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int32 0
165k
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stringlengths 7
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stringlengths 3
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stringlengths 73
34.1k
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stringclasses 1
value | code
stringlengths 73
34.1k
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list | docstring
stringlengths 3
16k
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list | sha
stringlengths 40
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stringlengths 105
339
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|---|---|---|---|---|---|---|---|---|---|---|---|
159,800 |
windup/windup
|
rules-java-project/addon/src/main/java/org/jboss/windup/project/condition/Artifact.java
|
Artifact.withGroupId
|
public static Artifact withGroupId(String groupId)
{
Artifact artifact = new Artifact();
artifact.groupId = new RegexParameterizedPatternParser(groupId);
return artifact;
}
|
java
|
public static Artifact withGroupId(String groupId)
{
Artifact artifact = new Artifact();
artifact.groupId = new RegexParameterizedPatternParser(groupId);
return artifact;
}
|
[
"public",
"static",
"Artifact",
"withGroupId",
"(",
"String",
"groupId",
")",
"{",
"Artifact",
"artifact",
"=",
"new",
"Artifact",
"(",
")",
";",
"artifact",
".",
"groupId",
"=",
"new",
"RegexParameterizedPatternParser",
"(",
"groupId",
")",
";",
"return",
"artifact",
";",
"}"
] |
Start with specifying the groupId
|
[
"Start",
"with",
"specifying",
"the",
"groupId"
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java-project/addon/src/main/java/org/jboss/windup/project/condition/Artifact.java#L38-L44
|
159,801 |
windup/windup
|
rules-java-project/addon/src/main/java/org/jboss/windup/project/condition/Artifact.java
|
Artifact.withArtifactId
|
public static Artifact withArtifactId(String artifactId)
{
Artifact artifact = new Artifact();
artifact.artifactId = new RegexParameterizedPatternParser(artifactId);
return artifact;
}
|
java
|
public static Artifact withArtifactId(String artifactId)
{
Artifact artifact = new Artifact();
artifact.artifactId = new RegexParameterizedPatternParser(artifactId);
return artifact;
}
|
[
"public",
"static",
"Artifact",
"withArtifactId",
"(",
"String",
"artifactId",
")",
"{",
"Artifact",
"artifact",
"=",
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"Artifact",
"(",
")",
";",
"artifact",
".",
"artifactId",
"=",
"new",
"RegexParameterizedPatternParser",
"(",
"artifactId",
")",
";",
"return",
"artifact",
";",
"}"
] |
Start with specifying the artifactId
|
[
"Start",
"with",
"specifying",
"the",
"artifactId"
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java-project/addon/src/main/java/org/jboss/windup/project/condition/Artifact.java#L49-L54
|
159,802 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/Variables.java
|
Variables.setSingletonVariable
|
public void setSingletonVariable(String name, WindupVertexFrame frame)
{
setVariable(name, Collections.singletonList(frame));
}
|
java
|
public void setSingletonVariable(String name, WindupVertexFrame frame)
{
setVariable(name, Collections.singletonList(frame));
}
|
[
"public",
"void",
"setSingletonVariable",
"(",
"String",
"name",
",",
"WindupVertexFrame",
"frame",
")",
"{",
"setVariable",
"(",
"name",
",",
"Collections",
".",
"singletonList",
"(",
"frame",
")",
")",
";",
"}"
] |
Type-safe wrapper around setVariable which sets only one framed vertex.
|
[
"Type",
"-",
"safe",
"wrapper",
"around",
"setVariable",
"which",
"sets",
"only",
"one",
"framed",
"vertex",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/Variables.java#L90-L93
|
159,803 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/Variables.java
|
Variables.setVariable
|
public void setVariable(String name, Iterable<? extends WindupVertexFrame> frames)
{
Map<String, Iterable<? extends WindupVertexFrame>> frame = peek();
if (!Iteration.DEFAULT_VARIABLE_LIST_STRING.equals(name) && findVariable(name) != null)
{
throw new IllegalArgumentException("Variable \"" + name
+ "\" has already been assigned and cannot be reassigned");
}
frame.put(name, frames);
}
|
java
|
public void setVariable(String name, Iterable<? extends WindupVertexFrame> frames)
{
Map<String, Iterable<? extends WindupVertexFrame>> frame = peek();
if (!Iteration.DEFAULT_VARIABLE_LIST_STRING.equals(name) && findVariable(name) != null)
{
throw new IllegalArgumentException("Variable \"" + name
+ "\" has already been assigned and cannot be reassigned");
}
frame.put(name, frames);
}
|
[
"public",
"void",
"setVariable",
"(",
"String",
"name",
",",
"Iterable",
"<",
"?",
"extends",
"WindupVertexFrame",
">",
"frames",
")",
"{",
"Map",
"<",
"String",
",",
"Iterable",
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">",
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"}",
"frame",
".",
"put",
"(",
"name",
",",
"frames",
")",
";",
"}"
] |
Set a variable in the top variables layer to given "collection" of the vertex frames. Can't be reassigned -
throws on attempt to reassign.
|
[
"Set",
"a",
"variable",
"in",
"the",
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"variables",
"layer",
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"be",
"reassigned",
"-",
"throws",
"on",
"attempt",
"to",
"reassign",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/Variables.java#L99-L109
|
159,804 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/Variables.java
|
Variables.removeVariable
|
public void removeVariable(String name)
{
Map<String, Iterable<? extends WindupVertexFrame>> frame = peek();
frame.remove(name);
}
|
java
|
public void removeVariable(String name)
{
Map<String, Iterable<? extends WindupVertexFrame>> frame = peek();
frame.remove(name);
}
|
[
"public",
"void",
"removeVariable",
"(",
"String",
"name",
")",
"{",
"Map",
"<",
"String",
",",
"Iterable",
"<",
"?",
"extends",
"WindupVertexFrame",
">",
">",
"frame",
"=",
"peek",
"(",
")",
";",
"frame",
".",
"remove",
"(",
"name",
")",
";",
"}"
] |
Remove a variable in the top variables layer.
|
[
"Remove",
"a",
"variable",
"in",
"the",
"top",
"variables",
"layer",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/Variables.java#L114-L118
|
159,805 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/Variables.java
|
Variables.findVariable
|
public Iterable<? extends WindupVertexFrame> findVariable(String name, int maxDepth)
{
int currentDepth = 0;
Iterable<? extends WindupVertexFrame> result = null;
for (Map<String, Iterable<? extends WindupVertexFrame>> frame : deque)
{
result = frame.get(name);
if (result != null)
{
break;
}
currentDepth++;
if (currentDepth >= maxDepth)
break;
}
return result;
}
|
java
|
public Iterable<? extends WindupVertexFrame> findVariable(String name, int maxDepth)
{
int currentDepth = 0;
Iterable<? extends WindupVertexFrame> result = null;
for (Map<String, Iterable<? extends WindupVertexFrame>> frame : deque)
{
result = frame.get(name);
if (result != null)
{
break;
}
currentDepth++;
if (currentDepth >= maxDepth)
break;
}
return result;
}
|
[
"public",
"Iterable",
"<",
"?",
"extends",
"WindupVertexFrame",
">",
"findVariable",
"(",
"String",
"name",
",",
"int",
"maxDepth",
")",
"{",
"int",
"currentDepth",
"=",
"0",
";",
"Iterable",
"<",
"?",
"extends",
"WindupVertexFrame",
">",
"result",
"=",
"null",
";",
"for",
"(",
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",",
"Iterable",
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"(",
"currentDepth",
">=",
"maxDepth",
")",
"break",
";",
"}",
"return",
"result",
";",
"}"
] |
Searches the variables layers, top to bottom, for given name, and returns if found; null otherwise.
If maxDepth is set to {@link Variables#SEARCH_ALL_LAYERS}, then search all layers.
|
[
"Searches",
"the",
"variables",
"layers",
"top",
"to",
"bottom",
"for",
"given",
"name",
"and",
"returns",
"if",
"found",
";",
"null",
"otherwise",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/Variables.java#L180-L196
|
159,806 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/Variables.java
|
Variables.findVariableOfType
|
@SuppressWarnings("unchecked")
public <T extends WindupVertexFrame> Iterable<T> findVariableOfType(Class<T> type)
{
for (Map<String, Iterable<? extends WindupVertexFrame>> topOfStack : deque)
{
for (Iterable<? extends WindupVertexFrame> frames : topOfStack.values())
{
boolean empty = true;
for (WindupVertexFrame frame : frames)
{
if (!type.isAssignableFrom(frame.getClass()))
{
break;
}
else
{
empty = false;
}
}
// now we know all the frames are of the chosen type
if (!empty)
return (Iterable<T>) frames;
}
}
return null;
}
|
java
|
@SuppressWarnings("unchecked")
public <T extends WindupVertexFrame> Iterable<T> findVariableOfType(Class<T> type)
{
for (Map<String, Iterable<? extends WindupVertexFrame>> topOfStack : deque)
{
for (Iterable<? extends WindupVertexFrame> frames : topOfStack.values())
{
boolean empty = true;
for (WindupVertexFrame frame : frames)
{
if (!type.isAssignableFrom(frame.getClass()))
{
break;
}
else
{
empty = false;
}
}
// now we know all the frames are of the chosen type
if (!empty)
return (Iterable<T>) frames;
}
}
return null;
}
|
[
"@",
"SuppressWarnings",
"(",
"\"unchecked\"",
")",
"public",
"<",
"T",
"extends",
"WindupVertexFrame",
">",
"Iterable",
"<",
"T",
">",
"findVariableOfType",
"(",
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"Iterable",
"<",
"T",
">",
")",
"frames",
";",
"}",
"}",
"return",
"null",
";",
"}"
] |
Searches the variables layers, top to bottom, for the iterable having all of it's items of the given type. Return
null if not found.
|
[
"Searches",
"the",
"variables",
"layers",
"top",
"to",
"bottom",
"for",
"the",
"iterable",
"having",
"all",
"of",
"it",
"s",
"items",
"of",
"the",
"given",
"type",
".",
"Return",
"null",
"if",
"not",
"found",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/Variables.java#L202-L227
|
159,807 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/operation/iteration/AbstractIterationFilter.java
|
AbstractIterationFilter.checkVariableName
|
protected void checkVariableName(GraphRewrite event, EvaluationContext context)
{
if (getInputVariablesName() == null)
{
setInputVariablesName(Iteration.getPayloadVariableName(event, context));
}
}
|
java
|
protected void checkVariableName(GraphRewrite event, EvaluationContext context)
{
if (getInputVariablesName() == null)
{
setInputVariablesName(Iteration.getPayloadVariableName(event, context));
}
}
|
[
"protected",
"void",
"checkVariableName",
"(",
"GraphRewrite",
"event",
",",
"EvaluationContext",
"context",
")",
"{",
"if",
"(",
"getInputVariablesName",
"(",
")",
"==",
"null",
")",
"{",
"setInputVariablesName",
"(",
"Iteration",
".",
"getPayloadVariableName",
"(",
"event",
",",
"context",
")",
")",
";",
"}",
"}"
] |
Check the variable name and if not set, set it with the singleton variable being on the top of the stack.
|
[
"Check",
"the",
"variable",
"name",
"and",
"if",
"not",
"set",
"set",
"it",
"with",
"the",
"singleton",
"variable",
"being",
"on",
"the",
"top",
"of",
"the",
"stack",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/operation/iteration/AbstractIterationFilter.java#L43-L49
|
159,808 |
windup/windup
|
bootstrap/src/main/java/org/jboss/windup/bootstrap/commands/windup/DiscoverPackagesCommand.java
|
DiscoverPackagesCommand.findClasses
|
private static Map<String, Integer> findClasses(Path path)
{
List<String> paths = findPaths(path, true);
Map<String, Integer> results = new HashMap<>();
for (String subPath : paths)
{
if (subPath.endsWith(".java") || subPath.endsWith(".class"))
{
String qualifiedName = PathUtil.classFilePathToClassname(subPath);
addClassToMap(results, qualifiedName);
}
}
return results;
}
|
java
|
private static Map<String, Integer> findClasses(Path path)
{
List<String> paths = findPaths(path, true);
Map<String, Integer> results = new HashMap<>();
for (String subPath : paths)
{
if (subPath.endsWith(".java") || subPath.endsWith(".class"))
{
String qualifiedName = PathUtil.classFilePathToClassname(subPath);
addClassToMap(results, qualifiedName);
}
}
return results;
}
|
[
"private",
"static",
"Map",
"<",
"String",
",",
"Integer",
">",
"findClasses",
"(",
"Path",
"path",
")",
"{",
"List",
"<",
"String",
">",
"paths",
"=",
"findPaths",
"(",
"path",
",",
"true",
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"paths",
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"classFilePathToClassname",
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"subPath",
")",
";",
"addClassToMap",
"(",
"results",
",",
"qualifiedName",
")",
";",
"}",
"}",
"return",
"results",
";",
"}"
] |
Recursively scan the provided path and return a list of all Java packages contained therein.
|
[
"Recursively",
"scan",
"the",
"provided",
"path",
"and",
"return",
"a",
"list",
"of",
"all",
"Java",
"packages",
"contained",
"therein",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/bootstrap/src/main/java/org/jboss/windup/bootstrap/commands/windup/DiscoverPackagesCommand.java#L140-L153
|
159,809 |
windup/windup
|
rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/service/XsltTransformationService.java
|
XsltTransformationService.getTransformedXSLTPath
|
public Path getTransformedXSLTPath(FileModel payload)
{
ReportService reportService = new ReportService(getGraphContext());
Path outputPath = reportService.getReportDirectory();
outputPath = outputPath.resolve(this.getRelativeTransformedXSLTPath(payload));
if (!Files.isDirectory(outputPath))
{
try
{
Files.createDirectories(outputPath);
}
catch (IOException e)
{
throw new WindupException("Failed to create output directory at: " + outputPath + " due to: "
+ e.getMessage(), e);
}
}
return outputPath;
}
|
java
|
public Path getTransformedXSLTPath(FileModel payload)
{
ReportService reportService = new ReportService(getGraphContext());
Path outputPath = reportService.getReportDirectory();
outputPath = outputPath.resolve(this.getRelativeTransformedXSLTPath(payload));
if (!Files.isDirectory(outputPath))
{
try
{
Files.createDirectories(outputPath);
}
catch (IOException e)
{
throw new WindupException("Failed to create output directory at: " + outputPath + " due to: "
+ e.getMessage(), e);
}
}
return outputPath;
}
|
[
"public",
"Path",
"getTransformedXSLTPath",
"(",
"FileModel",
"payload",
")",
"{",
"ReportService",
"reportService",
"=",
"new",
"ReportService",
"(",
"getGraphContext",
"(",
")",
")",
";",
"Path",
"outputPath",
"=",
"reportService",
".",
"getReportDirectory",
"(",
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"outputPath",
"=",
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".",
"resolve",
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"getRelativeTransformedXSLTPath",
"(",
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";",
"if",
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"isDirectory",
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"getMessage",
"(",
")",
",",
"e",
")",
";",
"}",
"}",
"return",
"outputPath",
";",
"}"
] |
Gets the path used for the results of XSLT Transforms.
