Package com.opengamma.analytics.financial.forex.method

Examples of com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity

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   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final Set<String> fixedCurves, final YieldCurveBundle bundle) {
    ArgumentChecker.notNull(instrument, "null InterestRateDerivative");
    ArgumentChecker.notNull(fixedCurves, "null set of fixed curves.");
    ArgumentChecker.notNull(bundle, "null bundle");
    final MultipleCurrencyInterestRateCurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, bundle);
    return pointToParameterSensitivity(sensitivity, fixedCurves, bundle);
  }
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  @Override
  public InterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.notNull(swap, "Swap");
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyInterestRateCurveSensitivity pvcsmc = swap.accept(PVCSMCC, curves);
    final InterestRateCurveSensitivity pvcs = pvcsmc.converted(ccy1, curves.getFxRates()).getSensitivity(ccy1);
    final InterestRateCurveSensitivity pvbpcs = swap.getFirstLeg().accept(PVBPCSC, curves);
    final double pvbp = swap.getFirstLeg().accept(PVBPC, curves);
    final double pv = curves.getFxRates().convert(swap.accept(PVMCC, curves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs.multipliedBy(-1.0 / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp)));
 
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  @Override
  public InterestRateCurveSensitivity visit(final InstrumentDerivative derivative, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(derivative, "derivative");
    final MultipleCurrencyInterestRateCurveSensitivity pvcsMulti = derivative.accept(_pvcsCalculator, curves);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    for (final Currency ccy : pvcsMulti.getCurrencies()) {
      final InterestRateCurveSensitivity pvcs = pvcsMulti.getSensitivity(ccy);
      for (final String curve : pvcs.getCurves()) {
        if (curves.getCurrencyMap().get(curve).equals(ccy)) { // Identical currencies: no changes
          result = result.plus(curve, pvcs.getSensitivities().get(curve));
        } else { // Different currencies: exchange rate multiplication.
          final double fxRate = curves.getFxRates().getFxRate(curves.getCurrencyMap().get(curve), ccy);
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  // -----     Annuity     ------

  @Override
  public MultipleCurrencyInterestRateCurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle data) {
    MultipleCurrencyInterestRateCurveSensitivity sensi = new MultipleCurrencyInterestRateCurveSensitivity();
    for (final Payment p : annuity.getPayments()) {
      sensi = sensi.plus(p.accept(this, data));
    }
    return sensi;
  }
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  // -----     Swap     ------

  @Override
  public MultipleCurrencyInterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    final MultipleCurrencyInterestRateCurveSensitivity sensi1 = swap.getFirstLeg().accept(this, curves);
    final MultipleCurrencyInterestRateCurveSensitivity sensi2 = swap.getSecondLeg().accept(this, curves);
    return sensi1.plus(sensi2);
  }
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  @Override
  public InterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.notNull(swap, "Swap");
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyInterestRateCurveSensitivity pvcsmc = swap.accept(PVCSMCC, curves);
    final InterestRateCurveSensitivity pvcs = pvcsmc.converted(ccy1, curves.getFxRates()).getSensitivity(ccy1);
    final InterestRateCurveSensitivity pvbpcs = swap.getFirstLeg().accept(PVBPCSC, curves);
    final double pvbp = swap.getFirstLeg().accept(PVBPC, curves);
    final double pv = curves.getFxRates().convert(swap.accept(PVMCC, curves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs.multipliedBy(-1.0 / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp)));
 
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    @Override
    public MultipleCurrencyInterestRateCurveSensitivity buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final List<FudgeField> currencyNameFields = message.getAllByName(CURRENCY_FIELD_NAME);
      final List<FudgeField> sensitivitiesFields = message.getAllByName(SENSITIVITIES_FIELD_NAME);
      MultipleCurrencyInterestRateCurveSensitivity result = null;
      for (int i = 0; i < currencyNameFields.size(); i++) {
        final Currency ccy = deserializer.fieldValueToObject(Currency.class, currencyNameFields.get(i));
        final InterestRateCurveSensitivity sensitivity = deserializer.fieldValueToObject(InterestRateCurveSensitivity.class, sensitivitiesFields.get(i));
        if (result == null) {
          result = MultipleCurrencyInterestRateCurveSensitivity.of(ccy, sensitivity);
        } else {
          result = result.plus(ccy, sensitivity);
        }
      }
      return result;
    }
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      throw new OpenGammaRuntimeException("Could not get base/quote pair for currency pair (" + putCurrency + ", " + callCurrency + ")");
    }
    final String callCurrencyCurve = desiredValue.getConstraint(FXOptionBlackFunction.CALL_CURVE);
    final String resultCurrency = getResultCurrency(target, baseQuotePair);
    final String fullCurveName = callCurrencyCurve + "_" + callCurrency.getCode();
    final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
    final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(Currency.of(resultCurrency)).getSensitivities();
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_RHO, target.toSpecification(), getResultProperties(target, desiredValue, baseQuotePair).get());
    final double rho = sensitivitiesForCurrency.get(fullCurveName).get(0).second;
    return Collections.singleton(new ComputedValue(spec, rho));
  }
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  private static final PresentValueCurveSensitivityBlackSmileForexCalculator SMILE_CALCULATOR = PresentValueCurveSensitivityBlackSmileForexCalculator.getInstance();
  private static final PresentValueCurveSensitivityBlackTermStructureForexCalculator FLAT_CALCULATOR = PresentValueCurveSensitivityBlackTermStructureForexCalculator.getInstance();

  @Override
  protected Object computeValues(final Set<ForexOptionVanilla> vanillaOptions, final ForexOptionDataBundle<?> market) {
    final MultipleCurrencyInterestRateCurveSensitivity sum = new MultipleCurrencyInterestRateCurveSensitivity();
    final boolean isVolFlat = market instanceof YieldCurveWithBlackForexTermStructureBundle;
    for (final ForexOptionVanilla derivative : vanillaOptions) {
      if (isVolFlat) {
        final MultipleCurrencyInterestRateCurveSensitivity result = derivative.accept(FLAT_CALCULATOR, market);
        ArgumentChecker.isTrue(result.getCurrencies().size() == 1, "Only one currency");
        sum.plus(result);
      }
      final MultipleCurrencyInterestRateCurveSensitivity result = derivative.accept(SMILE_CALCULATOR, market);
      ArgumentChecker.isTrue(result.getCurrencies().size() == 1, "Only one currency");
      sum.plus(result);
    }
    return sum;
  }
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    final Object curveSensitivitiesObject = inputs.getValue(ValueRequirementNames.FX_CURVE_SENSITIVITIES);
    if (curveSensitivitiesObject == null) {
      throw new OpenGammaRuntimeException("Could not get curve sensitivities");
    }
    final String fullCurveName = curveName + "_" + currency;
    final MultipleCurrencyInterestRateCurveSensitivity curveSensitivities = (MultipleCurrencyInterestRateCurveSensitivity) curveSensitivitiesObject;
    final Currency resultCurrency = Iterables.getOnlyElement(curveSensitivities.getCurrencies());
    final Map<String, List<DoublesPair>> sensitivitiesForCurrency = curveSensitivities.getSensitivity(resultCurrency).getSensitivities();
    final Map<String, Double> pv01 = forex.accept(CALCULATOR, sensitivitiesForCurrency);
    if (!pv01.containsKey(fullCurveName)) {
      throw new OpenGammaRuntimeException("Could not get PV01 for " + fullCurveName);
    }
    return Collections.singleton(new ComputedValue(spec, pv01.get(fullCurveName)));
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