Java DoubleArrayList类代码示例

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
final public void ensureScalarVar(String name, int size, double initial, boolean randomize) {
    writeLock.lock();
    try {
        int curSize = scalarVars.get(name).size();
        if (curSize < size) {
            DoubleList toAdd = new DoubleArrayList(size - curSize);
            for (int i=0; i<size - curSize; i++) {
                toAdd.add(0.0);
            }
            initializeDoubleList(toAdd, initial, randomize);
            scalarVars.get(name).addAll(toAdd);
        }
        curSize = readLocks.size();
        SpaceUtilities.fillReadWriteLocks(readLocks, writeLocks, curSize, size);
    } finally {
        writeLock.unlock();
    }
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
public LearningInstance featurize(JsonNode entity, boolean update) {
    Map<String, List<Feature>> feaMap = FeaturizerUtilities.getFeatureMap(entity, true,
            featureExtractors, indexSpace);
    String group = null;
    if (groupKeys != null && groupKeys.size() > 0) {
        group = FeatureExtractorUtilities.composeConcatenatedKey(entity, groupKeys);
    }
    TensorFlowInstance instance = new TensorFlowInstance(group);
    for (Map.Entry<String, List<Feature>> entry : feaMap.entrySet()) {
        DoubleList doubles = new DoubleArrayList();
        IntList ints = new IntArrayList();
        for (Feature feature : entry.getValue()) {
            doubles.add(feature.getValue());
            ints.add(feature.getIndex());
        }
        double[] darr = doubles.toDoubleArray();
        instance.putValues(entry.getKey(), darr);
        int[] iarr = ints.toIntArray();
        instance.putIndices(entry.getKey(), iarr);
    }
    return instance;
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
private static VolatilitySurfaceData<Double, Double> getSurfaceFromVolatilityQuote(final VolatilitySurfaceData<Number, Double> optionVolatilities, final ZonedDateTime now,
    final Calendar calendar) {
  final BondFutureOptionExpiryCalculator expiryCalculator = BondFutureOptionExpiryCalculator.getInstance();
  final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<Pair<Double, Double>, Double>();
  final DoubleArrayList tList = new DoubleArrayList();
  final DoubleArrayList kList = new DoubleArrayList();
  final LocalDate today = now.toLocalDate();
  final Object[] xs = optionVolatilities.getXs();
  for (final Object xObj : xs) {
    Number x = (Number) xObj;
    final Double t = TimeCalculator.getTimeBetween(today, expiryCalculator.getExpiryDate(x.intValue(), today, calendar));
    final Object[] ys = optionVolatilities.getYs();
    for (final Object yObj : ys) {
      Double y = (Double) yObj;
      final Double volatility = optionVolatilities.getVolatility(x, y);
      if (volatility != null) {
        tList.add(t);
        kList.add(y / 100.);
        volatilityValues.put(Pairs.of(t, y / 100.), volatility / 100); // TODO Normalisation, could this be done elsewhere?
