Package com.opengamma.analytics.financial.provider.sensitivity.inflation

Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity

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   */
  public void presentValueCurveSensitivity() {

    final InflationProviderInterface creditDiscounting = MARKET.withDiscountFactor(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency(),
        new ObjectsPair<>(BOND_TIPS_1_TRANSACTION.getBondTransaction().getIssuer(), BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_TIPS_1_TRANSACTION.getBondTransaction().getNominal().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon);

    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD_BOND_SECURITY.presentValueCurveSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction(), MARKET);

    AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueCurveSensitivity ", pvcisCalculated, pvcisMethod, TOLERANCE_PV_DELTA);

  }
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  //-----     Coupon fix    ------

  @Override
  public MultipleCurrencyInflationSensitivity visitCouponFixed(final CouponFixed coupon, final InflationProviderInterface inflation) {
    MultipleCurrencyMulticurveSensitivity multipleCurrencyMulticurveSensitivity = METHOD_CPN_FIXED.presentValueCurveSensitivity(coupon, inflation.getMulticurveProvider());
    MultipleCurrencyInflationSensitivity multipleCurrencyInflationSensitivity = new MultipleCurrencyInflationSensitivity();
    for (final Currency loopccy : multipleCurrencyMulticurveSensitivity.getCurrencies()) {
      Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
      multipleCurrencyInflationSensitivity.plus(loopccy, InflationSensitivity.of(multipleCurrencyMulticurveSensitivity.getSensitivity(loopccy), sensitivityPriceCurve));
    }
    return multipleCurrencyInflationSensitivity;
  }
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  }

  @Override
  public MultipleCurrencyInflationSensitivity visitCouponFixedCompounding(final CouponFixedCompounding coupon, final InflationProviderInterface inflation) {
    MultipleCurrencyMulticurveSensitivity multipleCurrencyMulticurveSensitivity = METHOD_CPN_FIXED_COMPOUNDING.presentValueCurveSensitivity(coupon, inflation.getMulticurveProvider());
    MultipleCurrencyInflationSensitivity multipleCurrencyInflationSensitivity = new MultipleCurrencyInflationSensitivity();
    for (final Currency loopccy : multipleCurrencyMulticurveSensitivity.getCurrencies()) {
      Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
      multipleCurrencyInflationSensitivity.plus(loopccy, InflationSensitivity.of(multipleCurrencyMulticurveSensitivity.getSensitivity(loopccy), sensitivityPriceCurve));
    }
    return multipleCurrencyInflationSensitivity;
  }
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  @Override
  public MultipleCurrencyInflationSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final InflationProviderInterface inflation) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(inflation, "inflation");
    MultipleCurrencyInflationSensitivity cs = annuity.getNthPayment(0).accept(this, inflation);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(annuity.getNthPayment(loopp).accept(this, inflation));
    }
    return cs;
  }
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  // -----     Swap     ------

  @Override
  public MultipleCurrencyInflationSensitivity visitSwap(final Swap<?, ?> swap, final InflationProviderInterface inflation) {
    final MultipleCurrencyInflationSensitivity sensitivity1 = swap.getFirstLeg().accept(this, inflation);
    final MultipleCurrencyInflationSensitivity sensitivity2 = swap.getSecondLeg().accept(this, inflation);
    return sensitivity1.plus(sensitivity2);
  }
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   */
  public void presentValueCurveSensitivity() {

    final InflationProviderInterface creditDiscounting = MARKET.withDiscountFactor(BOND_SECURITY_GILT_1.getCurrency(),
        new ObjectsPair<>(BOND_SECURITY_GILT_1.getIssuer(), BOND_SECURITY_GILT_1.getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon);

    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD_BOND_INFLATION.presentValueCurveSensitivity(BOND_SECURITY_GILT_1, MARKET);

    AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueCurveSensitivity ", pvcisCalculated, pvcisMethod, TOLERANCE_PV_DELTA);

  }
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   * @return The present value.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final BondCapitalIndexedSecurity<?> bond, final InflationIssuerProviderInterface provider) {
    ArgumentChecker.notNull(bond, "Bond");
    final InflationProviderInterface creditDiscounting = provider.withDiscountFactor(bond.getCurrency(), new ObjectsPair<>(bond.getIssuer(), bond.getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = bond.getNominal().accept(PVCSIC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = bond.getCoupon().accept(PVCSIC, creditDiscounting);
    return sensitivityNominal.plus(sensitivityCoupon);
  }
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   * @param bond The bond transaction.
   * @param provider The provider.
   * @return The present value.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final BondCapitalIndexedTransaction<?> bond, final InflationIssuerProviderInterface provider) {
    final MultipleCurrencyInflationSensitivity sensitivityBond = METHOD_SECURITY.presentValueCurveSensitivity(bond.getBondTransaction(), provider);
    final MultipleCurrencyInflationSensitivity sensitivitySettlement = bond.getBondTransaction().getSettlement().accept(PVCSIC, provider.getInflationProvider()).multipliedBy(
        bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
    return sensitivityBond.multipliedBy(bond.getQuantity()).plus(sensitivitySettlement);
  }
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   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final DATA_TYPE parameterMulticurves, final Set<String> curvesSet) {
    ArgumentChecker.notNull(instrument, "derivative");
    ArgumentChecker.notNull(parameterMulticurves, "Black data");
    ArgumentChecker.notNull(curvesSet, "curves");
    MultipleCurrencyInflationSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, parameterMulticurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, parameterMulticurves, curvesSet);
  }
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    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
  }

  @Test
  public void presentValueMarketSensitivityMethodVsCalculatorNoNotional() {
    final MultipleCurrencyInflationSensitivity pvcisMethod = METHOD.presentValueCurveSensitivity(YEAR_ON_YEAR_NO, MARKET.getInflationProvider());
    final MultipleCurrencyInflationSensitivity pvcisCalculator = YEAR_ON_YEAR_NO.accept(PVCSDC, MARKET.getInflationProvider());
    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueMarketSensitivity", pvcisMethod, pvcisCalculator, TOLERANCE_PV_DELTA);
  }
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Related Classes of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity

  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.provider.BondCapitalIndexedTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationyearOnYearInterpolationBlackNormalSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationYearOnYearMonthlyBlackNormalSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponMonthlyBlackSmileMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationWithMarginDiscountingMethodTest
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