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 MulticurveForwardPointsProviderDiscount marketDscBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withDiscountFactor(ccy,
dscBumpedPlus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
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 MulticurveForwardPointsProviderDiscount marketDscBumpedMinus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withDiscountFactor(ccy,
dscBumpedMinus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
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 = multicurveFwdpoints.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 = multicurveFwdpoints.getMulticurveProvider().getIndexesON();
for (final IndexON index : indexON) {
final YieldAndDiscountCurve curve = multicurveFwdpoints.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 MulticurveForwardPointsProviderDiscount marketFwdBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedPlus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
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 MulticurveForwardPointsProviderDiscount marketFwdBumpedMinus = new MulticurveForwardPointsProviderDiscount(
multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedMinus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
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 = multicurveFwdpoints.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 = multicurveFwdpoints.getMulticurveProvider().getIndexesIbor();
for (final IborIndex index : indexForward) {
final YieldAndDiscountCurve curve = multicurveFwdpoints.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 MulticurveForwardPointsProviderDiscount marketFwdBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedPlus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
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 MulticurveForwardPointsProviderDiscount marketFwdBumpedMinus = new MulticurveForwardPointsProviderDiscount(
multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedMinus),
multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {