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

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity

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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
      listForward.add(new ForwardSensitivity(coupon.getFixingSubperiodsStartTimes()[loopsub], coupon.getFixingSubperiodsEndTimes()[loopsub], coupon.getFixingSubperiodsAccrualFactors()[loopsub],
          forwardBar[loopsub]));
    }
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
  }
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    ArgumentChecker.notNull(black, "Black provider");
    final MulticurveProviderInterface multicurve = black.getMulticurveProvider();
    final double forward = multicurve.getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double df = multicurve.getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final MulticurveSensitivity forwardDr = MulticurveSensitivity.ofForward(multicurve.getName(cap.getIndex()),
        new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), 1.0));
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackShiftParameters().getVolatility(cap.getFixingTime(), cap.getStrike());
    final double shift = black.getBlackShiftParameters().getShift(cap.getFixingTime());
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike() + shift, cap.getFixingTime(), cap.isCap());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward + shift, 1.0, volatility);
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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTimes()[i], coupon.getFixingPeriodEndTimes()[i], coupon.getFixingPeriodAccrualFactorsActAct()[i], forwardBar[i]));
    }
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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    final double forwardBar = af * dfRatio * betaBar;

    final Map<Double, MulticurveSensitivity> result = new HashMap<>();
    final Map<String, List<ForwardSensitivity>> resultFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fixingStartTime, fixingEndTime, af, forwardBar));
    resultFwd.put(multicurves.getName(payment.getIndex()), listForward);

    final Map<String, List<DoublesPair>> resultDsc = new HashMap<>();
    final List<DoublesPair> listDisc = new ArrayList<>();
    final DoublesPair discStart = new DoublesPair(fixingStartTime, beta * fixingStartTime * betaBar);
 
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    final double forwardBar = af * dfRatio * betaBar;

    final Map<Double, MulticurveSensitivity> result = new HashMap<>();
    final Map<String, List<ForwardSensitivity>> resultFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fixingStartTime, fixingEndTime, af, forwardBar));
    resultFwd.put(multicurves.getName(payment.getIndex()), listForward);

    final Map<String, List<DoublesPair>> resultDsc = new HashMap<>();
    final List<DoublesPair> listDisc = new ArrayList<>();
    final DoublesPair discStart = new DoublesPair(fixingStartTime, beta * fixingStartTime * betaBar);
 
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    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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    listDiscounting.add(new DoublesPair(cap.getPaymentTime(), -cap.getPaymentTime() * dfPay * dfPayBar));
    mapDsc.put(multicurves.getName(ccy), listDiscounting);

    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), forwardBar));
    mapFwd.put(multicurves.getName(cap.getIndex()), listForward);

    return MultipleCurrencyMulticurveSensitivity.of(ccy, MulticurveSensitivity.of(mapDsc, mapFwd));
  }
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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward1 = new ArrayList<>();
    final List<ForwardSensitivity> listForward2 = new ArrayList<>();
    listForward1.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime1(), coupon.getFixingPeriodEndTime1(), coupon.getFixingAccrualFactor1(), forward1Bar));
    mapFwd.put(multicurve.getName(coupon.getIndex1()), listForward1);
    listForward2.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime2(), coupon.getFixingPeriodEndTime2(), coupon.getFixingAccrualFactor2(), forward2Bar));
    mapFwd.put(multicurve.getName(coupon.getIndex2()), listForward2);
    return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
  }
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    final MulticurveProviderInterface multicurve = sabr.getMulticurveProvider();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), cap.getFixingTime(), cap.isCap());
    final double forward = multicurve.getForwardRate(cap.getIndex(), cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor());
    final double df = multicurve.getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final MulticurveSensitivity forwardDr = MulticurveSensitivity.ofForward(sabr.getMulticurveProvider().getName(cap.getIndex()),
        new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), 1.0));
    final double dfDr = -cap.getPaymentTime() * df;
    final double maturity = cap.getFixingPeriodEndTime() - cap.getFixingPeriodStartTime();
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
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    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(coupon.getFixingPeriodStartTime(), coupon.getFixingPeriodEndTime(), coupon.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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