|
[
"Gets",
"the",
"path",
"used",
"for",
"the",
"results",
"of",
"XSLT",
"Transforms",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/service/XsltTransformationService.java#L33-L51
|
159,810 |
windup/windup
|
rules-java-ee/addon/src/main/java/org/jboss/windup/rules/apps/javaee/util/HibernateDialectDataSourceTypeResolver.java
|
HibernateDialectDataSourceTypeResolver.resolveDataSourceTypeFromDialect
|
public static String resolveDataSourceTypeFromDialect(String dialect)
{
if (StringUtils.contains(dialect, "Oracle"))
{
return "Oracle";
}
else if (StringUtils.contains(dialect, "MySQL"))
{
return "MySQL";
}
else if (StringUtils.contains(dialect, "DB2390Dialect"))
{
return "DB2/390";
}
else if (StringUtils.contains(dialect, "DB2400Dialect"))
{
return "DB2/400";
}
else if (StringUtils.contains(dialect, "DB2"))
{
return "DB2";
}
else if (StringUtils.contains(dialect, "Ingres"))
{
return "Ingres";
}
else if (StringUtils.contains(dialect, "Derby"))
{
return "Derby";
}
else if (StringUtils.contains(dialect, "Pointbase"))
{
return "Pointbase";
}
else if (StringUtils.contains(dialect, "Postgres"))
{
return "Postgres";
}
else if (StringUtils.contains(dialect, "SQLServer"))
{
return "SQLServer";
}
else if (StringUtils.contains(dialect, "Sybase"))
{
return "Sybase";
}
else if (StringUtils.contains(dialect, "HSQLDialect"))
{
return "HyperSQL";
}
else if (StringUtils.contains(dialect, "H2Dialect"))
{
return "H2";
}
return dialect;
}
|
java
|
public static String resolveDataSourceTypeFromDialect(String dialect)
{
if (StringUtils.contains(dialect, "Oracle"))
{
return "Oracle";
}
else if (StringUtils.contains(dialect, "MySQL"))
{
return "MySQL";
}
else if (StringUtils.contains(dialect, "DB2390Dialect"))
{
return "DB2/390";
}
else if (StringUtils.contains(dialect, "DB2400Dialect"))
{
return "DB2/400";
}
else if (StringUtils.contains(dialect, "DB2"))
{
return "DB2";
}
else if (StringUtils.contains(dialect, "Ingres"))
{
return "Ingres";
}
else if (StringUtils.contains(dialect, "Derby"))
{
return "Derby";
}
else if (StringUtils.contains(dialect, "Pointbase"))
{
return "Pointbase";
}
else if (StringUtils.contains(dialect, "Postgres"))
{
return "Postgres";
}
else if (StringUtils.contains(dialect, "SQLServer"))
{
return "SQLServer";
}
else if (StringUtils.contains(dialect, "Sybase"))
{
return "Sybase";
}
else if (StringUtils.contains(dialect, "HSQLDialect"))
{
return "HyperSQL";
}
else if (StringUtils.contains(dialect, "H2Dialect"))
{
return "H2";
}
return dialect;
}
|
[
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"\"DB2/400\"",
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"\"Sybase\"",
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"{",
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"\"Sybase\"",
";",
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"StringUtils",
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",",
"\"HSQLDialect\"",
")",
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"{",
"return",
"\"HyperSQL\"",
";",
"}",
"else",
"if",
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"contains",
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"dialect",
",",
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")",
")",
"{",
"return",
"\"H2\"",
";",
"}",
"return",
"dialect",
";",
"}"
] |
Converts the given dislect to a human-readable datasource type.
|
[
"Converts",
"the",
"given",
"dislect",
"to",
"a",
"human",
"-",
"readable",
"datasource",
"type",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java-ee/addon/src/main/java/org/jboss/windup/rules/apps/javaee/util/HibernateDialectDataSourceTypeResolver.java#L15-L72
|
159,811 |
windup/windup
|
rules-java-archives/addon/src/main/java/org/jboss/windup/rules/apps/java/archives/ignore/SkippedArchives.java
|
SkippedArchives.load
|
public static void load(File file)
{
try(FileInputStream inputStream = new FileInputStream(file))
{
LineIterator it = IOUtils.lineIterator(inputStream, "UTF-8");
while (it.hasNext())
{
String line = it.next();
if (!line.startsWith("#") && !line.trim().isEmpty())
{
add(line);
}
}
}
catch (Exception e)
{
throw new WindupException("Failed loading archive ignore patterns from [" + file.toString() + "]", e);
}
}
|
java
|
public static void load(File file)
{
try(FileInputStream inputStream = new FileInputStream(file))
{
LineIterator it = IOUtils.lineIterator(inputStream, "UTF-8");
while (it.hasNext())
{
String line = it.next();
if (!line.startsWith("#") && !line.trim().isEmpty())
{
add(line);
}
}
}
catch (Exception e)
{
throw new WindupException("Failed loading archive ignore patterns from [" + file.toString() + "]", e);
}
}
|
[
"public",
"static",
"void",
"load",
"(",
"File",
"file",
")",
"{",
"try",
"(",
"FileInputStream",
"inputStream",
"=",
"new",
"FileInputStream",
"(",
"file",
")",
")",
"{",
"LineIterator",
"it",
"=",
"IOUtils",
".",
"lineIterator",
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"inputStream",
",",
"\"UTF-8\"",
")",
";",
"while",
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"it",
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"hasNext",
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")",
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"{",
"String",
"line",
"=",
"it",
".",
"next",
"(",
")",
";",
"if",
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"!",
"line",
".",
"startsWith",
"(",
"\"#\"",
")",
"&&",
"!",
"line",
".",
"trim",
"(",
")",
".",
"isEmpty",
"(",
")",
")",
"{",
"add",
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"line",
")",
";",
"}",
"}",
"}",
"catch",
"(",
"Exception",
"e",
")",
"{",
"throw",
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"WindupException",
"(",
"\"Failed loading archive ignore patterns from [\"",
"+",
"file",
".",
"toString",
"(",
")",
"+",
"\"]\"",
",",
"e",
")",
";",
"}",
"}"
] |
Load the given configuration file.
|
[
"Load",
"the",
"given",
"configuration",
"file",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java-archives/addon/src/main/java/org/jboss/windup/rules/apps/java/archives/ignore/SkippedArchives.java#L39-L57
|
159,812 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/operation/Iteration.java
|
Iteration.perform
|
@Override
public void perform(Rewrite event, EvaluationContext context)
{
perform((GraphRewrite) event, context);
}
|
java
|
@Override
public void perform(Rewrite event, EvaluationContext context)
{
perform((GraphRewrite) event, context);
}
|
[
"@",
"Override",
"public",
"void",
"perform",
"(",
"Rewrite",
"event",
",",
"EvaluationContext",
"context",
")",
"{",
"perform",
"(",
"(",
"GraphRewrite",
")",
"event",
",",
"context",
")",
";",
"}"
] |
Called internally to actually process the Iteration.
|
[
"Called",
"internally",
"to",
"actually",
"process",
"the",
"Iteration",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/operation/Iteration.java#L249-L253
|
159,813 |
windup/windup
|
config/api/src/main/java/org/jboss/windup/config/metadata/MetadataBuilder.java
|
MetadataBuilder.join
|
@SafeVarargs
private final <T> Set<T> join(Set<T>... sets)
{
Set<T> result = new HashSet<>();
if (sets == null)
return result;
for (Set<T> set : sets)
{
if (set != null)
result.addAll(set);
}
return result;
}
|
java
|
@SafeVarargs
private final <T> Set<T> join(Set<T>... sets)
{
Set<T> result = new HashSet<>();
if (sets == null)
return result;
for (Set<T> set : sets)
{
if (set != null)
result.addAll(set);
}
return result;
}
|
[
"@",
"SafeVarargs",
"private",
"final",
"<",
"T",
">",
"Set",
"<",
"T",
">",
"join",
"(",
"Set",
"<",
"T",
">",
"...",
"sets",
")",
"{",
"Set",
"<",
"T",
">",
"result",
"=",
"new",
"HashSet",
"<>",
"(",
")",
";",
"if",
"(",
"sets",
"==",
"null",
")",
"return",
"result",
";",
"for",
"(",
"Set",
"<",
"T",
">",
"set",
":",
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"null",
")",
"result",
".",
"addAll",
"(",
"set",
")",
";",
"}",
"return",
"result",
";",
"}"
] |
Join N sets.
|
[
"Join",
"N",
"sets",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/config/api/src/main/java/org/jboss/windup/config/metadata/MetadataBuilder.java#L549-L562
|
159,814 |
windup/windup
|
reporting/api/src/main/java/org/jboss/windup/reporting/category/IssueCategoryRegistry.java
|
IssueCategoryRegistry.getIssueCategories
|
public List<IssueCategory> getIssueCategories()
{
return this.issueCategories.values().stream()
.sorted((category1, category2) -> category1.getPriority() - category2.getPriority())
.collect(Collectors.toList());
}
|
java
|
public List<IssueCategory> getIssueCategories()
{
return this.issueCategories.values().stream()
.sorted((category1, category2) -> category1.getPriority() - category2.getPriority())
.collect(Collectors.toList());
}
|
[
"public",
"List",
"<",
"IssueCategory",
">",
"getIssueCategories",
"(",
")",
"{",
"return",
"this",
".",
"issueCategories",
".",
"values",
"(",
")",
".",
"stream",
"(",
")",
".",
"sorted",
"(",
"(",
"category1",
",",
"category2",
")",
"->",
"category1",
".",
"getPriority",
"(",
")",
"-",
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".",
"getPriority",
"(",
")",
")",
".",
"collect",
"(",
"Collectors",
".",
"toList",
"(",
")",
")",
";",
"}"
] |
Returns a list ordered from the highest priority to the lowest.
|
[
"Returns",
"a",
"list",
"ordered",
"from",
"the",
"highest",
"priority",
"to",
"the",
"lowest",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/reporting/api/src/main/java/org/jboss/windup/reporting/category/IssueCategoryRegistry.java#L154-L159
|
159,815 |
windup/windup
|
reporting/api/src/main/java/org/jboss/windup/reporting/category/IssueCategoryRegistry.java
|
IssueCategoryRegistry.addDefaults
|
private void addDefaults()
{
this.issueCategories.putIfAbsent(MANDATORY, new IssueCategory(MANDATORY, IssueCategoryRegistry.class.getCanonicalName(), "Mandatory", MANDATORY, 1000, true));
this.issueCategories.putIfAbsent(OPTIONAL, new IssueCategory(OPTIONAL, IssueCategoryRegistry.class.getCanonicalName(), "Optional", OPTIONAL, 1000, true));
this.issueCategories.putIfAbsent(POTENTIAL, new IssueCategory(POTENTIAL, IssueCategoryRegistry.class.getCanonicalName(), "Potential Issues", POTENTIAL, 1000, true));
this.issueCategories.putIfAbsent(CLOUD_MANDATORY, new IssueCategory(CLOUD_MANDATORY, IssueCategoryRegistry.class.getCanonicalName(), "Cloud Mandatory", CLOUD_MANDATORY, 1000, true));
this.issueCategories.putIfAbsent(INFORMATION, new IssueCategory(INFORMATION, IssueCategoryRegistry.class.getCanonicalName(), "Information", INFORMATION, 1000, true));
}
|
java
|
private void addDefaults()
{
this.issueCategories.putIfAbsent(MANDATORY, new IssueCategory(MANDATORY, IssueCategoryRegistry.class.getCanonicalName(), "Mandatory", MANDATORY, 1000, true));
this.issueCategories.putIfAbsent(OPTIONAL, new IssueCategory(OPTIONAL, IssueCategoryRegistry.class.getCanonicalName(), "Optional", OPTIONAL, 1000, true));
this.issueCategories.putIfAbsent(POTENTIAL, new IssueCategory(POTENTIAL, IssueCategoryRegistry.class.getCanonicalName(), "Potential Issues", POTENTIAL, 1000, true));
this.issueCategories.putIfAbsent(CLOUD_MANDATORY, new IssueCategory(CLOUD_MANDATORY, IssueCategoryRegistry.class.getCanonicalName(), "Cloud Mandatory", CLOUD_MANDATORY, 1000, true));
this.issueCategories.putIfAbsent(INFORMATION, new IssueCategory(INFORMATION, IssueCategoryRegistry.class.getCanonicalName(), "Information", INFORMATION, 1000, true));
}
|
[
"private",
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"addDefaults",
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".",
"issueCategories",
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"putIfAbsent",
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"MANDATORY",
",",
"new",
"IssueCategory",
"(",
"MANDATORY",
",",
"IssueCategoryRegistry",
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"getCanonicalName",
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"\"Mandatory\"",
",",
"MANDATORY",
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"1000",
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",",
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"(",
")",
",",
"\"Cloud Mandatory\"",
",",
"CLOUD_MANDATORY",
",",
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")",
",",
"\"Information\"",
",",
"INFORMATION",
",",
"1000",
",",
"true",
")",
")",
";",
"}"
] |
Make sure that we have some reasonable defaults available. These would typically be provided by the rulesets
in the real world.
|
[
"Make",
"sure",
"that",
"we",
"have",
"some",
"reasonable",
"defaults",
"available",
".",
"These",
"would",
"typically",
"be",
"provided",
"by",
"the",
"rulesets",
"in",
"the",
"real",
"world",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/reporting/api/src/main/java/org/jboss/windup/reporting/category/IssueCategoryRegistry.java#L165-L172
|
159,816 |
windup/windup
|
rules-java/api/src/main/java/org/jboss/windup/rules/apps/mavenize/MavenStructureRenderer.java
|
MavenStructureRenderer.renderFreemarkerTemplate
|
private static void renderFreemarkerTemplate(Path templatePath, Map vars, Path outputPath)
throws IOException, TemplateException
{
if(templatePath == null)
throw new WindupException("templatePath is null");
freemarker.template.Configuration freemarkerConfig = new freemarker.template.Configuration(freemarker.template.Configuration.VERSION_2_3_26);
DefaultObjectWrapperBuilder objectWrapperBuilder = new DefaultObjectWrapperBuilder(freemarker.template.Configuration.DEFAULT_INCOMPATIBLE_IMPROVEMENTS);
objectWrapperBuilder.setUseAdaptersForContainers(true);
objectWrapperBuilder.setIterableSupport(true);
freemarkerConfig.setObjectWrapper(objectWrapperBuilder.build());
freemarkerConfig.setTemplateLoader(new FurnaceFreeMarkerTemplateLoader());
Template template = freemarkerConfig.getTemplate(templatePath.toString().replace('\\', '/'));
try (FileWriter fw = new FileWriter(outputPath.toFile()))
{
template.process(vars, fw);
}
}
|
java
|
private static void renderFreemarkerTemplate(Path templatePath, Map vars, Path outputPath)
throws IOException, TemplateException
{
if(templatePath == null)
throw new WindupException("templatePath is null");
freemarker.template.Configuration freemarkerConfig = new freemarker.template.Configuration(freemarker.template.Configuration.VERSION_2_3_26);
DefaultObjectWrapperBuilder objectWrapperBuilder = new DefaultObjectWrapperBuilder(freemarker.template.Configuration.DEFAULT_INCOMPATIBLE_IMPROVEMENTS);
objectWrapperBuilder.setUseAdaptersForContainers(true);
objectWrapperBuilder.setIterableSupport(true);
freemarkerConfig.setObjectWrapper(objectWrapperBuilder.build());
freemarkerConfig.setTemplateLoader(new FurnaceFreeMarkerTemplateLoader());
Template template = freemarkerConfig.getTemplate(templatePath.toString().replace('\\', '/'));
try (FileWriter fw = new FileWriter(outputPath.toFile()))
{
template.process(vars, fw);
}
}
|
[
"private",
"static",
"void",
"renderFreemarkerTemplate",
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"Path",
"templatePath",
",",
"Map",
"vars",
",",
"Path",
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"throws",
"IOException",
",",
"TemplateException",
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"toString",
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")",
")",
";",
"try",
"(",
"FileWriter",
"fw",
"=",
"new",
"FileWriter",
"(",
"outputPath",
".",
"toFile",
"(",
")",
")",
")",
"{",
"template",
".",
"process",
"(",
"vars",
",",
"fw",
")",
";",
"}",
"}"
] |
Renders the given FreeMarker template to given directory, using given variables.
