilder() {
IntegrationFlowBuilder flowBuilder;
URLName urlName = this.properties.getUrl();
if (this.properties.isIdleImap()) {
flowBuilder = getIdleImapFlow(urlName);
}
else {
MailInboundChannelAdapterSpec adapterSpec;
switch (urlName.getProtocol().toUpperCase()) {
case "IMAP":
case "IMAPS":
adapterSpec = getImapFlowBuilder(urlName);
break;
case "POP3":
case "POP3S":
adapterSpec = getPop3FlowBuilder(urlName);
break;
default:
throw new IllegalArgumentException(
"Unsupported mail protocol: " + urlName.getProtocol());
}
flowBuilder = IntegrationFlows.from(
adapterSpec.javaMailProperties(getJavaMailProperties(urlName))
.selectorExpression(this.properties.getExpression())
.shouldDeleteMessages(this.properties.isDelete()),
new Consumer<SourcePollingChannelAdapterSpec>() {
@Override
public void accept(
SourcePollingChannelAdapterSpec sourcePollingChannelAdapterSpec) {
sourcePollingChannelAdapterSpec.poller(MailSourceConfiguration.this.defaultPoller);
}
});
}
return flowBuilder;
} | java | @SuppressWarnings({ "rawtypes", "unchecked" })
private IntegrationFlowBuilder getFlowBuilder() {
IntegrationFlowBuilder flowBuilder;
URLName urlName = this.properties.getUrl();
if (this.properties.isIdleImap()) {
flowBuilder = getIdleImapFlow(urlName);
}
else {
MailInboundChannelAdapterSpec adapterSpec;
switch (urlName.getProtocol().toUpperCase()) {
case "IMAP":
case "IMAPS":
adapterSpec = getImapFlowBuilder(urlName);
break;
case "POP3":
case "POP3S":
adapterSpec = getPop3FlowBuilder(urlName);
break;
default:
throw new IllegalArgumentException(
"Unsupported mail protocol: " + urlName.getProtocol());
}
flowBuilder = IntegrationFlows.from(
adapterSpec.javaMailProperties(getJavaMailProperties(urlName))
.selectorExpression(this.properties.getExpression())
.shouldDeleteMessages(this.properties.isDelete()),
new Consumer<SourcePollingChannelAdapterSpec>() {
@Override
public void accept(
SourcePollingChannelAdapterSpec sourcePollingChannelAdapterSpec) {
sourcePollingChannelAdapterSpec.poller(MailSourceConfiguration.this.defaultPoller);
}
});
}
return flowBuilder;
} | [
"@",
"SuppressWarnings",
"(",
"{",
"\"rawtypes\"",
",",
"\"unchecked\"",
"}",
")",
"private",
"IntegrationFlowBuilder",
"getFlowBuilder",
"(",
")",
"{",
"IntegrationFlowBuilder",
"flowBuilder",
";",
"URLName",
"urlName",
"=",
"this",
".",
"properties",
".",
"getUrl"... | Method to build Integration Flow for Mail. Suppress Warnings for
MailInboundChannelAdapterSpec.
@return Integration Flow object for Mail Source | [
"Method",
"to",
"build",
"Integration",
"Flow",
"for",
"Mail",
".",
"Suppress",
"Warnings",
"for",
"MailInboundChannelAdapterSpec",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java#L73-L114 | train |
spring-cloud/spring-cloud-stream-app-starters | mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java | MailSourceConfiguration.getIdleImapFlow | private IntegrationFlowBuilder getIdleImapFlow(URLName urlName) {
return IntegrationFlows.from(Mail.imapIdleAdapter(urlName.toString())
.shouldDeleteMessages(this.properties.isDelete())
.javaMailProperties(getJavaMailProperties(urlName))
.selectorExpression(this.properties.getExpression())
.shouldMarkMessagesAsRead(this.properties.isMarkAsRead()));
} | java | private IntegrationFlowBuilder getIdleImapFlow(URLName urlName) {
return IntegrationFlows.from(Mail.imapIdleAdapter(urlName.toString())
.shouldDeleteMessages(this.properties.isDelete())
.javaMailProperties(getJavaMailProperties(urlName))
.selectorExpression(this.properties.getExpression())
.shouldMarkMessagesAsRead(this.properties.isMarkAsRead()));
} | [
"private",
"IntegrationFlowBuilder",
"getIdleImapFlow",
"(",
"URLName",
"urlName",
")",
"{",
"return",
"IntegrationFlows",
".",
"from",
"(",
"Mail",
".",
"imapIdleAdapter",
"(",
"urlName",
".",
"toString",
"(",
")",
")",
".",
"shouldDeleteMessages",
"(",
"this",
... | Method to build Integration flow for IMAP Idle configuration.