      }
    }
  }
  return new VolatilitySurfaceData<Double, Double>(optionVolatilities.getDefinitionName(), optionVolatilities.getSpecificationName(), optionVolatilities.getTarget(),
      tList.toArray(new Double[0]), kList.toArray(new Double[0]), volatilityValues);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
private static VolatilitySurfaceData<Double, Double> getSurface(final VolatilitySurfaceData<Tenor, Tenor> volatilities) {
  final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<Pair<Double, Double>, Double>();
  final DoubleArrayList xList = new DoubleArrayList();
  final DoubleArrayList yList = new DoubleArrayList();
  for (final Tenor x : volatilities.getUniqueXValues()) {
    final double xTime = getTime(x);
    final List<ObjectsPair<Tenor, Double>> yValuesForX = volatilities.getYValuesForX(x);
    for (final ObjectsPair<Tenor, Double> pair : yValuesForX) {
      final double yTime = getTime(pair.getFirst());
      final Double volatility = pair.getSecond();
      if (volatility != null) {
        xList.add(xTime);
        yList.add(yTime);
        volatilityValues.put(DoublesPair.of(xTime, yTime), volatility);
      }
    }
  }
  return new VolatilitySurfaceData<Double, Double>(volatilities.getDefinitionName(), volatilities.getSpecificationName(), volatilities.getTarget(), xList.toArray(new Double[0]),
      yList.toArray(new Double[0]), volatilityValues);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
/** Build a volatility surface based on Expiry, T, and Strike, K. T is in measured in our standard OG-Analytic years */
private static VolatilitySurfaceData<Double, Double> getSurfaceFromVolatilityQuote(final VolatilitySurfaceData<Object, Object> optionVolatilities, final ZonedDateTime now,
    final Calendar calendar) {
  final Map<Pair<Double, Double>, Double> volatilityValues = new HashMap<>();
  final DoubleArrayList tList = new DoubleArrayList();
  final DoubleArrayList kList = new DoubleArrayList();
  final LocalDate today = now.toLocalDate();
  final Object[] xs = optionVolatilities.getXs();
  for (final Object xObj : optionVolatilities.getXs()) {
    final Number x = (Number) xObj;
    final Double t = FutureOptionUtils.getIRFutureOptionTtm(x.intValue(), today, calendar);
    final Object[] ys = optionVolatilities.getYs();
    for (final Object yObj : ys) {
      final Double y = (Double) yObj;
      final Double volatility = optionVolatilities.getVolatility(x, y);
      if (volatility != null) {
        tList.add(t);
        kList.add(y / 100.);
        volatilityValues.put(Pairs.of(t, y / 100.), volatility / 100); // TODO Normalisation, could this be done elsewhere?
      }
    }
  }
  return new VolatilitySurfaceData<>(optionVolatilities.getDefinitionName(), optionVolatilities.getSpecificationName(), optionVolatilities.getTarget(), tList.toArray(new Double[0]),
      kList.toArray(new Double[0]), volatilityValues);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
private static VolatilitySurfaceData<Double, Double> getSurfaceFromVolatilityQuote(final LocalDate valDate, final VolatilitySurfaceData<Pair<Integer, Tenor>, Double> rawSurface) {
  // Remove empties, convert expiries from number to years, and scale vols
  final Map<Pair<Double, Double>, Double> volValues = new HashMap<>();
  final DoubleArrayList tList = new DoubleArrayList();
  final DoubleArrayList kList = new DoubleArrayList();
  for (final Pair<Integer, Tenor> nthExpiry : rawSurface.getXs()) {
    final double t = FutureOptionExpiries.EQUITY_FUTURE.getFutureOptionTtm(nthExpiry.getFirst(), valDate, nthExpiry.getSecond()); //TODO need information about expiry calculator
    if (t > 5. / 365.) { // Bootstrapping vol surface to this data causes far more trouble than any gain. The data simply isn't reliable.