|
[
"Renders",
"the",
"given",
"FreeMarker",
"template",
"to",
"given",
"directory",
"using",
"given",
"variables",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java/api/src/main/java/org/jboss/windup/rules/apps/mavenize/MavenStructureRenderer.java#L120-L137
|
159,817 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.get
|
public static synchronized ExecutionStatistics get()
{
Thread currentThread = Thread.currentThread();
if (stats.get(currentThread) == null)
{
stats.put(currentThread, new ExecutionStatistics());
}
return stats.get(currentThread);
}
|
java
|
public static synchronized ExecutionStatistics get()
{
Thread currentThread = Thread.currentThread();
if (stats.get(currentThread) == null)
{
stats.put(currentThread, new ExecutionStatistics());
}
return stats.get(currentThread);
}
|
[
"public",
"static",
"synchronized",
"ExecutionStatistics",
"get",
"(",
")",
"{",
"Thread",
"currentThread",
"=",
"Thread",
".",
"currentThread",
"(",
")",
";",
"if",
"(",
"stats",
".",
"get",
"(",
"currentThread",
")",
"==",
"null",
")",
"{",
"stats",
".",
"put",
"(",
"currentThread",
",",
"new",
"ExecutionStatistics",
"(",
")",
")",
";",
"}",
"return",
"stats",
".",
"get",
"(",
"currentThread",
")",
";",
"}"
] |
Gets the instance associated with the current thread.
|
[
"Gets",
"the",
"instance",
"associated",
"with",
"the",
"current",
"thread",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L48-L56
|
159,818 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.merge
|
public void merge() {
Thread currentThread = Thread.currentThread();
if(!stats.get(currentThread).equals(this) || currentThread instanceof WindupChildThread) {
throw new IllegalArgumentException("Trying to merge executionstatistics from a "
+ "different thread that is not registered as main thread of application run");
}
for (Thread thread : stats.keySet())
{
if(thread instanceof WindupChildThread && ((WindupChildThread) thread).getParentThread().equals(currentThread)) {
merge(stats.get(thread));
}
}
}
|
java
|
public void merge() {
Thread currentThread = Thread.currentThread();
if(!stats.get(currentThread).equals(this) || currentThread instanceof WindupChildThread) {
throw new IllegalArgumentException("Trying to merge executionstatistics from a "
+ "different thread that is not registered as main thread of application run");
}
for (Thread thread : stats.keySet())
{
if(thread instanceof WindupChildThread && ((WindupChildThread) thread).getParentThread().equals(currentThread)) {
merge(stats.get(thread));
}
}
}
|
[
"public",
"void",
"merge",
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")",
"{",
"Thread",
"currentThread",
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".",
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";",
"if",
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"!",
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".",
"get",
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"currentThread",
")",
".",
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"||",
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"\"Trying to merge executionstatistics from a \"",
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"\"different thread that is not registered as main thread of application run\"",
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"merge",
"(",
"stats",
".",
"get",
"(",
"thread",
")",
")",
";",
"}",
"}",
"}"
] |
Merge this ExecutionStatistics with all the statistics created within the child threads. All the child threads had to be created using Windup-specific
ThreadFactory in order to contain a reference to the parent thread.
|
[
"Merge",
"this",
"ExecutionStatistics",
"with",
"all",
"the",
"statistics",
"created",
"within",
"the",
"child",
"threads",
".",
"All",
"the",
"child",
"threads",
"had",
"to",
"be",
"created",
"using",
"Windup",
"-",
"specific",
"ThreadFactory",
"in",
"order",
"to",
"contain",
"a",
"reference",
"to",
"the",
"parent",
"thread",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L66-L79
|
159,819 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.merge
|
private void merge(ExecutionStatistics otherStatistics) {
for (String s : otherStatistics.executionInfo.keySet())
{
TimingData thisStats = this.executionInfo.get(s);
TimingData otherStats = otherStatistics.executionInfo.get(s);
if(thisStats == null) {
this.executionInfo.put(s,otherStats);
} else {
thisStats.merge(otherStats);
}
}
}
|
java
|
private void merge(ExecutionStatistics otherStatistics) {
for (String s : otherStatistics.executionInfo.keySet())
{
TimingData thisStats = this.executionInfo.get(s);
TimingData otherStats = otherStatistics.executionInfo.get(s);
if(thisStats == null) {
this.executionInfo.put(s,otherStats);
} else {
thisStats.merge(otherStats);
}
}
}
|
[
"private",
"void",
"merge",
"(",
"ExecutionStatistics",
"otherStatistics",
")",
"{",
"for",
"(",
"String",
"s",
":",
"otherStatistics",
".",
"executionInfo",
".",
"keySet",
"(",
")",
")",
"{",
"TimingData",
"thisStats",
"=",
"this",
".",
"executionInfo",
".",
"get",
"(",
"s",
")",
";",
"TimingData",
"otherStats",
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"otherStatistics",
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"}",
"else",
"{",
"thisStats",
".",
"merge",
"(",
"otherStats",
")",
";",
"}",
"}",
"}"
] |
Merge two ExecutionStatistics into one. This method is private in order not to be synchronized (merging.
@param otherStatistics
|
[
"Merge",
"two",
"ExecutionStatistics",
"into",
"one",
".",
"This",
"method",
"is",
"private",
"in",
"order",
"not",
"to",
"be",
"synchronized",
"(",
"merging",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L85-L97
|
159,820 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.serializeTimingData
|
public void serializeTimingData(Path outputPath)
{
//merge subThreads instances into the main instance
merge();
try (FileWriter fw = new FileWriter(outputPath.toFile()))
{
fw.write("Number Of Executions, Total Milliseconds, Milliseconds per execution, Type\n");
for (Map.Entry<String, TimingData> timing : executionInfo.entrySet())
{
TimingData data = timing.getValue();
long totalMillis = (data.totalNanos / 1000000);
double millisPerExecution = (double) totalMillis / (double) data.numberOfExecutions;
fw.write(String.format("%6d, %6d, %8.2f, %s\n",
data.numberOfExecutions, totalMillis, millisPerExecution,
StringEscapeUtils.escapeCsv(timing.getKey())
));
}
}
catch (Exception e)
{
e.printStackTrace();
}
}
|
java
|
public void serializeTimingData(Path outputPath)
{
//merge subThreads instances into the main instance
merge();
try (FileWriter fw = new FileWriter(outputPath.toFile()))
{
fw.write("Number Of Executions, Total Milliseconds, Milliseconds per execution, Type\n");
for (Map.Entry<String, TimingData> timing : executionInfo.entrySet())
{
TimingData data = timing.getValue();
long totalMillis = (data.totalNanos / 1000000);
double millisPerExecution = (double) totalMillis / (double) data.numberOfExecutions;
fw.write(String.format("%6d, %6d, %8.2f, %s\n",
data.numberOfExecutions, totalMillis, millisPerExecution,
StringEscapeUtils.escapeCsv(timing.getKey())
));
}
}
catch (Exception e)
{
e.printStackTrace();
}
}
|
[
"public",
"void",
"serializeTimingData",
"(",
"Path",
"outputPath",
")",
"{",
"//merge subThreads instances into the main instance",
"merge",
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")",
";",
"try",
"(",
"FileWriter",
"fw",
"=",
"new",
"FileWriter",
"(",
"outputPath",
".",
"toFile",
"(",
")",
")",
")",
"{",
"fw",
".",
"write",
"(",
"\"Number Of Executions, Total Milliseconds, Milliseconds per execution, Type\\n\"",
")",
";",
"for",
"(",
"Map",
".",
"Entry",
"<",
"String",
",",
"TimingData",
">",
"timing",
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"(",
")",
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"/",
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"double",
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"/",
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"double",
")",
"data",
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"numberOfExecutions",
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"write",
"(",
"String",
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"format",
"(",
"\"%6d, %6d, %8.2f, %s\\n\"",
",",
"data",
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",",
"totalMillis",
",",
"millisPerExecution",
",",
"StringEscapeUtils",
".",
"escapeCsv",
"(",
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".",
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"(",
")",
")",
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")",
";",
"}",
"}",
"catch",
"(",
"Exception",
"e",
")",
"{",
"e",
".",
"printStackTrace",
"(",
")",
";",
"}",
"}"
] |
Serializes the timing data to a "~" delimited file at outputPath.
|
[
"Serializes",
"the",
"timing",
"data",
"to",
"a",
"~",
"delimited",
"file",
"at",
"outputPath",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L111-L134
|
159,821 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.begin
|
public void begin(String key)
{
if (key == null)
{
return;
}
TimingData data = executionInfo.get(key);
if (data == null)
{
data = new TimingData(key);
executionInfo.put(key, data);
}
data.begin();
}
|
java
|
public void begin(String key)
{
if (key == null)
{
return;
}
TimingData data = executionInfo.get(key);
if (data == null)
{
data = new TimingData(key);
executionInfo.put(key, data);
}
data.begin();
}
|
[
"public",
"void",
"begin",
"(",
"String",
"key",
")",
"{",
"if",
"(",
"key",
"==",
"null",
")",
"{",
"return",
";",
"}",
"TimingData",
"data",
"=",
"executionInfo",
".",
"get",
"(",
"key",
")",
";",
"if",
"(",
"data",
"==",
"null",
")",
"{",
"data",
"=",
"new",
"TimingData",
"(",
"key",
")",
";",
"executionInfo",
".",
"put",
"(",
"key",
",",
"data",
")",
";",
"}",
"data",
".",
"begin",
"(",
")",
";",
"}"
] |
Start timing an operation with the given identifier.
|
[
"Start",
"timing",
"an",
"operation",
"with",
"the",
"given",
"identifier",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L153-L166
|
159,822 |
windup/windup
|
utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java
|
ExecutionStatistics.end
|
public void end(String key)
{
if (key == null)
{
return;
}
TimingData data = executionInfo.get(key);
if (data == null)
{
LOG.info("Called end with key: " + key + " without ever calling begin");
return;
}
data.end();
}
|
java
|
public void end(String key)
{
if (key == null)
{
return;
}
TimingData data = executionInfo.get(key);
if (data == null)
{
LOG.info("Called end with key: " + key + " without ever calling begin");
return;
}
data.end();
}
|
[
"public",
"void",
"end",
"(",
"String",
"key",
")",
"{",
"if",
"(",
"key",
"==",
"null",
")",
"{",
"return",
";",
"}",
"TimingData",
"data",
"=",
"executionInfo",
".",
"get",
"(",
"key",
")",
";",
"if",
"(",
"data",
"==",
"null",
")",
"{",
"LOG",
".",
"info",
"(",
"\"Called end with key: \"",
"+",
"key",
"+",
"\" without ever calling begin\"",
")",
";",
"return",
";",
"}",
"data",
".",
"end",
"(",
")",
";",
"}"
] |
Complete timing the operation with the given identifier. If you had not previously started a timing operation with this identifier, then this
will effectively be a noop.
|
[
"Complete",
"timing",
"the",
"operation",
"with",
"the",
"given",
"identifier",
".",
"If",
"you",
"had",
"not",
"previously",
"started",
"a",
"timing",
"operation",
"with",
"this",
"identifier",
"then",
"this",
"will",
"effectively",
"be",
"a",
"noop",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/utils/src/main/java/org/jboss/windup/util/ExecutionStatistics.java#L172-L185
|
159,823 |
windup/windup
|
rules-java/api/src/main/java/org/jboss/windup/rules/apps/mavenize/PackagesToContainingMavenArtifactsIndex.java
|
PackagesToContainingMavenArtifactsIndex.registerPackageInTypeInterestFactory
|
private void registerPackageInTypeInterestFactory(String pkg)
{
TypeInterestFactory.registerInterest(pkg + "_pkg", pkg.replace(".", "\\."), pkg, TypeReferenceLocation.IMPORT);
// TODO: Finish the implementation
}
|
java
|
private void registerPackageInTypeInterestFactory(String pkg)
{
TypeInterestFactory.registerInterest(pkg + "_pkg", pkg.replace(".", "\\."), pkg, TypeReferenceLocation.IMPORT);
// TODO: Finish the implementation
}
|
[
"private",
"void",
"registerPackageInTypeInterestFactory",
"(",
"String",
"pkg",
")",
"{",
"TypeInterestFactory",
".",
"registerInterest",
"(",
"pkg",
"+",
"\"_pkg\"",
",",
"pkg",
".",
"replace",
"(",
"\".\"",
",",
"\"\\\\.\"",
")",
",",
"pkg",
",",
"TypeReferenceLocation",
".",
"IMPORT",
")",
";",
"// TODO: Finish the implementation",
"}"
] |
So that we get these packages caught Java class analysis.
|
[
"So",
"that",
"we",
"get",
"these",
"packages",
"caught",
"Java",
"class",
"analysis",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java/api/src/main/java/org/jboss/windup/rules/apps/mavenize/PackagesToContainingMavenArtifactsIndex.java#L120-L124
|
159,824 |
windup/windup
|
rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java
|
XMLDocumentCache.cache
|
public static void cache(XmlFileModel key, Document document)
{
String cacheKey = getKey(key);
map.put(cacheKey, new CacheDocument(false, document));
}
|
java
|
public static void cache(XmlFileModel key, Document document)
{
String cacheKey = getKey(key);
map.put(cacheKey, new CacheDocument(false, document));
}
|
[
"public",
"static",
"void",
"cache",
"(",
"XmlFileModel",
"key",
",",
"Document",
"document",
")",
"{",
"String",
"cacheKey",
"=",
"getKey",
"(",
"key",
")",
";",
"map",
".",
"put",
"(",
"cacheKey",
",",
"new",
"CacheDocument",
"(",
"false",
",",
"document",
")",
")",
";",
"}"
] |
Add the provided document to the cache.