@param urlName Mail source URL.
@return Integration Flow object IMAP IDLE. | [
"Method",
"to",
"build",
"Integration",
"flow",
"for",
"IMAP",
"Idle",
"configuration",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java#L121-L127 | train |
spring-cloud/spring-cloud-stream-app-starters | mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java | MailSourceConfiguration.getImapFlowBuilder | @SuppressWarnings("rawtypes")
private MailInboundChannelAdapterSpec getImapFlowBuilder(URLName urlName) {
return Mail.imapInboundAdapter(urlName.toString())
.shouldMarkMessagesAsRead(this.properties.isMarkAsRead());
} | java | @SuppressWarnings("rawtypes")
private MailInboundChannelAdapterSpec getImapFlowBuilder(URLName urlName) {
return Mail.imapInboundAdapter(urlName.toString())
.shouldMarkMessagesAsRead(this.properties.isMarkAsRead());
} | [
"@",
"SuppressWarnings",
"(",
"\"rawtypes\"",
")",
"private",
"MailInboundChannelAdapterSpec",
"getImapFlowBuilder",
"(",
"URLName",
"urlName",
")",
"{",
"return",
"Mail",
".",
"imapInboundAdapter",
"(",
"urlName",
".",
"toString",
"(",
")",
")",
".",
"shouldMarkMes... | Method to build Mail Channel Adapter for IMAP.
@param urlName Mail source URL.
@return Mail Channel for IMAP | [
"Method",
"to",
"build",
"Mail",
"Channel",
"Adapter",
"for",
"IMAP",
"."
] | c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9 | https://github.com/spring-cloud/spring-cloud-stream-app-starters/blob/c82827a9b5a6eab78fe6a2d56a946b5f9fb0ead9/mail/spring-cloud-starter-stream-source-mail/src/main/java/org/springframework/cloud/stream/app/mail/source/MailSourceConfiguration.java#L144-L148 | train |
spring-projects/spring-social-facebook | spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/CanvasSignInController.java | CanvasSignInController.postDeclineView | protected View postDeclineView() {
return new TopLevelWindowRedirect() {
@Override
protected String getRedirectUrl(Map<String, ?> model) {
return postDeclineUrl;
}
};
} | java | protected View postDeclineView() {
return new TopLevelWindowRedirect() {
@Override
protected String getRedirectUrl(Map<String, ?> model) {
return postDeclineUrl;
}
};
} | [
"protected",
"View",
"postDeclineView",
"(",
")",
"{",
"return",
"new",
"TopLevelWindowRedirect",
"(",
")",
"{",
"@",
"Override",
"protected",
"String",
"getRedirectUrl",
"(",
"Map",
"<",
"String",
",",
"?",
">",
"model",
")",
"{",
"return",
"postDeclineUrl",
... | View that redirects the top level window to the URL defined in postDeclineUrl property after user declines to authorize application.
May be overridden for custom views, particularly in the case where the post-decline view should be rendered in-canvas.
@return a view to display after a user declines authoriation. Defaults as a redirect to postDeclineUrl | [
"View",
"that",
"redirects",
"the",
"top",
"level",
"window",
"to",
"the",
"URL",
"defined",
"in",
"postDeclineUrl",
"property",
"after",
"user",
"declines",
"to",
"authorize",
"application",
".",
"May",
"be",
"overridden",
"for",
"custom",
"views",
"particularl... | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/CanvasSignInController.java#L165-L172 | train |
spring-projects/spring-social-facebook | spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/SignedRequestDecoder.java | SignedRequestDecoder.decodeSignedRequest | @SuppressWarnings("unchecked")
public Map<String, ?> decodeSignedRequest(String signedRequest) throws SignedRequestException {
return decodeSignedRequest(signedRequest, Map.class);
} | java | @SuppressWarnings("unchecked")
public Map<String, ?> decodeSignedRequest(String signedRequest) throws SignedRequestException {
return decodeSignedRequest(signedRequest, Map.class);
} | [
"@",
"SuppressWarnings",
"(",
"\"unchecked\"",
")",
"public",
"Map",
"<",
"String",
",",
"?",
">",
"decodeSignedRequest",
"(",
"String",
"signedRequest",
")",
"throws",
"SignedRequestException",
"{",
"return",
"decodeSignedRequest",
"(",
"signedRequest",
",",
"Map",... | Decodes a signed request, returning the payload of the signed request as a Map
@param signedRequest the value of the signed_request parameter sent by Facebook.