      for (final Double strike : rawSurface.getYs()) {
        final Double vol = rawSurface.getVolatility(nthExpiry, strike);
        if (vol != null) {
          tList.add(t);
          kList.add(strike);
          volValues.put(Pairs.of(t, strike), vol / 100.);
        }
      }
    }
  }
  final VolatilitySurfaceData<Double, Double> stdVolSurface = new VolatilitySurfaceData<>(rawSurface.getDefinitionName(), rawSurface.getSpecificationName(), rawSurface.getTarget(),
      tList.toArray(new Double[0]), kList.toArray(new Double[0]), volValues);
  return stdVolSurface;
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
public static Pair<double[][], double[][]> getStrikesAndValues(final double[] expiries, final double[] strikes, final VolatilitySurfaceData<Object, Object> volatilitySurface) {
  final int nExpiries = expiries.length;
  final int nStrikes = strikes.length;
  final double[][] fullStrikes = new double[nExpiries][];
  final double[][] fullValues = new double[nExpiries][];
  for (int i = 0; i < nExpiries; i++) {
    final DoubleList availableStrikes = new DoubleArrayList();
    final DoubleList availableVols = new DoubleArrayList();
    for (int j = 0; j < nStrikes; j++) {
      final Double vol = volatilitySurface.getVolatility(expiries[i], strikes[j]);
      if (vol != null) {
        availableStrikes.add(strikes[j]);
        availableVols.add(vol);
      }
    }
    if (availableVols.size() == 0) {
      throw new OpenGammaRuntimeException("No volatility values found for expiry " + expiries[i]);
    }
    fullStrikes[i] = availableStrikes.toDoubleArray();
    fullValues[i] = availableVols.toDoubleArray();
  }
  return Pairs.of(fullStrikes, fullValues);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
public static Triple<double[], double[][], double[][]> getStrippedStrikesAndValues(final VolatilitySurfaceData<Object, Object> volatilitySurface) {
  final Object[] expiries = getUniqueExpiriesWithData(volatilitySurface);
  final Object[] strikeValues = volatilitySurface.getYs();
  final int nExpiries = expiries.length;
  final int nStrikes = strikeValues.length;
  final double[][] strikes = new double[nExpiries][];
  final double[][] values = new double[nExpiries][];
  for (int i = 0; i < nExpiries; i++) {
    final DoubleList availableStrikes = new DoubleArrayList();
    final DoubleList availableVols = new DoubleArrayList();
    for (int j = 0; j < nStrikes; j++) {
      final Double vol = volatilitySurface.getVolatility(expiries[i], strikeValues[j]);
      if (vol != null) {
        availableStrikes.add((Double) strikeValues[j]);
        availableVols.add(vol);
      }
    }
    strikes[i] = availableStrikes.toDoubleArray();
    values[i] = availableVols.toDoubleArray();
  }
  return Triple.of(getArrayOfDoubles(expiries), strikes, values);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
private Set<ComputedValue> getResultsForExternalRiskFactors(final SecuritySource secSource, final FunctionInputs inputs, final ComputationTarget target, final RawSecurity security) {
  final List<FactorExposureData> factors = decodeSensitivities(secSource, security);
  Collections.sort(factors, new FactorExposureDataComparator());
  final List<String> indices = Lists.newArrayList();
  final List<String> labels = Lists.newArrayList();
  final DoubleList values = new DoubleArrayList();
  for (final FactorExposureData factor : factors) {
    if (!(factor.getFactorType().equals(FactorType.YIELD) && factor.getFactorName().contains(SWAP_TEXT))) {
      final ComputedValue computedValue = inputs.getComputedValue(getSensitivityRequirement(factor.getExposureExternalId()));
      if (computedValue != null) {
        indices.add(factor.getFactorExternalId().getValue());
        labels.add(factor.getExposureExternalId().getValue());
        values.add((Double) computedValue.getValue());
      } else {
        s_logger.error("Value was null when getting required input data " + factor.getExposureExternalId());
      }
    }
  }
  final StringLabelledMatrix1D labelledMatrix = new StringLabelledMatrix1D(indices.toArray(new String[] {}), labels.toArray(), values.toDoubleArray());
  final ValueSpecification valueSpecification = new ValueSpecification(EXTERNAL_SENSITIVITIES_REQUIREMENT, target.toSpecification(), createCurrencyValueProperties(target).get());