|
[
"Add",
"the",
"provided",
"document",
"to",
"the",
"cache",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java#L51-L55
|
159,825 |
windup/windup
|
rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java
|
XMLDocumentCache.cacheParseFailure
|
public static void cacheParseFailure(XmlFileModel key)
{
map.put(getKey(key), new CacheDocument(true, null));
}
|
java
|
public static void cacheParseFailure(XmlFileModel key)
{
map.put(getKey(key), new CacheDocument(true, null));
}
|
[
"public",
"static",
"void",
"cacheParseFailure",
"(",
"XmlFileModel",
"key",
")",
"{",
"map",
".",
"put",
"(",
"getKey",
"(",
"key",
")",
",",
"new",
"CacheDocument",
"(",
"true",
",",
"null",
")",
")",
";",
"}"
] |
Cache a parse failure for this document.
|
[
"Cache",
"a",
"parse",
"failure",
"for",
"this",
"document",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java#L60-L63
|
159,826 |
windup/windup
|
rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java
|
XMLDocumentCache.get
|
public static Result get(XmlFileModel key)
{
String cacheKey = getKey(key);
Result result = null;
CacheDocument reference = map.get(cacheKey);
if (reference == null)
return new Result(false, null);
if (reference.parseFailure)
return new Result(true, null);
Document document = reference.getDocument();
if (document == null)
LOG.info("Cache miss on XML document: " + cacheKey);
return new Result(false, document);
}
|
java
|
public static Result get(XmlFileModel key)
{
String cacheKey = getKey(key);
Result result = null;
CacheDocument reference = map.get(cacheKey);
if (reference == null)
return new Result(false, null);
if (reference.parseFailure)
return new Result(true, null);
Document document = reference.getDocument();
if (document == null)
LOG.info("Cache miss on XML document: " + cacheKey);
return new Result(false, document);
}
|
[
"public",
"static",
"Result",
"get",
"(",
"XmlFileModel",
"key",
")",
"{",
"String",
"cacheKey",
"=",
"getKey",
"(",
"key",
")",
";",
"Result",
"result",
"=",
"null",
";",
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")",
";",
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"new",
"Result",
"(",
"true",
",",
"null",
")",
";",
"Document",
"document",
"=",
"reference",
".",
"getDocument",
"(",
")",
";",
"if",
"(",
"document",
"==",
"null",
")",
"LOG",
".",
"info",
"(",
"\"Cache miss on XML document: \"",
"+",
"cacheKey",
")",
";",
"return",
"new",
"Result",
"(",
"false",
",",
"document",
")",
";",
"}"
] |
Retrieve the currently cached value for the given document.
|
[
"Retrieve",
"the",
"currently",
"cached",
"value",
"for",
"the",
"given",
"document",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-xml/api/src/main/java/org/jboss/windup/rules/apps/xml/model/XMLDocumentCache.java#L68-L86
|
159,827 |
windup/windup
|
decompiler/impl-procyon/src/main/java/org/jboss/windup/decompiler/procyon/LineNumberFormatter.java
|
LineNumberFormatter.reformatFile
|
public void reformatFile() throws IOException
{
List<LineNumberPosition> lineBrokenPositions = new ArrayList<>();
List<String> brokenLines = breakLines(lineBrokenPositions);
emitFormatted(brokenLines, lineBrokenPositions);
}
|
java
|
public void reformatFile() throws IOException
{
List<LineNumberPosition> lineBrokenPositions = new ArrayList<>();
List<String> brokenLines = breakLines(lineBrokenPositions);
emitFormatted(brokenLines, lineBrokenPositions);
}
|
[
"public",
"void",
"reformatFile",
"(",
")",
"throws",
"IOException",
"{",
"List",
"<",
"LineNumberPosition",
">",
"lineBrokenPositions",
"=",
"new",
"ArrayList",
"<>",
"(",
")",
";",
"List",
"<",
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"brokenLines",
"=",
"breakLines",
"(",
"lineBrokenPositions",
")",
";",
"emitFormatted",
"(",
"brokenLines",
",",
"lineBrokenPositions",
")",
";",
"}"
] |
Rewrites the file passed to 'this' constructor so that the actual line numbers match the recipe passed to 'this'
constructor.
|
[
"Rewrites",
"the",
"file",
"passed",
"to",
"this",
"constructor",
"so",
"that",
"the",
"actual",
"line",
"numbers",
"match",
"the",
"recipe",
"passed",
"to",
"this",
"constructor",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/decompiler/impl-procyon/src/main/java/org/jboss/windup/decompiler/procyon/LineNumberFormatter.java#L59-L64
|
159,828 |
windup/windup
|
rules-java/api/src/main/java/org/jboss/windup/rules/apps/java/scan/operation/packagemapping/PackageNameMapping.java
|
PackageNameMapping.fromPackage
|
public static PackageNameMappingWithPackagePattern fromPackage(String packagePattern)
{
PackageNameMapping packageNameMapping = new PackageNameMapping();
packageNameMapping.setPackagePattern(packagePattern);
return packageNameMapping;
}
|
java
|
public static PackageNameMappingWithPackagePattern fromPackage(String packagePattern)
{
PackageNameMapping packageNameMapping = new PackageNameMapping();
packageNameMapping.setPackagePattern(packagePattern);
return packageNameMapping;
}
|
[
"public",
"static",
"PackageNameMappingWithPackagePattern",
"fromPackage",
"(",
"String",
"packagePattern",
")",
"{",
"PackageNameMapping",
"packageNameMapping",
"=",
"new",
"PackageNameMapping",
"(",
")",
";",
"packageNameMapping",
".",
"setPackagePattern",
"(",
"packagePattern",
")",
";",
"return",
"packageNameMapping",
";",
"}"
] |
Sets the package pattern to match against.
|
[
"Sets",
"the",
"package",
"pattern",
"to",
"match",
"against",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java/api/src/main/java/org/jboss/windup/rules/apps/java/scan/operation/packagemapping/PackageNameMapping.java#L61-L66
|
159,829 |
windup/windup
|
rules-java/api/src/main/java/org/jboss/windup/rules/apps/java/scan/operation/packagemapping/PackageNameMapping.java
|
PackageNameMapping.isExclusivelyKnownArchive
|
public static boolean isExclusivelyKnownArchive(GraphRewrite event, String filePath)
{
String extension = StringUtils.substringAfterLast(filePath, ".");
if (!StringUtils.equalsIgnoreCase(extension, "jar"))
return false;
ZipFile archive;
try
{
archive = new ZipFile(filePath);
} catch (IOException e)
{
return false;
}
WindupJavaConfigurationService javaConfigurationService = new WindupJavaConfigurationService(event.getGraphContext());
WindupJavaConfigurationModel javaConfigurationModel = WindupJavaConfigurationService.getJavaConfigurationModel(event.getGraphContext());
// indicates that the user did specify some packages to scan explicitly (as opposed to scanning everything)
boolean customerPackagesSpecified = javaConfigurationModel.getScanJavaPackages().iterator().hasNext();
// this should only be true if:
// 1) the package does not contain *any* customer packages.
// 2) the package contains "known" vendor packages.
boolean exclusivelyKnown = false;
String organization = null;
Enumeration<?> e = archive.entries();
// go through all entries...
ZipEntry entry;
while (e.hasMoreElements())
{
entry = (ZipEntry) e.nextElement();
String entryName = entry.getName();
if (entry.isDirectory() || !StringUtils.endsWith(entryName, ".class"))
continue;
String classname = PathUtil.classFilePathToClassname(entryName);
// if the package isn't current "known", try to match against known packages for this entry.
if (!exclusivelyKnown)
{
organization = getOrganizationForPackage(event, classname);
if (organization != null)
{
exclusivelyKnown = true;
} else
{
// we couldn't find a package definitively, so ignore the archive
exclusivelyKnown = false;
break;
}
}
// If the user specified package names and this is in those package names, then scan it anyway
if (customerPackagesSpecified && javaConfigurationService.shouldScanPackage(classname))
{
return false;
}
}
if (exclusivelyKnown)
LOG.info("Known Package: " + archive.getName() + "; Organization: " + organization);
// Return the evaluated exclusively known value.
return exclusivelyKnown;
}
|
java
|
public static boolean isExclusivelyKnownArchive(GraphRewrite event, String filePath)
{
String extension = StringUtils.substringAfterLast(filePath, ".");
if (!StringUtils.equalsIgnoreCase(extension, "jar"))
return false;
ZipFile archive;
try
{
archive = new ZipFile(filePath);
} catch (IOException e)
{
return false;
}
WindupJavaConfigurationService javaConfigurationService = new WindupJavaConfigurationService(event.getGraphContext());
WindupJavaConfigurationModel javaConfigurationModel = WindupJavaConfigurationService.getJavaConfigurationModel(event.getGraphContext());
// indicates that the user did specify some packages to scan explicitly (as opposed to scanning everything)
boolean customerPackagesSpecified = javaConfigurationModel.getScanJavaPackages().iterator().hasNext();
// this should only be true if:
// 1) the package does not contain *any* customer packages.
// 2) the package contains "known" vendor packages.
boolean exclusivelyKnown = false;
String organization = null;
Enumeration<?> e = archive.entries();
// go through all entries...
ZipEntry entry;
while (e.hasMoreElements())
{
entry = (ZipEntry) e.nextElement();
String entryName = entry.getName();
if (entry.isDirectory() || !StringUtils.endsWith(entryName, ".class"))
continue;
String classname = PathUtil.classFilePathToClassname(entryName);
// if the package isn't current "known", try to match against known packages for this entry.
if (!exclusivelyKnown)
{
organization = getOrganizationForPackage(event, classname);
if (organization != null)
{
exclusivelyKnown = true;
} else
{
// we couldn't find a package definitively, so ignore the archive
exclusivelyKnown = false;
break;
}
}
// If the user specified package names and this is in those package names, then scan it anyway
if (customerPackagesSpecified && javaConfigurationService.shouldScanPackage(classname))
{
return false;
}
}
if (exclusivelyKnown)
LOG.info("Known Package: " + archive.getName() + "; Organization: " + organization);
// Return the evaluated exclusively known value.
return exclusivelyKnown;
}
|
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";",
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] |
Indicates that all of the packages within an archive are "known" by the package mapper. Generally
this indicates that the archive does not contain customer code.
|
[
"Indicates",
"that",
"all",
"of",
"the",
"packages",
"within",
"an",
"archive",
"are",
"known",
"by",
"the",
"package",
"mapper",
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"Generally",
"this",
"indicates",
"that",
"the",
"archive",
"does",
"not",
"contain",
"customer",
"code",
"."
] |
6668f09e7f012d24a0b4212ada8809417225b2ad
|
https://github.com/windup/windup/blob/6668f09e7f012d24a0b4212ada8809417225b2ad/rules-java/api/src/main/java/org/jboss/windup/rules/apps/java/scan/operation/packagemapping/PackageNameMapping.java#L89-L157
|
159,830 |
finmath/finmath-lib
|
src/main/java/net/finmath/montecarlo/interestrate/models/HullWhiteModel.java
|
HullWhiteModel.getShortRate
|
private RandomVariable getShortRate(int timeIndex) throws CalculationException {
double time = getProcess().getTime(timeIndex);
double timePrev = timeIndex > 0 ? getProcess().getTime(timeIndex-1) : time;
double timeNext = getProcess().getTime(timeIndex+1);
RandomVariable zeroRate = getZeroRateFromForwardCurve(time); //getDiscountFactorFromForwardCurve(time).div(getDiscountFactorFromForwardCurve(timeNext)).log().div(timeNext-time);
RandomVariable alpha = getDV(0, time);
RandomVariable value = getProcess().getProcessValue(timeIndex, 0);
value = value.add(alpha);
// value = value.sub(Math.log(value.exp().getAverage()));
value = value.add(zeroRate);
return value;
}
|
java
|
private RandomVariable getShortRate(int timeIndex) throws CalculationException {
double time = getProcess().getTime(timeIndex);
double timePrev = timeIndex > 0 ? getProcess().getTime(timeIndex-1) : time;
double timeNext = getProcess().getTime(timeIndex+1);
RandomVariable zeroRate = getZeroRateFromForwardCurve(time); //getDiscountFactorFromForwardCurve(time).div(getDiscountFactorFromForwardCurve(timeNext)).log().div(timeNext-time);
RandomVariable alpha = getDV(0, time);
RandomVariable value = getProcess().getProcessValue(timeIndex, 0);
value = value.add(alpha);
// value = value.sub(Math.log(value.exp().getAverage()));
value = value.add(zeroRate);
return value;
}
|
[
"private",
"RandomVariable",
"getShortRate",
"(",
"int",
"timeIndex",
")",
"throws",
"CalculationException",
"{",
"double",
"time",
"=",
"getProcess",
"(",
")",
".",
"getTime",
"(",
"timeIndex",
")",
";",
"double",
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"timeIndex",
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".",
"getTime",
"(",
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"-",
"1",
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":",
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"(",
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"value",
"=",
"value",
".",
"add",
"(",
"zeroRate",
")",
";",
"return",
"value",
";",
"}"
] |
Returns the "short rate" from timeIndex to timeIndex+1.
@param timeIndex The time index (corresponding to {@link getTime()).
@return The "short rate" from timeIndex to timeIndex+1.
@throws CalculationException Thrown if simulation failed.
|
[
"Returns",
"the",
"short",
"rate",
"from",
"timeIndex",
"to",
"timeIndex",
"+",
"1",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/models/HullWhiteModel.java#L492-L508
|
159,831 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesATMOptionValue
|
public static double blackScholesATMOptionValue(
double volatility,
double optionMaturity,
double forward,
double payoffUnit)
{
if(optionMaturity < 0) {
return 0.0;
}
// Calculate analytic value
double dPlus = 0.5 * volatility * Math.sqrt(optionMaturity);
double dMinus = -dPlus;
double valueAnalytic = (NormalDistribution.cumulativeDistribution(dPlus) - NormalDistribution.cumulativeDistribution(dMinus)) * forward * payoffUnit;
return valueAnalytic;
}
|
java
|
public static double blackScholesATMOptionValue(
double volatility,
double optionMaturity,
double forward,
double payoffUnit)
{
if(optionMaturity < 0) {
return 0.0;
}
// Calculate analytic value
double dPlus = 0.5 * volatility * Math.sqrt(optionMaturity);
double dMinus = -dPlus;
double valueAnalytic = (NormalDistribution.cumulativeDistribution(dPlus) - NormalDistribution.cumulativeDistribution(dMinus)) * forward * payoffUnit;
return valueAnalytic;
}
|
[
"public",
"static",
"double",
"blackScholesATMOptionValue",
"(",
"double",
"volatility",
",",
"double",
"optionMaturity",
",",
"double",
"forward",
",",
"double",
"payoffUnit",
")",
"{",
"if",
"(",
"optionMaturity",
"<",
"0",
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"{",
"return",
"0.0",
";",
"}",
"// Calculate analytic value",
"double",
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")",
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"*",
"payoffUnit",
";",
"return",
"valueAnalytic",
";",
"}"
] |
Calculates the Black-Scholes option value of an atm call option.
