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

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

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    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final MulticurveProviderInterface multicurves = issuerMulticurves.getMulticurveProvider();
    final Currency ccy = bond.getCurrency();
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final MultipleCurrencyAmount pv = presentValue(bond, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity sensiPv = presentValueCurveSensitivity(bond, issuerMulticurves);
    final double df = multicurves.getDiscountFactor(ccy, bond.getSettlementTime());
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(pv.getAmount(ccy) / notional);
    result = result.plus(sensiPv.getSensitivity(ccy).multipliedBy(1 / (df * notional)));
    return result;
  }
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, bond.getCurrency(), bond.getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getNominal().accept(PVCSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getCoupon().accept(PVCSDC, multicurvesDecorated);
    return pvcsNominal.plus(pvcsCoupon);
  }
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   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final HullWhiteIssuerProviderInterface data) {
    Validate.notNull(future, "Future");
    final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, data);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(future.getCurrency(), priceSensitivity.multipliedBy(future.getNotional()));
    return transactionSensitivity;
  }
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   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuturesTransaction futures, final IssuerProviderInterface issuerMulticurves) {
    Currency ccy = futures.getUnderlyingFuture().getCurrency();
    final MulticurveSensitivity priceSensitivity = METHOD_FUTURES_SEC.priceCurveSensitivity(futures.getUnderlyingFuture(), issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(ccy,
        priceSensitivity.multipliedBy(futures.getUnderlyingFuture().getNotional() * futures.getQuantity()));
    return transactionSensitivity;
  }
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueSensitivity(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyMulticurveSensitivity pvcsSettlement = settlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider());
    return pvcsNominal.plus(pvcsCoupon).multipliedBy(bond.getQuantity()).plus(pvcsSettlement);
  }
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  public MultipleCurrencyMulticurveSensitivity presentValueSensitivity(final BondIborTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyMulticurveSensitivity pvcsNominal = bond.getBondTransaction().getNominal().accept(PVSDC, multicurvesDecorated);
    final MultipleCurrencyMulticurveSensitivity pvcsCoupon = bond.getBondTransaction().getCoupon().accept(PVSDC, multicurvesDecorated);
    final double settlementAmount = bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional(); //FIXME: add accrued.
    LOGGER.error("The FRN settlement amount does not include the accrued interests.");
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyMulticurveSensitivity pvcsSettlement = settlement.accept(PVSDC, issuerMulticurves.getMulticurveProvider());
    return pvcsNominal.plus(pvcsCoupon).multipliedBy(bond.getQuantity()).plus(pvcsSettlement);
  }
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  // -----     Annuity     ------

  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyMulticurveSensitivity pvcs = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pvcs = pvcs.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return pvcs;
  }
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  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurve) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(multicurve, "multicurve");
    MultipleCurrencyMulticurveSensitivity cs = annuity.getNthPayment(0).accept(this, multicurve);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(annuity.getNthPayment(loopp).accept(this, multicurve));
    }
    return cs;
  }
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  // -----     Swap     ------

  @Override
  public MultipleCurrencyMulticurveSensitivity visitSwap(final Swap<?, ?> swap, final MulticurveProviderInterface multicurve) {
    final MultipleCurrencyMulticurveSensitivity sensitivity1 = swap.getFirstLeg().accept(this, multicurve);
    final MultipleCurrencyMulticurveSensitivity sensitivity2 = swap.getSecondLeg().accept(this, multicurve);
    return sensitivity1.plus(sensitivity2);
  }
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  // -----     Annuity     ------

  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyMulticurveSensitivity cs = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return cs;
  }
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