  return Collections.singleton(new ComputedValue(valueSpecification, labelledMatrix));
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
private Set<ComputedValue> getResultsForExternalRiskFactors(final SecuritySource secSource, final FunctionInputs inputs, final ComputationTarget target, final RawSecurity security) {
  final List<FactorExposureData> factors = decodeSensitivities(secSource, security);
  Collections.sort(factors, new FactorExposureDataComparator());
  final List<String> indices = Lists.newArrayList();
  final List<String> labels = Lists.newArrayList();
  final DoubleList values = new DoubleArrayList();
  for (final FactorExposureData factor : factors) {
    if (factor.getFactorType().equals(FactorType.CDS_SPREAD)) {
      final ComputedValue computedValue = inputs.getComputedValue(getSensitivityRequirement(factor.getExposureExternalId()));
      if (computedValue != null) {
        indices.add(factor.getFactorExternalId().getValue());
        labels.add(factor.getExposureExternalId().getValue());
        values.add((Double) computedValue.getValue());
      } else {
        s_logger.error("Value was null when getting required input data " + factor.getExposureExternalId());
      }
    }
  }
  final StringLabelledMatrix1D labelledMatrix = new StringLabelledMatrix1D(indices.toArray(new String[] {}), labels.toArray(), values.toDoubleArray());
  final ValueSpecification valueSpecification = new ValueSpecification(CREDIT_SENSITIVITIES_REQUIREMENT, target.toSpecification(), createCurrencyValueProperties(target).get());
  return Collections.singleton(new ComputedValue(valueSpecification, labelledMatrix));
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
@Override
protected GeneratorYDCurve getGenerator(final CurveDefinition definition, final LocalDate valuationDate) {
  if (definition instanceof InterpolatedCurveDefinition) {
    final InterpolatedCurveDefinition interpolatedDefinition = (InterpolatedCurveDefinition) definition;
    final String interpolatorName = interpolatedDefinition.getInterpolatorName();
    final String leftExtrapolatorName = interpolatedDefinition.getLeftExtrapolatorName();
    final String rightExtrapolatorName = interpolatedDefinition.getRightExtrapolatorName();
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    if (definition instanceof FixedDateInterpolatedCurveDefinition) {
      final FixedDateInterpolatedCurveDefinition fixedDateDefinition = (FixedDateInterpolatedCurveDefinition) definition;
      final List<LocalDate> fixedDates = fixedDateDefinition.getFixedDates();
      final DoubleArrayList nodePoints = new DoubleArrayList(fixedDates.size()); //TODO what about equal node points?
      for (final LocalDate fixedDate : fixedDates) {
        nodePoints.add(TimeCalculator.getTimeBetween(valuationDate, fixedDate)); //TODO what to do if the fixed date is before the valuation date?
      }
      final double anchor = nodePoints.get(0); //TODO should the anchor go into the definition?
      return new GeneratorCurveYieldInterpolatedAnchorNode(nodePoints.toDoubleArray(), anchor, interpolator);
    }
    return new GeneratorCurveYieldInterpolated(getMaturityCalculator(), interpolator);
  }
  throw new OpenGammaRuntimeException("Cannot handle curves of type " + definition.getClass());
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
protected static DoublesCurve getFXForwardCurve(final FunctionInputs inputs, final FXForwardCurveDefinition definition, final FXForwardCurveSpecification specification, final LocalDate now) {
  final Object fxForwardCurveObject = inputs.getValue(ValueRequirementNames.FX_FORWARD_POINTS_CURVE_MARKET_DATA);
  if (fxForwardCurveObject == null) {
    throw new OpenGammaRuntimeException("Could not get FX forward curve data");
  }
  @SuppressWarnings("unchecked")
  final Map<ExternalId, Double> dataPoints = (Map<ExternalId, Double>) fxForwardCurveObject;
  final DoubleArrayList tList = new DoubleArrayList();
  final DoubleArrayList fxList = new DoubleArrayList();
  for (final Tenor tenor : definition.getTenors()) {
    final Double fxForward = dataPoints.get(specification.getCurveInstrumentProvider().getInstrument(now, tenor));
    if (fxForward == null) {