@param volatility The Black-Scholes volatility.
@param optionMaturity The option maturity T.
@param forward The forward, i.e., the expectation of the index under the measure associated with payoff unit.
@param payoffUnit The payoff unit, i.e., the discount factor or the anuity associated with the payoff.
@return Returns the value of a European at-the-money call option under the Black-Scholes model
|
[
"Calculates",
"the",
"Black",
"-",
"Scholes",
"option",
"value",
"of",
"an",
"atm",
"call",
"option",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L187-L204
|
159,832 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesOptionRho
|
public static double blackScholesOptionRho(
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 rho
double dMinus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate - 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double rho = optionStrike * optionMaturity * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return rho;
}
}
|
java
|
public static double blackScholesOptionRho(
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 rho
double dMinus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate - 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double rho = optionStrike * optionMaturity * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return rho;
}
}
|
[
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"dMinus",
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";",
"return",
"rho",
";",
"}",
"}"
] |
This static method calculated the rho 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 rho of the option
|
[
"This",
"static",
"method",
"calculated",
"the",
"rho",
"of",
"a",
"call",
"option",
"under",
"a",
"Black",
"-",
"Scholes",
"model"
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L447-L468
|
159,833 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesDigitalOptionValue
|
public static double blackScholesDigitalOptionValue(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionStrike <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 1.0;
}
else
{
// Calculate analytic value
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double valueAnalytic = Math.exp(- riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return valueAnalytic;
}
}
|
java
|
public static double blackScholesDigitalOptionValue(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionStrike <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 1.0;
}
else
{
// Calculate analytic value
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double valueAnalytic = Math.exp(- riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus);
return valueAnalytic;
}
}
|
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")",
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";",
"}",
"}"
] |
Calculates the Black-Scholes option value of a digital call option.
@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 Returns the value of a European call option under the Black-Scholes model
|
[
"Calculates",
"the",
"Black",
"-",
"Scholes",
"option",
"value",
"of",
"a",
"digital",
"call",
"option",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L543-L565
|
159,834 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesDigitalOptionDelta
|
public static double blackScholesDigitalOptionDelta(
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 delta
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double delta = Math.exp(-0.5*dMinus*dMinus) / (Math.sqrt(2.0 * Math.PI * optionMaturity) * initialStockValue * volatility);
return delta;
}
}
|
java
|
public static double blackScholesDigitalOptionDelta(
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 delta
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double delta = Math.exp(-0.5*dMinus*dMinus) / (Math.sqrt(2.0 * Math.PI * optionMaturity) * initialStockValue * volatility);
return delta;
}
}
|
[
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"static",
"double",
"blackScholesDigitalOptionDelta",
"(",
"double",
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",",
"double",
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",",
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",",
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")",
"*",
"initialStockValue",
"*",
"volatility",
")",
";",
"return",
"delta",
";",
"}",
"}"
] |
Calculates the delta of a digital 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 delta of the digital option
|
[
"Calculates",
"the",
"delta",
"of",
"a",
"digital",
"option",
"under",
"a",
"Black",
"-",
"Scholes",
"model"
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L577-L599
|
159,835 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesDigitalOptionVega
|
public static double blackScholesDigitalOptionVega(
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 vega
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double vega = - Math.exp(-riskFreeRate * optionMaturity) * Math.exp(-0.5*dMinus*dMinus) / Math.sqrt(2.0 * Math.PI) * dPlus / volatility;
return vega;
}
}
|
java
|
public static double blackScholesDigitalOptionVega(
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 vega
double dPlus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate + 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double dMinus = dPlus - volatility * Math.sqrt(optionMaturity);
double vega = - Math.exp(-riskFreeRate * optionMaturity) * Math.exp(-0.5*dMinus*dMinus) / Math.sqrt(2.0 * Math.PI) * dPlus / volatility;
return vega;
}
}
|
[
"public",
"static",
"double",
"blackScholesDigitalOptionVega",
"(",
"double",
"initialStockValue",
",",
"double",
"riskFreeRate",
",",
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",",
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"vega",
"=",
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"riskFreeRate",
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"exp",
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"dMinus",
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".",
"PI",
")",
"*",
"dPlus",
"/",
"volatility",
";",
"return",
"vega",
";",
"}",
"}"
] |
Calculates the vega of a digital 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 digital option
|
[
"Calculates",
"the",
"vega",
"of",
"a",
"digital",
"option",
"under",
"a",
"Black",
"-",
"Scholes",
"model"
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L611-L633
|
159,836 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackScholesDigitalOptionRho
|
public static double blackScholesDigitalOptionRho(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionMaturity <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 0.0;
}
else if(optionStrike <= 0.0) {
double rho = - optionMaturity * Math.exp(-riskFreeRate * optionMaturity);
return rho;
}
else
{
// Calculate rho
double dMinus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate - 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double rho = - optionMaturity * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus)
+ Math.sqrt(optionMaturity)/volatility * Math.exp(-riskFreeRate * optionMaturity) * Math.exp(-0.5*dMinus*dMinus) / Math.sqrt(2.0 * Math.PI);
return rho;
}
}
|
java
|
public static double blackScholesDigitalOptionRho(
double initialStockValue,
double riskFreeRate,
double volatility,
double optionMaturity,
double optionStrike)
{
if(optionMaturity <= 0.0)
{
// The Black-Scholes model does not consider it being an option
return 0.0;
}
else if(optionStrike <= 0.0) {
double rho = - optionMaturity * Math.exp(-riskFreeRate * optionMaturity);
return rho;
}
else
{
// Calculate rho
double dMinus = (Math.log(initialStockValue / optionStrike) + (riskFreeRate - 0.5 * volatility * volatility) * optionMaturity) / (volatility * Math.sqrt(optionMaturity));
double rho = - optionMaturity * Math.exp(-riskFreeRate * optionMaturity) * NormalDistribution.cumulativeDistribution(dMinus)
+ Math.sqrt(optionMaturity)/volatility * Math.exp(-riskFreeRate * optionMaturity) * Math.exp(-0.5*dMinus*dMinus) / Math.sqrt(2.0 * Math.PI);
return rho;
}
}
|
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"blackScholesDigitalOptionRho",
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",",
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",",
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"optionMaturity",
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")",
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";",
"}",
"}"
] |
Calculates the rho of a digital 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 rho of the digital option
|
[
"Calculates",
"the",
"rho",
"of",
"a",
"digital",
"option",
"under",
"a",
"Black",
"-",
"Scholes",
"model"
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L645-L672
|
159,837 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackModelCapletValue
|
public static double blackModelCapletValue(
double forward,
double volatility,
double optionMaturity,
double optionStrike,
double periodLength,
double discountFactor)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forward, volatility, optionMaturity, optionStrike, periodLength * discountFactor);
}
|
java
|
public static double blackModelCapletValue(
double forward,
double volatility,
double optionMaturity,
double optionStrike,
double periodLength,
double discountFactor)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forward, volatility, optionMaturity, optionStrike, periodLength * discountFactor);
}
|
[
"public",
"static",
"double",
"blackModelCapletValue",
"(",
"double",
"forward",
",",
"double",
"volatility",
",",
"double",
"optionMaturity",
",",
"double",
"optionStrike",
",",
"double",
"periodLength",
",",
"double",
"discountFactor",
")",
"{",
"// May be interpreted as a special version of the Black-Scholes Formula",
"return",
"AnalyticFormulas",
".",
"blackScholesGeneralizedOptionValue",
"(",
"forward",
",",
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",",
"optionMaturity",
",",
"optionStrike",
",",
"periodLength",
"*",
"discountFactor",
")",
";",
"}"
] |
Calculate the value of a caplet assuming the Black'76 model.
@param forward The forward (spot).
@param volatility The Black'76 volatility.
@param optionMaturity The option maturity
@param optionStrike The option strike.
@param periodLength The period length of the underlying forward rate.
@param discountFactor The discount factor corresponding to the payment date (option maturity + period length).
@return Returns the value of a caplet under the Black'76 model
|
[
"Calculate",
"the",
"value",
"of",
"a",
"caplet",
"assuming",
"the",
"Black",
"76",
"model",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L685-L695
|
159,838 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackModelDgitialCapletValue
|
public static double blackModelDgitialCapletValue(
double forward,
double volatility,
double periodLength,
double discountFactor,
double optionMaturity,
double optionStrike)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesDigitalOptionValue(forward, 0.0, volatility, optionMaturity, optionStrike) * periodLength * discountFactor;
}
|
java
|
public static double blackModelDgitialCapletValue(
double forward,
double volatility,
double periodLength,
double discountFactor,
double optionMaturity,
double optionStrike)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesDigitalOptionValue(forward, 0.0, volatility, optionMaturity, optionStrike) * periodLength * discountFactor;
}
|
[
"public",
"static",
"double",
"blackModelDgitialCapletValue",
"(",
"double",
"forward",
",",
"double",
"volatility",
",",
"double",
"periodLength",
",",
"double",
"discountFactor",
",",
"double",
"optionMaturity",
",",
"double",
"optionStrike",
")",
"{",
"// May be interpreted as a special version of the Black-Scholes Formula",
"return",
"AnalyticFormulas",
".",
"blackScholesDigitalOptionValue",
"(",
"forward",
",",
"0.0",
",",
"volatility",
",",
"optionMaturity",
",",
"optionStrike",
")",
"*",
"periodLength",
"*",
"discountFactor",
";",
"}"
] |
Calculate the value of a digital caplet assuming the Black'76 model.
@param forward The forward (spot).
@param volatility The Black'76 volatility.
@param periodLength The period length of the underlying forward rate.
@param discountFactor The discount factor corresponding to the payment date (option maturity + period length).
@param optionMaturity The option maturity
@param optionStrike The option strike.
@return Returns the price of a digital caplet under the Black'76 model
|
[
"Calculate",
"the",
"value",
"of",
"a",
"digital",
"caplet",
"assuming",
"the",
"Black",
"76",
"model",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L708-L718
|
159,839 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.blackModelSwaptionValue
|
public static double blackModelSwaptionValue(
double forwardSwaprate,
double volatility,
double optionMaturity,
double optionStrike,
double swapAnnuity)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forwardSwaprate, volatility, optionMaturity, optionStrike, swapAnnuity);
}
|
java
|
public static double blackModelSwaptionValue(
double forwardSwaprate,
double volatility,
double optionMaturity,
double optionStrike,
double swapAnnuity)
{
// May be interpreted as a special version of the Black-Scholes Formula
return AnalyticFormulas.blackScholesGeneralizedOptionValue(forwardSwaprate, volatility, optionMaturity, optionStrike, swapAnnuity);
}
|
[
"public",
"static",
"double",
"blackModelSwaptionValue",
"(",
"double",
"forwardSwaprate",
",",
"double",
"volatility",
",",
"double",
"optionMaturity",
",",
"double",
"optionStrike",
",",
"double",
"swapAnnuity",
")",
"{",
"// May be interpreted as a special version of the Black-Scholes Formula",
"return",
"AnalyticFormulas",
".",
"blackScholesGeneralizedOptionValue",
"(",
"forwardSwaprate",
",",
"volatility",
",",
"optionMaturity",
",",
"optionStrike",
",",
"swapAnnuity",
")",
";",
"}"
] |
Calculate the value of a swaption assuming the Black'76 model.
@param forwardSwaprate The forward (spot)
@param volatility The Black'76 volatility.
@param optionMaturity The option maturity.
@param optionStrike The option strike.
@param swapAnnuity The swap annuity corresponding to the underlying swap.
@return Returns the value of a Swaption under the Black'76 model
|
[
"Calculate",
"the",
"value",
"of",
"a",
"swaption",
"assuming",
"the",
"Black",
"76",
"model",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L730-L739
|
159,840 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.huntKennedyCMSOptionValue
|
public static double huntKennedyCMSOptionValue(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit,
double optionStrike)
{
double a = 1.0/swapMaturity;
double b = (payoffUnit / swapAnnuity - a) / forwardSwaprate;
double convexityAdjustment = Math.exp(volatility*volatility*optionMaturity);
double valueUnadjusted = blackModelSwaptionValue(forwardSwaprate, volatility, optionMaturity, optionStrike, swapAnnuity);
double valueAdjusted = blackModelSwaptionValue(forwardSwaprate * convexityAdjustment, volatility, optionMaturity, optionStrike, swapAnnuity);
return a * valueUnadjusted + b * forwardSwaprate * valueAdjusted;
}
|
java
|
public static double huntKennedyCMSOptionValue(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit,
double optionStrike)
{
double a = 1.0/swapMaturity;
double b = (payoffUnit / swapAnnuity - a) / forwardSwaprate;
double convexityAdjustment = Math.exp(volatility*volatility*optionMaturity);
double valueUnadjusted = blackModelSwaptionValue(forwardSwaprate, volatility, optionMaturity, optionStrike, swapAnnuity);
double valueAdjusted = blackModelSwaptionValue(forwardSwaprate * convexityAdjustment, volatility, optionMaturity, optionStrike, swapAnnuity);
return a * valueUnadjusted + b * forwardSwaprate * valueAdjusted;
}
|
[
"public",
"static",
"double",
"huntKennedyCMSOptionValue",
"(",
"double",
"forwardSwaprate",
",",
"double",
"volatility",
",",
"double",
"swapAnnuity",
",",
"double",
"optionMaturity",
",",
"double",
"swapMaturity",
",",
"double",
"payoffUnit",
",",
"double",
"optionStrike",
")",
"{",
"double",
"a",
"=",
"1.0",
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"b",
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"(",
"payoffUnit",
"/",
"swapAnnuity",
"-",
"a",
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"forwardSwaprate",
";",
"double",
"convexityAdjustment",
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"double",
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",",
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",",
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",",
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")",
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"double",
"valueAdjusted",
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"blackModelSwaptionValue",
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",",
"optionStrike",
",",
"swapAnnuity",
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";",
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"a",
"*",
"valueUnadjusted",
"+",
"b",
"*",
"forwardSwaprate",
"*",
"valueAdjusted",
";",
"}"
] |
Calculate the value of a CMS option using the Black-Scholes model for the swap rate together with
the Hunt-Kennedy convexity adjustment.
