Examples of com.opengamma.analytics.financial.interestrate.ParRateCurveSensitivityCalculator

com.opengamma.analytics.financial.interestrate.ParRateCurveSensitivityCalculator

For an instrument, this calculates the sensitivity of the par rate (the exact meaning of par rate depends on the instrument - for swaps it is the par swap rate) to points on the yield curve(s) (i.e. dPar/dR at every point the instrument has sensitivity). The return format is a map with curve names (String) as keys and List of DoublesPair as the values; each list holds set of time (corresponding to point of the yield curve) and sensitivity pairs (i.e. dPar/dR at that time). Note: The length of the list is instrument dependent and may have repeated times (with the understanding the sensitivities should be summed). @deprecated Use the calculators that reference {@link ParameterProviderInterface}

    final double swapRate = parRateCal.visitFixedCouponSwap(cmsCoupon.getUnderlyingSwap(), curves);
    final String fundingCurveName = cmsCoupon.getFundingCurveName();
    final YieldAndDiscountCurve fundingCurve = curves.getCurve(fundingCurveName);
    final double paymentTime = cmsCoupon.getPaymentTime();
    final double paymentDiscountFactor = fundingCurve.getDiscountFactor(paymentTime);
    final ParRateCurveSensitivityCalculator parRateSensCal = ParRateCurveSensitivityCalculator.getInstance();
    final InterestRateCurveSensitivity swapRateSens = new InterestRateCurveSensitivity(cmsCoupon.getUnderlyingSwap().accept(parRateSensCal, curves));
    final InterestRateCurveSensitivity payDFSens = new InterestRateCurveSensitivity(PresentValueCurveSensitivityCalculator.discountFactorSensitivity(fundingCurveName, fundingCurve, paymentTime));
    InterestRateCurveSensitivity result = swapRateSens.multipliedBy(paymentDiscountFactor);
    result = result.plus(payDFSens.multipliedBy(swapRate));
    result = result.multipliedBy(cmsCoupon.getNotional() * cmsCoupon.getPaymentYearFraction());

Examples of com.opengamma.analytics.financial.interestrate.ParRateCurveSensitivityCalculator

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