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

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

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    ArgumentChecker.notNull(multicurve, "Multi-curves");
    // Backward sweep.
    final double forwardBar = 1.0;
    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.ofForward(mapFwd));
    return result;
  }
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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
    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.getFixingPeriodStartTimes()[loopsub], coupon.getFixingPeriodEndTimes()[loopsub], coupon.getFixingPeriodAccrualFactors()[loopsub],
          forwardBar[loopsub]));
    }
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), 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> listForward = new ArrayList<>();
    for (int loopfwd = 0; loopfwd < nbFwd; loopfwd++) {
      listForward.add(new ForwardSensitivity(times[loopfwd], times[loopfwd + 1], delta[loopfwd], forwardONBar[loopfwd]));
    }
    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 List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurves.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.getFixingAccrualFactor(), forwardBar));
    mapFwd.put(multicurves.getName(coupon.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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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.getFixingAccrualFactor(), forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
  }
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    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), 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.getFixingAccrualFactor(), -2. * coupon.getPaymentTime() * forwardBar));
    mapFwd.put(multicurve.getName(coupon.getIndex()), listForward);
    return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
  }
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    ArgumentChecker.notNull(multicurve, "Multi-curves");
    // Backward sweep.
    final double forwardBar = 1.0;
    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.ofForward(mapFwd));
    return result;
  }
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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(times[0], times[nbFwd], delta, 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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    public ForwardSensitivity buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final double startTime = message.getDouble(START_TIME);
      final double endTime = message.getDouble(END_TIME);
      final double accrualFactor = message.getDouble(ACCRUAL_FACTOR);
      final double value = message.getDouble(VALUE);
      return new ForwardSensitivity(startTime, endTime, accrualFactor, value);
    }
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        final FudgeMsg perCurveMessage = (FudgeMsg) forwardCurveField.getValue();
        final String forwardCurveName = perCurveMessage.getString(FORWARD_CURVE_NAME);
        final List<FudgeField> valueFields = perCurveMessage.getAllByName(SENSITIVITY_TO_FORWARD_VALUE);
        final List<ForwardSensitivity> sensitivities = new ArrayList<>();
        for (int i = 0; i < valueFields.size(); i++) {
          final ForwardSensitivity sensitivity = deserializer.fieldValueToObject(ForwardSensitivity.class, valueFields.get(i));
          sensitivities.add(sensitivity);
        }
        forwardCurveSensitivities.put(forwardCurveName, sensitivities);
      }
      return MulticurveSensitivity.of(yieldCurveSensitivities, forwardCurveSensitivities);
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