@param forwardSwaprate The forward swap rate
@param volatility Volatility of the log of the swap rate
@param swapAnnuity The swap annuity
@param optionMaturity The option maturity
@param swapMaturity The swap maturity
@param payoffUnit The payoff unit, e.g., the discount factor corresponding to the payment date
@param optionStrike The option strike
@return Value of the CMS option
|
[
"Calculate",
"the",
"value",
"of",
"a",
"CMS",
"option",
"using",
"the",
"Black",
"-",
"Scholes",
"model",
"for",
"the",
"swap",
"rate",
"together",
"with",
"the",
"Hunt",
"-",
"Kennedy",
"convexity",
"adjustment",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L908-L925
|
159,841 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.huntKennedyCMSFloorValue
|
public static double huntKennedyCMSFloorValue(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit,
double optionStrike)
{
double huntKennedyCMSOptionValue = huntKennedyCMSOptionValue(forwardSwaprate, volatility, swapAnnuity, optionMaturity, swapMaturity, payoffUnit, optionStrike);
// A floor is an option plus the strike (max(X,K) = max(X-K,0) + K)
return huntKennedyCMSOptionValue + optionStrike * payoffUnit;
}
|
java
|
public static double huntKennedyCMSFloorValue(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit,
double optionStrike)
{
double huntKennedyCMSOptionValue = huntKennedyCMSOptionValue(forwardSwaprate, volatility, swapAnnuity, optionMaturity, swapMaturity, payoffUnit, optionStrike);
// A floor is an option plus the strike (max(X,K) = max(X-K,0) + K)
return huntKennedyCMSOptionValue + optionStrike * payoffUnit;
}
|
[
"public",
"static",
"double",
"huntKennedyCMSFloorValue",
"(",
"double",
"forwardSwaprate",
",",
"double",
"volatility",
",",
"double",
"swapAnnuity",
",",
"double",
"optionMaturity",
",",
"double",
"swapMaturity",
",",
"double",
"payoffUnit",
",",
"double",
"optionStrike",
")",
"{",
"double",
"huntKennedyCMSOptionValue",
"=",
"huntKennedyCMSOptionValue",
"(",
"forwardSwaprate",
",",
"volatility",
",",
"swapAnnuity",
",",
"optionMaturity",
",",
"swapMaturity",
",",
"payoffUnit",
",",
"optionStrike",
")",
";",
"// A floor is an option plus the strike (max(X,K) = max(X-K,0) + K)",
"return",
"huntKennedyCMSOptionValue",
"+",
"optionStrike",
"*",
"payoffUnit",
";",
"}"
] |
Calculate the value of a CMS strike using the Black-Scholes model for the swap rate together with
the Hunt-Kennedy convexity adjustment.
@param forwardSwaprate The forward swap rate
@param volatility Volatility of the log of the swap rate
@param swapAnnuity The swap annuity
@param optionMaturity The option maturity
@param swapMaturity The swap maturity
@param payoffUnit The payoff unit, e.g., the discount factor corresponding to the payment date
@param optionStrike The option strike
@return Value of the CMS strike
|
[
"Calculate",
"the",
"value",
"of",
"a",
"CMS",
"strike",
"using",
"the",
"Black",
"-",
"Scholes",
"model",
"for",
"the",
"swap",
"rate",
"together",
"with",
"the",
"Hunt",
"-",
"Kennedy",
"convexity",
"adjustment",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L940-L953
|
159,842 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.huntKennedyCMSAdjustedRate
|
public static double huntKennedyCMSAdjustedRate(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit)
{
double a = 1.0/swapMaturity;
double b = (payoffUnit / swapAnnuity - a) / forwardSwaprate;
double convexityAdjustment = Math.exp(volatility*volatility*optionMaturity);
double rateUnadjusted = forwardSwaprate;
double rateAdjusted = forwardSwaprate * convexityAdjustment;
return (a * rateUnadjusted + b * forwardSwaprate * rateAdjusted) * swapAnnuity / payoffUnit;
}
|
java
|
public static double huntKennedyCMSAdjustedRate(
double forwardSwaprate,
double volatility,
double swapAnnuity,
double optionMaturity,
double swapMaturity,
double payoffUnit)
{
double a = 1.0/swapMaturity;
double b = (payoffUnit / swapAnnuity - a) / forwardSwaprate;
double convexityAdjustment = Math.exp(volatility*volatility*optionMaturity);
double rateUnadjusted = forwardSwaprate;
double rateAdjusted = forwardSwaprate * convexityAdjustment;
return (a * rateUnadjusted + b * forwardSwaprate * rateAdjusted) * swapAnnuity / payoffUnit;
}
|
[
"public",
"static",
"double",
"huntKennedyCMSAdjustedRate",
"(",
"double",
"forwardSwaprate",
",",
"double",
"volatility",
",",
"double",
"swapAnnuity",
",",
"double",
"optionMaturity",
",",
"double",
"swapMaturity",
",",
"double",
"payoffUnit",
")",
"{",
"double",
"a",
"=",
"1.0",
"/",
"swapMaturity",
";",
"double",
"b",
"=",
"(",
"payoffUnit",
"/",
"swapAnnuity",
"-",
"a",
")",
"/",
"forwardSwaprate",
";",
"double",
"convexityAdjustment",
"=",
"Math",
".",
"exp",
"(",
"volatility",
"*",
"volatility",
"*",
"optionMaturity",
")",
";",
"double",
"rateUnadjusted",
"=",
"forwardSwaprate",
";",
"double",
"rateAdjusted",
"=",
"forwardSwaprate",
"*",
"convexityAdjustment",
";",
"return",
"(",
"a",
"*",
"rateUnadjusted",
"+",
"b",
"*",
"forwardSwaprate",
"*",
"rateAdjusted",
")",
"*",
"swapAnnuity",
"/",
"payoffUnit",
";",
"}"
] |
Calculate the adjusted forward swaprate corresponding to a change of payoff unit from the given swapAnnuity to the given payoffUnit
using the Black-Scholes model for the swap rate together with the Hunt-Kennedy convexity adjustment.
@param forwardSwaprate The forward swap rate
@param volatility Volatility of the log of the swap rate
@param swapAnnuity The swap annuity
@param optionMaturity The option maturity
@param swapMaturity The swap maturity
@param payoffUnit The payoff unit, e.g., the discount factor corresponding to the payment date
@return Convexity adjusted forward rate
|
[
"Calculate",
"the",
"adjusted",
"forward",
"swaprate",
"corresponding",
"to",
"a",
"change",
"of",
"payoff",
"unit",
"from",
"the",
"given",
"swapAnnuity",
"to",
"the",
"given",
"payoffUnit",
"using",
"the",
"Black",
"-",
"Scholes",
"model",
"for",
"the",
"swap",
"rate",
"together",
"with",
"the",
"Hunt",
"-",
"Kennedy",
"convexity",
"adjustment",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L967-L983
|
159,843 |
finmath/finmath-lib
|
src/main/java6/net/finmath/functions/AnalyticFormulas.java
|
AnalyticFormulas.volatilityConversionLognormalATMtoNormalATM
|
public static double volatilityConversionLognormalATMtoNormalATM(double forward, double displacement, double maturity, double lognormalVolatiltiy) {
double x = lognormalVolatiltiy * Math.sqrt(maturity / 8);
double y = org.apache.commons.math3.special.Erf.erf(x);
double normalVol = Math.sqrt(2*Math.PI / maturity) * (forward+displacement) * y;
return normalVol;
}
|
java
|
public static double volatilityConversionLognormalATMtoNormalATM(double forward, double displacement, double maturity, double lognormalVolatiltiy) {
double x = lognormalVolatiltiy * Math.sqrt(maturity / 8);
double y = org.apache.commons.math3.special.Erf.erf(x);
double normalVol = Math.sqrt(2*Math.PI / maturity) * (forward+displacement) * y;
return normalVol;
}
|
[
"public",
"static",
"double",
"volatilityConversionLognormalATMtoNormalATM",
"(",
"double",
"forward",
",",
"double",
"displacement",
",",
"double",
"maturity",
",",
"double",
"lognormalVolatiltiy",
")",
"{",
"double",
"x",
"=",
"lognormalVolatiltiy",
"*",
"Math",
".",
"sqrt",
"(",
"maturity",
"/",
"8",
")",
";",
"double",
"y",
"=",
"org",
".",
"apache",
".",
"commons",
".",
"math3",
".",
"special",
".",
"Erf",
".",
"erf",
"(",
"x",
")",
";",
"double",
"normalVol",
"=",
"Math",
".",
"sqrt",
"(",
"2",
"*",
"Math",
".",
"PI",
"/",
"maturity",
")",
"*",
"(",
"forward",
"+",
"displacement",
")",
"*",
"y",
";",
"return",
"normalVol",
";",
"}"
] |
Exact conversion of displaced lognormal ATM volatiltiy to normal ATM volatility.
@param forward The forward
@param displacement The displacement (considering a displaced lognormal model, otherwise 0.
@param maturity The maturity
@param lognormalVolatiltiy The (implied) lognormal volatility.
@return The (implied) normal volatility.
@see <a href="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2687742">Dimitroff, Fries, Lichtner and Rodi: Lognormal vs Normal Volatilities and Sensitivities in Practice</a>
|
[
"Exact",
"conversion",
"of",
"displaced",
"lognormal",
"ATM",
"volatiltiy",
"to",
"normal",
"ATM",
"volatility",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/functions/AnalyticFormulas.java#L1301-L1307
|
159,844 |
finmath/finmath-lib
|
src/main/java/net/finmath/modelling/descriptor/xmlparser/FIPXMLParser.java
|
FIPXMLParser.getSwapLegProductDescriptor
|
private static InterestRateSwapLegProductDescriptor getSwapLegProductDescriptor(Element leg, String forwardCurveName, String discountCurveName,
DayCountConvention daycountConvention) {
boolean isFixed = leg.getElementsByTagName("interestType").item(0).getTextContent().equalsIgnoreCase("FIX");
ArrayList<Period> periods = new ArrayList<>();
ArrayList<Double> notionalsList = new ArrayList<>();
ArrayList<Double> rates = new ArrayList<>();
//extracting data for each period
NodeList periodsXML = leg.getElementsByTagName("incomePayment");
for(int periodIndex = 0; periodIndex < periodsXML.getLength(); periodIndex++) {
Element periodXML = (Element) periodsXML.item(periodIndex);
LocalDate startDate = LocalDate.parse(periodXML.getElementsByTagName("startDate").item(0).getTextContent());
LocalDate endDate = LocalDate.parse(periodXML.getElementsByTagName("endDate").item(0).getTextContent());
LocalDate fixingDate = startDate;
LocalDate paymentDate = LocalDate.parse(periodXML.getElementsByTagName("payDate").item(0).getTextContent());
if(! isFixed) {
fixingDate = LocalDate.parse(periodXML.getElementsByTagName("fixingDate").item(0).getTextContent());
}
periods.add(new Period(fixingDate, paymentDate, startDate, endDate));
double notional = Double.parseDouble(periodXML.getElementsByTagName("nominal").item(0).getTextContent());
notionalsList.add(new Double(notional));
if(isFixed) {
double fixedRate = Double.parseDouble(periodXML.getElementsByTagName("fixedRate").item(0).getTextContent());
rates.add(new Double(fixedRate));
} else {
rates.add(new Double(0));
}
}
ScheduleDescriptor schedule = new ScheduleDescriptor(periods, daycountConvention);
double[] notionals = notionalsList.stream().mapToDouble(Double::doubleValue).toArray();
double[] spreads = rates.stream().mapToDouble(Double::doubleValue).toArray();
return new InterestRateSwapLegProductDescriptor(forwardCurveName, discountCurveName, schedule, notionals, spreads, false);
}
|
java
|
private static InterestRateSwapLegProductDescriptor getSwapLegProductDescriptor(Element leg, String forwardCurveName, String discountCurveName,
DayCountConvention daycountConvention) {
boolean isFixed = leg.getElementsByTagName("interestType").item(0).getTextContent().equalsIgnoreCase("FIX");
ArrayList<Period> periods = new ArrayList<>();
ArrayList<Double> notionalsList = new ArrayList<>();
ArrayList<Double> rates = new ArrayList<>();
//extracting data for each period
NodeList periodsXML = leg.getElementsByTagName("incomePayment");
for(int periodIndex = 0; periodIndex < periodsXML.getLength(); periodIndex++) {
Element periodXML = (Element) periodsXML.item(periodIndex);
LocalDate startDate = LocalDate.parse(periodXML.getElementsByTagName("startDate").item(0).getTextContent());
LocalDate endDate = LocalDate.parse(periodXML.getElementsByTagName("endDate").item(0).getTextContent());
LocalDate fixingDate = startDate;
LocalDate paymentDate = LocalDate.parse(periodXML.getElementsByTagName("payDate").item(0).getTextContent());
if(! isFixed) {
fixingDate = LocalDate.parse(periodXML.getElementsByTagName("fixingDate").item(0).getTextContent());
}
periods.add(new Period(fixingDate, paymentDate, startDate, endDate));
double notional = Double.parseDouble(periodXML.getElementsByTagName("nominal").item(0).getTextContent());
notionalsList.add(new Double(notional));
if(isFixed) {
double fixedRate = Double.parseDouble(periodXML.getElementsByTagName("fixedRate").item(0).getTextContent());
rates.add(new Double(fixedRate));
} else {
rates.add(new Double(0));
}
}
ScheduleDescriptor schedule = new ScheduleDescriptor(periods, daycountConvention);
double[] notionals = notionalsList.stream().mapToDouble(Double::doubleValue).toArray();
double[] spreads = rates.stream().mapToDouble(Double::doubleValue).toArray();
return new InterestRateSwapLegProductDescriptor(forwardCurveName, discountCurveName, schedule, notionals, spreads, false);
}
|
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"getSwapLegProductDescriptor",
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"forwardCurveName",
",",
"String",
"discountCurveName",
",",
"DayCountConvention",
"daycountConvention",
")",
"{",
"boolean",
"isFixed",
"=",
"leg",
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"getElementsByTagName",
"(",
"\"interestType\"",
")",
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"(",
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"schedule",
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"notionals",
",",
"spreads",
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";",
"}"
] |
Construct an InterestRateSwapLegProductDescriptor from a node in a FIPXML file.
@param leg The node containing the leg.
@param forwardCurveName Forward curve name form outside the node.
@param discountCurveName Discount curve name form outside the node.
@param daycountConvention Daycount convention from outside the node.
@return Descriptor of the swap leg.
|
[
"Construct",
"an",
"InterestRateSwapLegProductDescriptor",
"from",
"a",
"node",
"in",
"a",
"FIPXML",
"file",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/modelling/descriptor/xmlparser/FIPXMLParser.java#L152-L196
|
159,845 |
finmath/finmath-lib
|
src/main/java/net/finmath/modelling/productfactory/InterestRateMonteCarloProductFactory.java
|
InterestRateMonteCarloProductFactory.constructLiborIndex
|
private static AbstractIndex constructLiborIndex(String forwardCurveName, Schedule schedule) {
if(forwardCurveName != null) {
//determine average fixing offset and period length
double fixingOffset = 0;
double periodLength = 0;
for(int i = 0; i < schedule.getNumberOfPeriods(); i++) {
fixingOffset *= ((double) i) / (i+1);
fixingOffset += (schedule.getPeriodStart(i) - schedule.getFixing(i)) / (i+1);
periodLength *= ((double) i) / (i+1);
periodLength += schedule.getPeriodLength(i) / (i+1);
}
return new LIBORIndex(forwardCurveName, fixingOffset, periodLength);
} else {
return null;
}
}
|
java
|
private static AbstractIndex constructLiborIndex(String forwardCurveName, Schedule schedule) {
if(forwardCurveName != null) {
//determine average fixing offset and period length
double fixingOffset = 0;
double periodLength = 0;
for(int i = 0; i < schedule.getNumberOfPeriods(); i++) {
fixingOffset *= ((double) i) / (i+1);
fixingOffset += (schedule.getPeriodStart(i) - schedule.getFixing(i)) / (i+1);
periodLength *= ((double) i) / (i+1);
periodLength += schedule.getPeriodLength(i) / (i+1);
}
return new LIBORIndex(forwardCurveName, fixingOffset, periodLength);
} else {
return null;
}
}
|
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] |
Construct a Libor index for a given curve and schedule.
