Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.YieldAndDiscountCurve

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    ArgumentChecker.notNull(fra, "FRA");
    ArgumentChecker.notNull(data, "data");
    if (fra.getNotional() > 0) {
      return Collections.emptyList();
    }
    final YieldAndDiscountCurve forwardCurve = data.getCurve(fra.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(fra.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(fra.getFixingPeriodEndTime()) - 1) / fra.getFixingYearFraction();
    final double amount = -fra.getPaymentYearFraction() * fra.getNotional() * forward / (1 + fra.getPaymentYearFraction() * forward);
    return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(fra.getCurrency(), amount)));
  }
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      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = black.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketDscBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketDscBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedPlus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSTIRFuturesSmileProviderDiscount marketFwdBumpedMinus = new BlackSTIRFuturesSmileProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters(), black.getFuturesIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
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    }

    // Discounting
    final Set<Currency> ccyDiscounting = black.getInflationProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withDiscountFactor(ccy, dscBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getInflationProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getInflationProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
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  public CurrencyAmount presentValue(final CouponCMS cmsCoupon, final YieldCurveBundle curves) {
    Validate.notNull(cmsCoupon);
    Validate.notNull(curves);
    final ParRateCalculator parRate = ParRateCalculator.getInstance();
    final double swapRate = parRate.visitFixedCouponSwap(cmsCoupon.getUnderlyingSwap(), curves);
    final YieldAndDiscountCurve fundingCurve = curves.getCurve(cmsCoupon.getFundingCurveName());
    final double paymentDiscountFactor = fundingCurve.getDiscountFactor(cmsCoupon.getPaymentTime());
    final double pv = swapRate * cmsCoupon.getPaymentYearFraction() * cmsCoupon.getNotional() * paymentDiscountFactor;
    return CurrencyAmount.of(cmsCoupon.getCurrency(), pv);
  }
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    Validate.notNull(cmsCoupon);
    Validate.notNull(curves);
    final ParRateCalculator parRateCal = ParRateCalculator.getInstance();
    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));
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  @Override
  public double[] parameterSensitivity(final String name, final List<DoublesPair> pointSensitivity) {
    final Object curveObject = _allCurves.get(name);
    ArgumentChecker.isTrue(curveObject instanceof YieldAndDiscountCurve, "Curve not a YieldAndDiscountCurve, can not compute sensitivity");
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final int nbParameters = curve.getNumberOfParameters();
    final double[] result = new double[nbParameters];
    if (pointSensitivity != null && pointSensitivity.size() > 0) {
      for (final DoublesPair timeAndS : pointSensitivity) {
        final double[] sensi1Point = curve.getInterestRateParameterSensitivity(timeAndS.getFirst());
        for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
          result[loopparam] += timeAndS.getSecond() * sensi1Point[loopparam];
        }
      }
    }
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  @Override
  public double[] parameterForwardSensitivity(final String name, final List<ForwardSensitivity> pointSensitivity) {
    final Object curveObject = _allCurves.get(name);
    if (curveObject instanceof YieldAndDiscountCurve) {
      final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
      final int nbParameters = curve.getNumberOfParameters();
      final double[] result = new double[nbParameters];
      if (pointSensitivity != null && pointSensitivity.size() > 0) {
        for (final ForwardSensitivity timeAndS : pointSensitivity) {
          final double startTime = timeAndS.getStartTime();
          final double endTime = timeAndS.getEndTime();
          final double accrualFactor = timeAndS.getAccrualFactor();
          final double forwardBar = timeAndS.getValue();
          // Implementation note: only the sensitivity to the forward is available. The sensitivity to the pseudo-discount factors need to be computed.
          final double dfForwardStart = curve.getDiscountFactor(startTime);
          final double dfForwardEnd = curve.getDiscountFactor(endTime);
          final double dFwddyStart = -startTime * dfForwardStart / (dfForwardEnd * accrualFactor);
          final double dFwddyEnd = endTime * dfForwardStart / (dfForwardEnd * accrualFactor);
          final double[] sensiPtStart = curve.getInterestRateParameterSensitivity(startTime);
          final double[] sensiPtEnd = curve.getInterestRateParameterSensitivity(endTime);
          for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
            result[loopparam] += dFwddyStart * sensiPtStart[loopparam] * forwardBar;
            result[loopparam] += dFwddyEnd * sensiPtEnd[loopparam] * forwardBar;
          }
        }
      }
      return result;
    }
    ArgumentChecker.isTrue(curveObject instanceof DoublesCurve, "Curve not a DoublesCurve, can not computed sensitivity");
    final DoublesCurve curve = (DoublesCurve) curveObject;
    final int nbParameters = curve.size();
    final double[] result = new double[nbParameters];
    if (pointSensitivity != null && pointSensitivity.size() > 0) {
      for (final ForwardSensitivity timeAndS : pointSensitivity) {
        final Double[] sensiPtStart = curve.getYValueParameterSensitivity(timeAndS.getStartTime());
        // Implementation note: the forward rate are indexed by the start date.
