final double[][] sensitivity = new double[nbCcy][nbNodePoint];
for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
yieldBumped[loopnode] += _shift;
final PriceIndexCurve dscBumped = new PriceIndexCurve(new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withPriceIndex(index, 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(index);
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
}
}
// 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++) {
sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;