@param forwardCurveName
@param schedule
@return The Libor index or null, if forwardCurveName is null.
|
[
"Construct",
"a",
"Libor",
"index",
"for",
"a",
"given",
"curve",
"and",
"schedule",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/modelling/productfactory/InterestRateMonteCarloProductFactory.java#L88-L108
|
159,846 |
finmath/finmath-lib
|
src/main/java/net/finmath/montecarlo/interestrate/products/SwaptionATM.java
|
SwaptionATM.getImpliedBachelierATMOptionVolatility
|
public RandomVariable getImpliedBachelierATMOptionVolatility(RandomVariable optionValue, double optionMaturity, double swapAnnuity){
return optionValue.average().mult(Math.sqrt(2.0 * Math.PI / optionMaturity) / swapAnnuity);
}
|
java
|
public RandomVariable getImpliedBachelierATMOptionVolatility(RandomVariable optionValue, double optionMaturity, double swapAnnuity){
return optionValue.average().mult(Math.sqrt(2.0 * Math.PI / optionMaturity) / swapAnnuity);
}
|
[
"public",
"RandomVariable",
"getImpliedBachelierATMOptionVolatility",
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"RandomVariable",
"optionValue",
",",
"double",
"optionMaturity",
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"double",
"swapAnnuity",
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";",
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] |
Calculates ATM Bachelier implied volatilities.
@see net.finmath.functions.AnalyticFormulas#bachelierOptionImpliedVolatility(double, double, double, double, double)
@param optionValue RandomVarable representing the value of the option
@param optionMaturity Time to maturity.
@param swapAnnuity The swap annuity as seen on valuation time.
@return The Bachelier implied volatility.
|
[
"Calculates",
"ATM",
"Bachelier",
"implied",
"volatilities",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/SwaptionATM.java#L73-L75
|
159,847 |
finmath/finmath-lib
|
src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaption.java
|
BermudanSwaption.getBasisFunctions
|
public RandomVariable[] getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model) throws CalculationException {
ArrayList<RandomVariable> basisFunctions = new ArrayList<>();
// Constant
RandomVariable basisFunction = new RandomVariableFromDoubleArray(1.0);//.getRandomVariableForConstant(1.0);
basisFunctions.add(basisFunction);
int fixingDateIndex = Arrays.binarySearch(fixingDates, fixingDate);
if(fixingDateIndex < 0) {
fixingDateIndex = -fixingDateIndex;
}
if(fixingDateIndex >= fixingDates.length) {
fixingDateIndex = fixingDates.length-1;
}
// forward rate to the next period
RandomVariable rateShort = model.getLIBOR(fixingDate, fixingDate, paymentDates[fixingDateIndex]);
RandomVariable discountShort = rateShort.mult(paymentDates[fixingDateIndex]-fixingDate).add(1.0).invert();
basisFunctions.add(discountShort);
basisFunctions.add(discountShort.pow(2.0));
// basisFunctions.add(rateShort.pow(3.0));
// forward rate to the end of the product
RandomVariable rateLong = model.getLIBOR(fixingDate, fixingDates[fixingDateIndex], paymentDates[paymentDates.length-1]);
RandomVariable discountLong = rateLong.mult(paymentDates[paymentDates.length-1]-fixingDates[fixingDateIndex]).add(1.0).invert();
basisFunctions.add(discountLong);
basisFunctions.add(discountLong.pow(2.0));
// basisFunctions.add(rateLong.pow(3.0));
// Numeraire
RandomVariable numeraire = model.getNumeraire(fixingDate).invert();
basisFunctions.add(numeraire);
// basisFunctions.add(numeraire.pow(2.0));
// basisFunctions.add(numeraire.pow(3.0));
return basisFunctions.toArray(new RandomVariable[basisFunctions.size()]);
}
|
java
|
public RandomVariable[] getBasisFunctions(double fixingDate, LIBORModelMonteCarloSimulationModel model) throws CalculationException {
ArrayList<RandomVariable> basisFunctions = new ArrayList<>();
// Constant
RandomVariable basisFunction = new RandomVariableFromDoubleArray(1.0);//.getRandomVariableForConstant(1.0);
basisFunctions.add(basisFunction);
int fixingDateIndex = Arrays.binarySearch(fixingDates, fixingDate);
if(fixingDateIndex < 0) {
fixingDateIndex = -fixingDateIndex;
}
if(fixingDateIndex >= fixingDates.length) {
fixingDateIndex = fixingDates.length-1;
}
// forward rate to the next period
RandomVariable rateShort = model.getLIBOR(fixingDate, fixingDate, paymentDates[fixingDateIndex]);
RandomVariable discountShort = rateShort.mult(paymentDates[fixingDateIndex]-fixingDate).add(1.0).invert();
basisFunctions.add(discountShort);
basisFunctions.add(discountShort.pow(2.0));
// basisFunctions.add(rateShort.pow(3.0));
// forward rate to the end of the product
RandomVariable rateLong = model.getLIBOR(fixingDate, fixingDates[fixingDateIndex], paymentDates[paymentDates.length-1]);
RandomVariable discountLong = rateLong.mult(paymentDates[paymentDates.length-1]-fixingDates[fixingDateIndex]).add(1.0).invert();
basisFunctions.add(discountLong);
basisFunctions.add(discountLong.pow(2.0));
// basisFunctions.add(rateLong.pow(3.0));
// Numeraire
RandomVariable numeraire = model.getNumeraire(fixingDate).invert();
basisFunctions.add(numeraire);
// basisFunctions.add(numeraire.pow(2.0));
// basisFunctions.add(numeraire.pow(3.0));
return basisFunctions.toArray(new RandomVariable[basisFunctions.size()]);
}
|
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] |
Return the basis functions for the regression suitable for this product.
@param fixingDate The condition time.
@param model The model
@return The basis functions for the regression suitable for this product.
@throws net.finmath.exception.CalculationException Thrown if the valuation fails, specific cause may be available via the <code>cause()</code> method.
|
[
"Return",
"the",
"basis",
"functions",
"for",
"the",
"regression",
"suitable",
"for",
"this",
"product",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/interestrate/products/BermudanSwaption.java#L214-L251
|
159,848 |
finmath/finmath-lib
|
src/main/java6/net/finmath/montecarlo/interestrate/LIBORMarketModelStandard.java
|
LIBORMarketModelStandard.getDrift
|
private RandomVariableInterface getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) {
// Check if this LIBOR is already fixed
if(getTime(timeIndex) >= this.getLiborPeriod(componentIndex)) {
return null;
}
/*
* We implemented several different methods to calculate the drift
*/
if(driftApproximationMethod == Driftapproximation.PREDICTOR_CORRECTOR && realizationPredictor != null) {
RandomVariableInterface drift = getDriftEuler(timeIndex, componentIndex, realizationAtTimeIndex);
RandomVariableInterface driftEulerWithPredictor = getDriftEuler(timeIndex, componentIndex, realizationPredictor);
drift = drift.add(driftEulerWithPredictor).div(2.0);
return drift;
}
else if(driftApproximationMethod == Driftapproximation.LINE_INTEGRAL && realizationPredictor != null) {
return getDriftLineIntegral(timeIndex, componentIndex, realizationAtTimeIndex, realizationPredictor);
}
else {
return getDriftEuler(timeIndex, componentIndex, realizationAtTimeIndex);
}
}
|
java
|
private RandomVariableInterface getDrift(int timeIndex, int componentIndex, RandomVariableInterface[] realizationAtTimeIndex, RandomVariableInterface[] realizationPredictor) {
// Check if this LIBOR is already fixed
if(getTime(timeIndex) >= this.getLiborPeriod(componentIndex)) {
return null;
}
/*
* We implemented several different methods to calculate the drift
*/
if(driftApproximationMethod == Driftapproximation.PREDICTOR_CORRECTOR && realizationPredictor != null) {
RandomVariableInterface drift = getDriftEuler(timeIndex, componentIndex, realizationAtTimeIndex);
RandomVariableInterface driftEulerWithPredictor = getDriftEuler(timeIndex, componentIndex, realizationPredictor);
drift = drift.add(driftEulerWithPredictor).div(2.0);
return drift;
}
else if(driftApproximationMethod == Driftapproximation.LINE_INTEGRAL && realizationPredictor != null) {
return getDriftLineIntegral(timeIndex, componentIndex, realizationAtTimeIndex, realizationPredictor);
}
else {
return getDriftEuler(timeIndex, componentIndex, realizationAtTimeIndex);
}
}
|
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"RandomVariableInterface",
"getDrift",
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",",
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"(",
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",",
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",",
"realizationAtTimeIndex",
")",
";",
"}",
"}"
] |
Alternative implementation for the drift. For experimental purposes.
@param timeIndex
@param componentIndex
@param realizationAtTimeIndex
@param realizationPredictor
@return
|
[
"Alternative",
"implementation",
"for",
"the",
"drift",
".",
"For",
"experimental",
"purposes",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/interestrate/LIBORMarketModelStandard.java#L638-L661
|
159,849 |
finmath/finmath-lib
|
src/main/java6/net/finmath/randomnumbers/HaltonSequence.java
|
HaltonSequence.getHaltonNumberForGivenBase
|
public static double getHaltonNumberForGivenBase(long index, int base) {
index += 1;
double x = 0.0;
double factor = 1.0 / base;
while(index > 0) {
x += (index % base) * factor;
factor /= base;
index /= base;
}
return x;
}
|
java
|
public static double getHaltonNumberForGivenBase(long index, int base) {
index += 1;
double x = 0.0;
double factor = 1.0 / base;
while(index > 0) {
x += (index % base) * factor;
factor /= base;
index /= base;
}
return x;
}
|
[
"public",
"static",
"double",
"getHaltonNumberForGivenBase",
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"long",
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",",
"int",
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"base",
";",
"index",
"/=",
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";",
"}",
"return",
"x",
";",
"}"
] |
Return a Halton number, sequence starting at index = 0, base > 1.
@param index The index of the sequence.
@param base The base of the sequence. Has to be greater than one (this is not checked).
@return The Halton number.
|
[
"Return",
"a",
"Halton",
"number",
"sequence",
"starting",
"at",
"index",
"=",
"0",
"base",
">",
";",
"1",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/randomnumbers/HaltonSequence.java#L66-L78
|
159,850 |
finmath/finmath-lib
|
src/main/java/net/finmath/montecarlo/automaticdifferentiation/backward/alternative/RandomVariableAAD.java
|
RandomVariableAAD.getGradient
|
public Map<Integer, RandomVariable> getGradient(){
int numberOfCalculationSteps = getFunctionList().size();
RandomVariable[] omegaHat = new RandomVariable[numberOfCalculationSteps];
omegaHat[numberOfCalculationSteps-1] = new RandomVariableFromDoubleArray(1.0);
for(int variableIndex = numberOfCalculationSteps-2; variableIndex >= 0; variableIndex--){
omegaHat[variableIndex] = new RandomVariableFromDoubleArray(0.0);
ArrayList<Integer> childrenList = getAADRandomVariableFromList(variableIndex).getChildrenIndices();
for(int functionIndex:childrenList){
RandomVariable D_i_j = getPartialDerivative(functionIndex, variableIndex);
omegaHat[variableIndex] = omegaHat[variableIndex].addProduct(D_i_j, omegaHat[functionIndex]);
}
}
ArrayList<Integer> arrayListOfAllIndicesOfDependentRandomVariables = getArrayListOfAllIndicesOfDependentRandomVariables();
Map<Integer, RandomVariable> gradient = new HashMap<Integer, RandomVariable>();
for(Integer indexOfDependentRandomVariable: arrayListOfAllIndicesOfDependentRandomVariables){
gradient.put(indexOfDependentRandomVariable, omegaHat[arrayListOfAllIndicesOfDependentRandomVariables.get(indexOfDependentRandomVariable)]);
}
return gradient;
}
|
java
|
public Map<Integer, RandomVariable> getGradient(){
int numberOfCalculationSteps = getFunctionList().size();
RandomVariable[] omegaHat = new RandomVariable[numberOfCalculationSteps];
omegaHat[numberOfCalculationSteps-1] = new RandomVariableFromDoubleArray(1.0);
for(int variableIndex = numberOfCalculationSteps-2; variableIndex >= 0; variableIndex--){
omegaHat[variableIndex] = new RandomVariableFromDoubleArray(0.0);
ArrayList<Integer> childrenList = getAADRandomVariableFromList(variableIndex).getChildrenIndices();
for(int functionIndex:childrenList){
RandomVariable D_i_j = getPartialDerivative(functionIndex, variableIndex);
omegaHat[variableIndex] = omegaHat[variableIndex].addProduct(D_i_j, omegaHat[functionIndex]);
}
}
ArrayList<Integer> arrayListOfAllIndicesOfDependentRandomVariables = getArrayListOfAllIndicesOfDependentRandomVariables();
Map<Integer, RandomVariable> gradient = new HashMap<Integer, RandomVariable>();
for(Integer indexOfDependentRandomVariable: arrayListOfAllIndicesOfDependentRandomVariables){
gradient.put(indexOfDependentRandomVariable, omegaHat[arrayListOfAllIndicesOfDependentRandomVariables.get(indexOfDependentRandomVariable)]);
}
return gradient;
}
|
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] |
Implements the AAD Algorithm
@return HashMap where the key is the internal index of the random variable with respect to which the partial derivative was computed. This key then gives access to the actual derivative.
|
[
"Implements",
"the",
"AAD",
"Algorithm"
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/montecarlo/automaticdifferentiation/backward/alternative/RandomVariableAAD.java#L529-L558
|
159,851 |
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",
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"getZeroRates",
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"double",
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] |
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
|
159,852 |
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",
"[",
"]",
"[",
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"invert",
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"double",
"[",
"]",
"[",
"]",
"matrix",
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"{",
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"isSolverUseApacheCommonsMath",
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"LUDecomposition",
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")",
")",
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"toArray2",
"(",
")",
";",
"}",
"}"
] |
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
|
159,853 |
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);
}
|
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",",
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] |
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",
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"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
|
159,854 |
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",
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"[",
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"DoubleMatrix",
"(",
"matrix",
")",
")",
".",
"toArray2",
"(",
")",
";",
"}",
"}"
] |
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
|
159,855 |
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",
"[",
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"index",
"]",
";",
"}",
"return",
"diagonalMatrix",
";",
"}"
] |
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
|
159,856 |
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));
}
|
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] |
This is a service method that takes care of putting al the target values in a single array.