      throw new OpenGammaRuntimeException("Could not get FX forward rate for " + tenor);
    }
    tList.add(DateUtils.getDifferenceInYears(now, now.plus(tenor.getPeriod())));
    fxList.add(fxForward);
  }
  final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(Interpolator1DFactory.LINEAR, Interpolator1DFactory.LINEAR_EXTRAPOLATOR,
      Interpolator1DFactory.LINEAR_EXTRAPOLATOR);
  return InterpolatedDoublesCurve.from(tList.toDoubleArray(), fxList.toDoubleArray(), interpolator);
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
@Override
public Interpolator1DDataBundle getResult(final LocalVolatilitySurfaceMoneyness localVolatility, final ForwardCurve forwardCurve, final EuropeanVanillaOption option,
    final YieldAndDiscountCurve discountingCurve) {
  final PDETerminalResults1D pdeGrid = _pdeCalculator.runPDESolver(localVolatility, option);
  final PDEGrid1D grid = pdeGrid.getGrid();
  final double expiry = option.getTimeToExpiry();
  final boolean isCall = option.isCall();
  final double strike = option.getStrike();
  final double forward = forwardCurve.getForward(expiry);
  final double[] moneynesses = grid.getSpaceNodes();
  final double[] modifiedPrices = pdeGrid.getTerminalResults();
  final int n = modifiedPrices.length;
  final DoubleArrayList strikes = new DoubleArrayList();
  final DoubleArrayList prices = new DoubleArrayList();
  for (int i = 0; i < n; i++) {
    try {
      final double impliedVol = BlackFormulaRepository.impliedVolatility(modifiedPrices[i], 1, moneynesses[i], expiry, isCall);
      prices.add(BlackFormulaRepository.price(forward, strike, expiry, impliedVol, isCall));
      strikes.add(forward * moneynesses[i]);
    } catch (final Exception e) {
    }
  }
  return _interpolator.getDataBundleFromSortedArrays(strikes.toDoubleArray(), prices.toDoubleArray());
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
/**
 * Constructor from the model parameters.
 * @param meanReversion The mean reversion speed (2) parameters.
 * @param volatility The volatility parameters. There are two volatility list, one for each factor.
 * @param volatilityTime The times separating the constant volatility periods.
 * @param correlation The model correlation.
 */
public G2ppPiecewiseConstantParameters(final double[] meanReversion, final double[][] volatility, final double[] volatilityTime, final double correlation) {
  ArgumentChecker.notNull(meanReversion, "mean reversion");
  ArgumentChecker.notNull(volatility, "volatility");
  ArgumentChecker.notNull(volatilityTime, "volatility time");
  ArgumentChecker.isTrue(meanReversion.length == 2, "Two mean reversions required");
  ArgumentChecker.isTrue(volatility.length == 2, "Two volatility arrays required");
  ArgumentChecker.isTrue(volatility[0].length == volatility[1].length, "Volatility length");
  ArgumentChecker.isTrue(volatility[0].length == volatilityTime.length + 1, "Number of times incorrect; had {}, need {}", volatilityTime.length + 1, volatility[0].length);
  _meanReversion = meanReversion;
  _volatility[0] = new DoubleArrayList(volatility[0]);
  _volatility[1] = new DoubleArrayList(volatility[1]);
  final double[] volatilityTimeArray = new double[volatilityTime.length + 2];
  volatilityTimeArray[0] = 0.0;
  volatilityTimeArray[volatilityTime.length + 1] = VOLATILITY_TIME_INFINITY;
  System.arraycopy(volatilityTime, 0, volatilityTimeArray, 1, volatilityTime.length);
  _volatilityTime = new DoubleArrayList(volatilityTimeArray);
  // TODO: check that the time are increasing.
  _correlation = correlation;
}
 

import it.unimi.dsi.fastutil.doubles.DoubleArrayList; //导入依赖的package包/类
@Override
public VaRCalculationResult evaluate(final EmpiricalDistributionVaRParameters parameters, final DoubleTimeSeries<?>... data) {
  ArgumentChecker.notNull(parameters, "parameters");
  ArgumentChecker.notNull(data, "data");
  final double var = _varCalculator.evaluate(parameters, data).getVaRValue();
  final DoubleArrayList excesses = new DoubleArrayList();
  for (final double portfolioReturn : data[0].valuesArrayFast()) {
    if (portfolioReturn < -var) {
      excesses.add(portfolioReturn);
    }
  }
  if (excesses.isEmpty()) {
    return new VaRCalculationResult(var, null);
  }
  return new VaRCalculationResult(-_meanCalculator.evaluate(excesses.toDoubleArray()), null);
}