@return the payload of the signed request as a Map
@throws SignedRequestException if there is an error decoding the signed request | [
"Decodes",
"a",
"signed",
"request",
"returning",
"the",
"payload",
"of",
"the",
"signed",
"request",
"as",
"a",
"Map"
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/SignedRequestDecoder.java#L58-L61 | train |
spring-projects/spring-social-facebook | spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/SignedRequestDecoder.java | SignedRequestDecoder.decodeSignedRequest | public <T> T decodeSignedRequest(String signedRequest, Class<T> type) throws SignedRequestException {
String[] split = signedRequest.split("\\.");
String encodedSignature = split[0];
String payload = split[1];
String decoded = base64DecodeToString(payload);
byte[] signature = base64DecodeToBytes(encodedSignature);
try {
T data = objectMapper.readValue(decoded, type);
String algorithm = objectMapper.readTree(decoded).get("algorithm").textValue();
if (algorithm == null || !algorithm.equals("HMAC-SHA256")) {
throw new SignedRequestException("Unknown encryption algorithm: " + algorithm);
}
byte[] expectedSignature = encrypt(payload, secret);
if (!Arrays.equals(expectedSignature, signature)) {
throw new SignedRequestException("Invalid signature.");
}
return data;
} catch (IOException e) {
throw new SignedRequestException("Error parsing payload.", e);
}
} | java | public <T> T decodeSignedRequest(String signedRequest, Class<T> type) throws SignedRequestException {
String[] split = signedRequest.split("\\.");
String encodedSignature = split[0];
String payload = split[1];
String decoded = base64DecodeToString(payload);
byte[] signature = base64DecodeToBytes(encodedSignature);
try {
T data = objectMapper.readValue(decoded, type);
String algorithm = objectMapper.readTree(decoded).get("algorithm").textValue();
if (algorithm == null || !algorithm.equals("HMAC-SHA256")) {
throw new SignedRequestException("Unknown encryption algorithm: " + algorithm);
}
byte[] expectedSignature = encrypt(payload, secret);
if (!Arrays.equals(expectedSignature, signature)) {
throw new SignedRequestException("Invalid signature.");
}
return data;
} catch (IOException e) {
throw new SignedRequestException("Error parsing payload.", e);
}
} | [
"public",
"<",
"T",
">",
"T",
"decodeSignedRequest",
"(",
"String",
"signedRequest",
",",
"Class",
"<",
"T",
">",
"type",
")",
"throws",
"SignedRequestException",
"{",
"String",
"[",
"]",
"split",
"=",
"signedRequest",
".",
"split",
"(",
"\"\\\\.\"",
")",
... | Decodes a signed request, returning the payload of the signed request as a specified type.
@param signedRequest the value of the signed_request parameter sent by Facebook.
@param type the type to bind the signed_request to.
@param <T> the Java type to bind the signed_request to.
@return the payload of the signed request as an object
@throws SignedRequestException if there is an error decoding the signed request | [
"Decodes",
"a",
"signed",
"request",
"returning",
"the",
"payload",
"of",
"the",
"signed",
"request",
"as",
"a",
"specified",
"type",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook-web/src/main/java/org/springframework/social/facebook/web/SignedRequestDecoder.java#L71-L91 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getString | public String getString(String fieldName) {
return hasValue(fieldName) ? String.valueOf(resultMap.get(fieldName)) : null;
} | java | public String getString(String fieldName) {
return hasValue(fieldName) ? String.valueOf(resultMap.get(fieldName)) : null;
} | [
"public",
"String",
"getString",
"(",
"String",
"fieldName",
")",
"{",
"return",
"hasValue",
"(",
"fieldName",
")",
"?",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
"(",
"fieldName",
")",
")",
":",
"null",
";",
"}"
] | Returns the value of the identified field as a String.
@param fieldName the name of the field
@return the value of the field as a String | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"a",
"String",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L45-L47 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getInteger | public Integer getInteger(String fieldName) {
try {
return hasValue(fieldName) ? Integer.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | java | public Integer getInteger(String fieldName) {
try {
return hasValue(fieldName) ? Integer.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | [
"public",
"Integer",
"getInteger",
"(",
"String",
"fieldName",
")",
"{",
"try",
"{",
"return",
"hasValue",
"(",
"fieldName",
")",
"?",
"Integer",
".",
"valueOf",
"(",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
"(",
"fieldName",
")",
")",
")"... | Returns the value of the identified field as an Integer.