@return
|
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] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/fouriermethod/calibration/CalibratedModel.java#L157-L177
|
159,857 |
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;
}
|
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] |
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.
|
[
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"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java#L261-L282
|
159,858 |
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));
}
|
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] |
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",
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] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata2/model/curves/ForwardCurveInterpolation.java#L334-L356
|
159,859 |
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);
}
|
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] |
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
|
159,860 |
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",
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"throws",
"CalculationException",
"{",
"Map",
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"Double",
",",
"RandomVariable",
">",
"sum",
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"new",
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"sum",
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] |
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
|
159,861 |
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",
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"newWeights",
",",
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"clonedOptimizer",
";",
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] |
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
|
159,862 |
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]);
}
|
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"[",
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")",
";",
"}"
] |
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
|
159,863 |
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",
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".",
"getDiscountCurve",
"(",
"discountCurveName",
")",
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"if",
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"discountCurve",
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"(",
"discountCurve",
")",
";",
"}",
"return",
"discountCurve",
";",
"}"
] |
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",
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"curve",
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"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
|
159,864 |
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",
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"{",
"int",
"intervalNumber",
"=",
"getIntervalNumber",
"(",
"x",
")",
";",
"if",
"(",
"intervalNumber",
"==",
"0",
"||",
"intervalNumber",
"==",
"points",
".",
"length",
")",
"{",
"return",
"x",
";",
"}",
"return",
"getIntervalReferencePoint",
"(",
"intervalNumber",
"-",
"1",
")",
";",
"}"
] |
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",
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"this",
"method",
"returns",
"x",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/curves/locallinearregression/Partition.java#L84-L90
|
159,865 |
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);
}
|
[
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",",
"double",
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",",
"forwardCurve",
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",",
"swaprateVolatility",
",",
"exerciseDate",
",",
"swaprate",
",",
"swapAnnuity",
")",
";",
"}"
] |
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",
"volatility",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java6/net/finmath/montecarlo/interestrate/products/Swaption.java#L189-L205
|
159,866 |
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",
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"AnalyticModel",
"model",
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"{",
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"IllegalArgumentException",
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"forwardCurve",
".",
"getForward",
"(",
"model",
",",
"fixingDate",
")",
";",
"}"
] |
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
|
159,867 |
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",
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";",
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"parameterAsDouble",
"[",
"i",
"]",
")",
";",
"}",
"return",
"parameter",
";",
"}"
] |
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",
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"this",
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"covariance",
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".",
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"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
|
159,868 |
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",
"{",
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"if",
"(",
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"getModel",
"(",
")",
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"(",
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"(",
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")",
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",",
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",",
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")",
")",
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"return",
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"DiscountCurveInterface",
")",
"model",
".",
"getModel",
"(",
")",
".",
"getDiscountCurve",
"(",
")",
";",
"}",
"}"
] |
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
|
159,869 |
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",
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"LocalDate",
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"getYear",
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")",
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"int",
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"(",
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"/",
"31",
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"(",
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"month",
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"getMonthValue",
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"date",
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"getDayOfMonth",
"(",
")",
";",
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"easterSundayMonth",
"==",
"month",
")",
"&&",
"(",
"easterSundayDay",
"==",
"day",
")",
";",
"}"
] |
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
|
159,870 |
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);
}
|
[
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"static",
"LocalDateTime",
"getDateFromFloatingPointDate",
"(",
"LocalDateTime",
"referenceDate",
",",
"double",
"floatingPointDate",
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"{",
"if",
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"referenceDate",
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"null",
")",
"{",
"return",
"null",
";",
"}",
"Duration",
"duration",
"=",
"Duration",
".",
"ofSeconds",
"(",
"Math",
".",
"round",
"(",
"floatingPointDate",
"*",
"SECONDS_PER_DAY",
")",
")",
";",
"return",
"referenceDate",
".",
"plus",
"(",
"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
|
159,871 |
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",
"(",
"(",
"double",
")",
"duration",
".",
"getSeconds",
"(",
")",
")",
"/",
"SECONDS_PER_DAY",
";",
"}"
] |
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
|
159,872 |
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",
".",
"plusDays",
"(",
"(",
"int",
")",
"Math",
".",
"round",
"(",
"floatingPointDate",
"*",
"365.0",
")",
")",
";",
"}"
] |
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
|
159,873 |
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",
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"{",
"k",
"++",
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"dp",
"*=",
"lambda",
"/",
"k",
";",
"p",
"+=",
"dp",
";",
"}",
"return",
"k",
";",
"}"
] |
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
|
159,874 |
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",
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"double",
"time",
",",
"RandomVariable",
"value",
",",
"boolean",
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"synchronized",
"(",
"rationalFunctionInterpolationLazyInitLock",
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"+",
"index",
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"}",
"}",
"RandomVariable",
"interpolationEntityValue",
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"interpolationEntityFromValue",
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"else",
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"// Insert the new point, retain ordering.",
"Point",
"point",
"=",
"new",
"Point",
"(",
"time",
",",
"interpolationEntityValue",
",",
"isParameter",
")",
";",
"points",
".",
"add",
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"-",
"index",
"-",
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",",
"point",
")",
";",
"if",
"(",
"isParameter",
")",
"{",
"// Add this point also to the list of parameters",
"int",
"parameterIndex",
"=",
"getParameterIndex",
"(",
"time",
")",
";",
"if",
"(",
"parameterIndex",
">=",
"0",
")",
"{",
"new",
"RuntimeException",
"(",
"\"CurveFromInterpolationPoints inconsistent.\"",
")",
";",
"}",
"pointsBeingParameters",
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"-",
"parameterIndex",
"-",
"1",
",",
"point",
")",
";",
"}",
"}",
"rationalFunctionInterpolation",
"=",
"null",
";",
"curveCacheReference",
"=",
"null",
";",
"}",
"}"
] |
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
|
159,875 |
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",
"++",
")",
"{",
"doubleLength",
"+=",
"schedule",
".",
"getPeriodLength",
"(",
"i",
")",
";",
"}",
"doubleLength",
"/=",
"schedule",
".",
"getNumberOfPeriods",
"(",
")",
";",
"doubleLength",
"*=",
"12",
";",
"int",
"periodLength",
"=",
"(",
"int",
")",
"Math",
".",
"round",
"(",
"doubleLength",
")",
";",
"String",
"offsetCode",
"=",
"periodLength",
"+",
"\"M\"",
";",
"return",
"offsetCode",
";",
"}"
] |
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
|
159,876 |
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",
"[",
"]",
"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",
";",
"}"
] |
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",
"letter",
"behind",
"them",
"if",
"any",
".",
"If",
"there",
"are",
"multiple",
"groups",
"of",
"digits",
"in",
"the",
"name",
"this",
"method",
"will",
"extract",
"the",
"last",
".",
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"there",
"is",
"no",
"number",
"in",
"the",
"string",
"this",
"method",
"will",
"return",
"null",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/time/SchedulePrototype.java#L77-L90
|
159,877 |
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",
"(",
")",
",",
"getShortPeriodConvention",
"(",
")",
",",
"getDateRollConvention",
"(",
")",
",",
"getBusinessdayCalendar",
"(",
")",
",",
"getFixingOffsetDays",
"(",
")",
",",
"getPaymentOffsetDays",
"(",
")",
",",
"isUseEndOfMonth",
"(",
")",
")",
";",
"}"
] |
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
|
159,878 |
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",
",",
"getFrequency",
"(",
")",
",",
"getDaycountConvention",
"(",
")",
",",
"getShortPeriodConvention",
"(",
")",
",",
"getDateRollConvention",
"(",
")",
",",
"getBusinessdayCalendar",
"(",
")",
",",
"getFixingOffsetDays",
"(",
")",
",",
"getPaymentOffsetDays",
"(",
")",
",",
"isUseEndOfMonth",
"(",
")",
")",
";",
"}"
] |
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
|
159,879 |
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",
"shortPeriodConvention",
")",
"{",
"return",
"createScheduleFromConventions",
"(",
"referenceDate",
",",
"startDate",
",",
"frequency",
",",
"maturity",
",",
"daycountConvention",
",",
"shortPeriodConvention",
",",
"\"UNADJUSTED\"",
",",
"new",
"BusinessdayCalendarAny",
"(",
")",
",",
"0",
",",
"0",
")",
";",
"}"
] |
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
|
159,880 |
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\t\t * Hence we store both in two side by side vectors.\n\t\t */",
"for",
"(",
"int",
"i",
"=",
"0",
";",
"i",
"<",
"calibrationProductsSymbols",
".",
"size",
"(",
")",
";",
"i",
"++",
")",
"{",
"String",
"calibrationProductSymbol",
"=",
"calibrationProductsSymbols",
".",
"get",
"(",
"i",
")",
";",
"if",
"(",
"calibrationProductSymbol",
".",
"equals",
"(",
"symbol",
")",
")",
"{",
"return",
"calibrationProducts",
".",
"get",
"(",
"i",
")",
";",
"}",
"}",
"return",
"null",
";",
"}"
] |
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
|
159,881 |
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",
")",
"{",
"// 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",
")",
";",
"}",
"}"
] |
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
|
159,882 |
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",
"(",
"name",
")",
";",
"for",
"(",
"int",
"timeIndex",
"=",
"0",
";",
"timeIndex",
"<",
"times",
".",
"length",
";",
"timeIndex",
"++",
")",
"{",
"survivalProbabilities",
".",
"addSurvivalProbability",
"(",
"times",
"[",
"timeIndex",
"]",
",",
"givenSurvivalProbabilities",
"[",
"timeIndex",
"]",
",",
"times",
"[",
"timeIndex",
"]",
">",
"0",
")",
";",
"}",
"return",
"survivalProbabilities",
";",
"}"
] |
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
|
159,883 |
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",
".",
"PAYERVOLATILITYLOGNORMAL",
")",
"{",
"throw",
"new",
"IllegalArgumentException",
"(",
"\"SwaptionDataLattice only supports displacement, when using QuotingCOnvention.PAYERVOLATILITYLOGNORMAL.\"",
")",
";",
"}",
"//Reverse sign of moneyness, if switching between payer and receiver convention.\r",
"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",
"(",
")",
")",
";",
"}"
] |
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
|
159,884 |
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;
}
|
[
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"discountCurveName",
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"floatMetaSchedule",
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"putAll",
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"converted",
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"entryMap",
")",
";",
"}",
"return",
"combined",
";",
"}"
] |
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",
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"will",
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"overwritten",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L299-L313
|
159,885 |
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",
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")",
".",
"keySet",
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")",
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"}",
")",
";",
"}",
"return",
"moneyness",
".",
"toArray",
"(",
")",
";",
"}"
] |
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
|
159,886 |
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",
"[",
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"maturities",
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"int",
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"(",
"maturitiesInMonths",
"[",
"index",
"]",
")",
";",
"}",
"return",
"maturities",
";",
"}"
] |
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
|
159,887 |
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",
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"moneyness",
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"getGridNodesPerMoneyness",
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"(",
"Integer",
"::",
"intValue",
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".",
"toArray",
"(",
")",
";",
"}"
] |
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
|
159,888 |
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",
"[",
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"getTenors",
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"int",
"moneynessBP",
",",
"int",
"maturityInMonths",
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"{",
"try",
"{",
"List",
"<",
"Integer",
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"ret",
"=",
"new",
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"<>",
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")",
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"new",
"int",
"[",
"0",
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";",
"}",
"}"
] |
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
|
159,889 |
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",
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"int",
"maturityInMonths",
"=",
"(",
"int",
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"Math",
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",",
"tenorsInMonths",
"[",
"index",
"]",
")",
";",
"}",
"return",
"tenors",
";",
"}"
] |
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
|
159,890 |
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",
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"*",
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"int",
")",
"Math",
".",
"round",
"(",
"moneyness",
"*",
"10000",
")",
";",
"}",
"}"
] |
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",
".",
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"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
|
159,891 |
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",
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"int",
"maturityInMonths",
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"{",
"Schedule",
"schedule",
"=",
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".",
"generateSchedule",
"(",
"referenceDate",
",",
"maturityInMonths",
",",
"12",
")",
";",
"return",
"schedule",
".",
"getFixing",
"(",
"0",
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";",
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] |
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
|
159,892 |
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",
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"{",
"Schedule",
"schedule",
"=",
"fixMetaSchedule",
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"generateSchedule",
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",",
"maturityInMonths",
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"getPayment",
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"getNumberOfPeriods",
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")",
";",
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] |
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
|
159,893 |
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",
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"maturityInMonths",
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"tenorInMonths",
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")",
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] |
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.
|
[
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] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/volatilities/SwaptionDataLattice.java#L547-L549
|
159,894 |
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);
}
}
|
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"(",
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",",
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",",
"QuotingConvention",
".",
"PAYERPRICE",
",",
"0",
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",",
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",",
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")",
",",
"key",
",",
"toConvention",
",",
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".",
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",",
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";",
"}",
"}"
] |
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
|
159,895 |
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",
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"forwardCurve",
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"model",
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"getForwardCurve",
"(",
"forwardCurveName",
")",
";",
"if",
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"forwardCurve",
"==",
"null",
"&&",
"forwardCurveName",
"!=",
"null",
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"couponPayment",
"=",
"fixedCoupon",
";",
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"(",
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"!=",
"null",
")",
"{",
"couponPayment",
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"floatingSpread",
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".",
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"(",
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"(",
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")",
")",
";",
"}",
"return",
"couponPayment",
"*",
"periodLength",
";",
"}"
] |
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",
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".",
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"model",
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"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
|
159,896 |
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",
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"{",
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"int",
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"schedule",
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"getNumberOfPeriods",
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"double",
"paymentDate",
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"getPayment",
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"periodIndex",
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"getCouponPayment",
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"model",
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"*",
"Math",
".",
"exp",
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"spread",
"*",
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"*",
"referenceCurve",
".",
"getValue",
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"0.0",
";",
"}",
"double",
"paymentDate",
"=",
"schedule",
".",
"getPayment",
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"schedule",
".",
"getNumberOfPeriods",
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"1",
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"return",
"paymentDate",
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"value",
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"exp",
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"*",
"referenceCurve",
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"getValue",
"(",
"paymentDate",
")",
":",
"0.0",
";",
"}"
] |
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",
"can",
"be",
"used",
"for",
"optimizer",
"."
] |
a3c067d52dd33feb97d851df6cab130e4116759f
|
https://github.com/finmath/finmath-lib/blob/a3c067d52dd33feb97d851df6cab130e4116759f/src/main/java/net/finmath/marketdata/model/bond/Bond.java#L235-L244
|
159,897 |
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",
"(",
"\"referenceCurve\"",
",",
"new",
"double",
"[",
"]",
"{",
"0.0",
",",
"1.0",
"}",
",",
"new",
"double",
"[",
"]",
"{",
"1.0",
",",
"1.0",
"}",
")",
";",
"return",
"getValueWithGivenSpreadOverCurve",
"(",
"evaluationTime",
",",
"referenceCurve",
",",
"rate",
",",
"model",
")",
";",
"}"
] |
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
|
159,898 |
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",
"(",
"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",
"(",
")",
";",
"}"
] |
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
|
159,899 |
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",
"(",
")",
">",
"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",
"(",
")",
";",
"}"
] |
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
|
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