        for (int loopparam = 0; loopparam < nbParameters; loopparam++) {
          result[loopparam] += timeAndS.getValue() * sensiPtStart[loopparam];
        }
      }
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   */
  public double price(final BondFuture future, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData, final int nbPoint) {
    Validate.notNull(future, "Future");
    Validate.notNull(hwData, "Hull-White data bundle");
    final int nbBond = future.getDeliveryBasket().length;
    final YieldAndDiscountCurve bndCurve = hwData.getCurve(future.getDeliveryBasket()[0].getDiscountingCurveName());
    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = bndCurve.getDiscountFactor(delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = future.getDeliveryBasket()[loopbnd].accept(CFEC, hwData);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = bndCurve.getDiscountFactor(cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(hwData.getHullWhiteParameter(), expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount()
            / future.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
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   */
  public InterestRateCurveSensitivity priceCurveSensitivity(final BondFuture future, final HullWhiteOneFactorPiecewiseConstantDataBundle hwData, final int nbPoint) {
    Validate.notNull(future, "Future");
    Validate.notNull(hwData, "Hull-White data bundle");
    final int nbBond = future.getDeliveryBasket().length;
    final YieldAndDiscountCurve bndCurve = hwData.getCurve(future.getDeliveryBasket()[0].getDiscountingCurveName());
    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = bndCurve.getDiscountFactor(delivery);
    // Constructing non-homogeneous point series for the numerical estimations.
    final int nbPtWing = ((int) Math.floor(nbPoint / 20.)); // Number of point on each wing.
    final int nbPtCenter = nbPoint - 2 * nbPtWing;
    final double prob = 1.0 / (2.0 * nbPtCenter);
    final double xStart = NORMAL.getInverseCDF(prob);
    final double[] x = new double[nbPoint];
    for (int loopwing = 0; loopwing < nbPtWing; loopwing++) {
      x[loopwing] = xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
      x[nbPoint - 1 - loopwing] = -xStart * (1.0 + (nbPtWing - loopwing) / 2.0);
    }
    for (int loopcent = 0; loopcent < nbPtCenter; loopcent++) {
      x[nbPtWing + loopcent] = xStart + loopcent * (-2.0 * xStart) / (nbPtCenter - 1);
    }
    // Figures for each bond
    final double[][] cfTime = new double[nbBond][];
    final double[][] df = new double[nbBond][];
    final double[][] alpha = new double[nbBond][];
    final double[][] beta = new double[nbBond][];
    final double[][] cfaAdjusted = new double[nbBond][];
    final double[] e = new double[nbBond];
    final double[][] pv = new double[nbPoint][nbBond];
    final AnnuityPaymentFixed[] cf = new AnnuityPaymentFixed[nbBond];
    for (int loopbnd = 0; loopbnd < nbBond; loopbnd++) {
      cf[loopbnd] = future.getDeliveryBasket()[loopbnd].accept(CFEC, hwData);
      final int nbCf = cf[loopbnd].getNumberOfPayments();
      cfTime[loopbnd] = new double[nbCf];
      df[loopbnd] = new double[nbCf];
      alpha[loopbnd] = new double[nbCf];
      beta[loopbnd] = new double[nbCf];
      cfaAdjusted[loopbnd] = new double[nbCf];
      for (int loopcf = 0; loopcf < nbCf; loopcf++) {
        cfTime[loopbnd][loopcf] = cf[loopbnd].getNthPayment(loopcf).getPaymentTime();
        df[loopbnd][loopcf] = bndCurve.getDiscountFactor(cfTime[loopbnd][loopcf]);
        alpha[loopbnd][loopcf] = MODEL.alpha(hwData.getHullWhiteParameter(), 0.0, expiry, delivery, cfTime[loopbnd][loopcf]);
        beta[loopbnd][loopcf] = MODEL.futuresConvexityFactor(hwData.getHullWhiteParameter(), expiry, cfTime[loopbnd][loopcf], delivery);
        cfaAdjusted[loopbnd][loopcf] = df[loopbnd][loopcf] / dfdelivery * beta[loopbnd][loopcf] * cf[loopbnd].getNthPayment(loopcf).getAmount()
            / future.getConversionFactor()[loopbnd];
        for (int looppt = 0; looppt < nbPoint; looppt++) {
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    ArgumentChecker.notNull(coupon, "coupon");
    ArgumentChecker.notNull(data, "data");
    if (coupon.getNotional() < 0) {
      return Collections.emptyList();
    }
    final YieldAndDiscountCurve forwardCurve = data.getCurve(coupon.getForwardCurveName());
    final double forward = (forwardCurve.getDiscountFactor(coupon.getFixingPeriodStartTime()) / forwardCurve.getDiscountFactor(coupon.getFixingPeriodEndTime()) - 1) / coupon.getFixingAccrualFactor();
    final double amount = coupon.getNotional() * coupon.getPaymentYearFraction() * forward;
    return Collections.singletonList(MultipleCurrencyAmount.of(CurrencyAmount.of(coupon.getCurrency(), amount)));
  }
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