@param fieldName the name of the field
@return the value of the field as an Integer
@throws FqlException if the field cannot be expressed as an Integer | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"an",
"Integer",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L55-L61 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getLong | public Long getLong(String fieldName) {
try {
return hasValue(fieldName) ? Long.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | java | public Long getLong(String fieldName) {
try {
return hasValue(fieldName) ? Long.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | [
"public",
"Long",
"getLong",
"(",
"String",
"fieldName",
")",
"{",
"try",
"{",
"return",
"hasValue",
"(",
"fieldName",
")",
"?",
"Long",
".",
"valueOf",
"(",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
"(",
"fieldName",
")",
")",
")",
":",
... | Returns the value of the identified field as a Long.
@param fieldName the name of the field
@return the value of the field as a Long
@throws FqlException if the field cannot be expressed as an Long | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"a",
"Long",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L69-L75 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getFloat | public Float getFloat(String fieldName) {
try {
return hasValue(fieldName) ? Float.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | java | public Float getFloat(String fieldName) {
try {
return hasValue(fieldName) ? Float.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a number.", e);
}
} | [
"public",
"Float",
"getFloat",
"(",
"String",
"fieldName",
")",
"{",
"try",
"{",
"return",
"hasValue",
"(",
"fieldName",
")",
"?",
"Float",
".",
"valueOf",
"(",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
"(",
"fieldName",
")",
")",
")",
":... | Returns the value of the identified field as a Float.
@param fieldName the name of the field
@return the value of the field as a Float
@throws FqlException if the field cannot be expressed as an Float | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"a",
"Float",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L83-L89 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getBoolean | public Boolean getBoolean(String fieldName) {
return hasValue(fieldName) ? Boolean.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} | java | public Boolean getBoolean(String fieldName) {
return hasValue(fieldName) ? Boolean.valueOf(String.valueOf(resultMap.get(fieldName))) : null;
} | [
"public",
"Boolean",
"getBoolean",
"(",
"String",
"fieldName",
")",
"{",
"return",
"hasValue",
"(",
"fieldName",
")",
"?",
"Boolean",
".",
"valueOf",
"(",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
"(",
"fieldName",
")",
")",
")",
":",
"null... | Returns the value of the identified field as a Boolean.
@param fieldName the name of the field
@return the value of the field as a Boolean | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"a",
"Boolean",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L96-L98 | train |
spring-projects/spring-social-facebook | spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java | FqlResult.getTime | public Date getTime(String fieldName) {
try {
if (hasValue(fieldName)) {
return new Date(Long.valueOf(String.valueOf(resultMap.get(fieldName))) * 1000);
} else {
return null;
}
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a time.", e);
}
} | java | public Date getTime(String fieldName) {
try {
if (hasValue(fieldName)) {
return new Date(Long.valueOf(String.valueOf(resultMap.get(fieldName))) * 1000);
} else {
return null;
}
} catch (NumberFormatException e) {
throw new FqlException("Field '" + fieldName +"' is not a time.", e);
}
} | [
"public",
"Date",
"getTime",
"(",
"String",
"fieldName",
")",
"{",
"try",
"{",
"if",
"(",
"hasValue",
"(",
"fieldName",
")",
")",
"{",
"return",
"new",
"Date",
"(",
"Long",
".",
"valueOf",
"(",
"String",
".",
"valueOf",
"(",
"resultMap",
".",
"get",
... | Returns the value of the identified field as a Date.
Time fields returned from an FQL query are expressed in terms of seconds since midnight, January 1, 1970 UTC.
@param fieldName the name of the field
@return the value of the field as a Date
@throws FqlException if the field's value cannot be expressed as a long value from which a Date object can be constructed. | [
"Returns",
"the",
"value",
"of",
"the",
"identified",
"field",
"as",
"a",
"Date",
".",
"Time",
"fields",
"returned",
"from",
"an",
"FQL",
"query",
"are",
"expressed",
"in",
"terms",
"of",
"seconds",
"since",
"midnight",
"January",
"1",
"1970",
"UTC",
"."
] | ae2234d94367eaa3adbba251ec7790d5ba7ffa41 | https://github.com/spring-projects/spring-social-facebook/blob/ae2234d94367eaa3adbba251ec7790d5ba7ffa41/spring-social-facebook/src/main/java/org/springframework/social/facebook/api/FqlResult.java#L107-L117 | train |
Subsets and Splits
No community queries yet
The top public SQL queries from the community will appear here once available.