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

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

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    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(fra.getPaymentTime(), -fra.getPaymentTime() * df * dfBar));
    mapDsc.put(multicurve.getName(fra.getCurrency()), listDiscounting);
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), forwardBar));
    mapFwd.put(multicurve.getName(fra.getIndex()), listForward);
    final MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(fra.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }
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  public MulticurveSensitivity parSpreadCurveSensitivity(final ForwardRateAgreement fra, final MulticurveProviderInterface multicurve) {
    ArgumentChecker.notNull(fra, "FRA");
    ArgumentChecker.notNull(multicurve, "Multiurves");
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(fra.getFixingPeriodStartTime(), fra.getFixingPeriodEndTime(), fra.getFixingYearFraction(), 1.0));
    mapFwd.put(multicurve.getName(fra.getIndex()), listForward);
    return MulticurveSensitivity.ofForward(mapFwd);
  }
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    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = -futureConvexityFactor * priceBar;
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(futures.getFixingPeriodStartTime(), futures.getFixingPeriodEndTime(), futures.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(hwMulticurves.getMulticurveProvider().getName(futures.getIborIndex()), listForward);
    return MulticurveSensitivity.ofForward(mapFwd);
  }
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      ratesBar[loopfix] = futures.getFixingPeriodAccrualFactor()[loopfix] * interestBar;
    }
    final Map<String, List<ForwardSensitivity>> resultMap = new HashMap<>();
    final List<ForwardSensitivity> listON = new ArrayList<>();
    for (int loopfix = 0; loopfix < nbFixing; loopfix++) {
      listON.add(new ForwardSensitivity(futures.getFixingPeriodTime()[loopfix], futures.getFixingPeriodTime()[loopfix + 1], futures.getFixingPeriodAccrualFactor()[loopfix], ratesBar[loopfix]));
    }
    resultMap.put(multicurves.getName(index), listON);
    return MulticurveSensitivity.ofForward(resultMap);
  }
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    final MulticurveProviderInterface multicurve = black.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(multicurve.getName(cap.getIndex()),
        new ForwardSensitivity(cap.getFixingPeriodStartTime(), cap.getFixingPeriodEndTime(), cap.getFixingAccrualFactor(), 1.0));
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getFixingTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
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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 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(multicurve.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 double[] volatilityAdjoint = sabr.getSABRParameter().getVolatilityAdjoint(cap.getFixingTime(), maturity, cap.getStrike(), forward);
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
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      final double normalAlphaKappa = NORMAL.getCDF(kappa + alpha);
      forwardBar = gamma * normalAlphaKappa * priceBar;
    }
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(t1, t2, delta, forwardBar));
    mapFwd.put(hwMulticurves.getMulticurveProvider().getName(security.getUnderlyingFuture().getIborIndex()), listForward);
    return MulticurveSensitivity.ofForward(mapFwd);
  }
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    // Partials - XBar => d(price)/dX
    final double priceBar = 1.0;
    final double forwardBar = -priceBar;
    final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>();
    final List<ForwardSensitivity> listForward = new ArrayList<>();
    listForward.add(new ForwardSensitivity(futures.getFixingPeriodStartTime(), futures.getFixingPeriodEndTime(), futures.getFixingPeriodAccrualFactor(), forwardBar));
    mapFwd.put(multicurves.getMulticurveProvider().getName(futures.getIborIndex()), listForward);
    return MulticurveSensitivity.ofForward(mapFwd);
  }
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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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Related Classes of com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity

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  • com.opengamma.analytics.financial.interestrate.fra.provider.ForwardRateAgreementDiscountingProviderMethod
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  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecurityHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureSecurityHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborBlackSmileMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborBlackSmileShiftMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborHullWhiteMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborSABRCapExtrapolationRightMethod
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