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

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

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  /**
   * Test the present value parameter curves sensitivity.
   */
  public void presentValueParameterCurveSensitivity() {

    final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon(), MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());

    AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueParameterCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);

  }
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   * @param multicurves The multi-curves provider.
   * @return The scale sensitivity for each curve/currency.
   */
  @Override
  public ReferenceAmount<Pair<String, Currency>> visit(final InstrumentDerivative ird, final T multicurves) {
    final MultipleCurrencyParameterSensitivity sensi = _parameterSensitivityCalculator.calculateSensitivity(ird, multicurves, multicurves.getMulticurveProvider().getAllNames());
    final ReferenceAmount<Pair<String, Currency>> ref = new ReferenceAmount<>();
    for (final Pair<String, Currency> nameCcy : sensi.getAllNamesCurrency()) {
      final DoubleMatrix1D vector = sensi.getSensitivity(nameCcy);
      double total = 0.0;
      for (int loopv = 0; loopv < vector.getNumberOfElements(); loopv++) {
        total += vector.getEntry(loopv);
      }
      ref.add(nameCcy, total * BP1);
 
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   * @return The market quote sensitivity.
   */
  public MultipleCurrencyParameterSensitivity fromParameterSensitivity(final MultipleCurrencyParameterSensitivity parameterSensitivity, final CurveBuildingBlockBundle units) {
    ArgumentChecker.notNull(parameterSensitivity, "Sensitivity");
    ArgumentChecker.notNull(units, "Units");
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    for (final Pair<String, Currency> nameCcy : parameterSensitivity.getAllNamesCurrency()) {
      final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> oneCurveSensiMap = new LinkedHashMap<>();
      final Pair<CurveBuildingBlock, DoubleMatrix2D> unitPair = units.getBlock(nameCcy.getFirst());
      final double[] oneCurveSensiArray = ((DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity.getSensitivity(nameCcy), unitPair.getSecond())).getData();
      for (final String name2 : unitPair.getFirst().getAllNames()) {
        final int nbParameters = unitPair.getFirst().getNbParameters(name2);
        final int start = unitPair.getFirst().getStart(name2);
        final double[] sensiName2 = new double[nbParameters];
        System.arraycopy(oneCurveSensiArray, start, sensiName2, 0, nbParameters);
        oneCurveSensiMap.put(new ObjectsPair<>(name2, nameCcy.getSecond()), new DoubleMatrix1D(sensiName2));
      }
      final MultipleCurrencyParameterSensitivity sensiName = new MultipleCurrencyParameterSensitivity(oneCurveSensiMap);
      result = result.plus(sensiName);
    }
    return result;
  }
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   * @param provider The provider
   * @param units The curve building units data.
   * @return The market quote sensitivity.
   */
  public MultipleCurrencyParameterSensitivity fromInstrument(final InstrumentDerivative instrument, final DATA_TYPE provider, final CurveBuildingBlockBundle units) {
    final MultipleCurrencyParameterSensitivity parameterSensitivity = _parameterInflationSensitivityCalculator.calculateSensitivity(instrument, provider,
        provider.getAllNames());
    return fromParameterSensitivity(parameterSensitivity, units);
  }
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  /**
   * Test the present value parameter curves sensitivity.
   */
  public void presentValueParameterCurveSensitivity() {

    final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider());
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(BOND_SECURITY_GILT_1.getCoupon(), MARKET.getInflationProvider(), MARKET.getAllNames());

    AssertSensivityObjects.assertEquals("Bond capital indexed security: presentValueParameterCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);

  }
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          final Double[] oneCurveSensitivity = pointToParameterSensitivity(sensitivity.getSensitivity(ccy).getSensitivities().get(curveName), curve);
          result.put(new ObjectsPair<>(curveName, ccy), new DoubleMatrix1D(oneCurveSensitivity));
        }
      }
    }
    return new MultipleCurrencyParameterSensitivity(result);
  }
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  public MultipleCurrencyParameterSensitivity pointToParameterSensitivity(final MultipleCurrencyInterestRateCurveSensitivity sensitivity, final Set<String> fixedCurves,
      final YieldCurveBundle bundle) {
    ArgumentChecker.notNull(sensitivity, "Sensitivity");
    ArgumentChecker.notNull(fixedCurves, "Fixed Curves");
    ArgumentChecker.notNull(bundle, "Curve bundle");
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    for (final Currency ccy : sensitivity.getCurrencies()) {
      result = result.plus(pointToParameterSensitivity(ccy, sensitivity.getSensitivity(ccy), fixedCurves, bundle));
    }
    return result;
  }
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    }
    final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> result = new LinkedHashMap<>();
    for (int loopcurve = 0; loopcurve < nbSensitivityCurve; loopcurve++) {
      result.put(new ObjectsPair<>(curveNamesArray[loopcurve], ccy), new DoubleMatrix1D(sensiClean[loopcurve]));
    }
    return new MultipleCurrencyParameterSensitivity(result);
  }
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  @Test
  /**
   * Tests present value curve sensitivity.
   */
  public void presentValueCurveSensitivity() {
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PVI_C.calculateSensitivity(BILL_TRA, ISSUER_MULTICURVE, ISSUER_MULTICURVE.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PVI_FDC.calculateSensitivity(BILL_TRA, ISSUER_MULTICURVE);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivity() {
    final MultipleCurrencyParameterSensitivity pvpsDepositExact = PS_PVI_C.calculateSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE, ISSUER_MULTICURVE.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PVI_FDC.calculateSensitivity(BILL_BEL_IAM_SEC, ISSUER_MULTICURVE);
    AssertSensivityObjects.assertEquals("DepositCounterpartDiscountingMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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  • com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethodTest
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  • com.opengamma.analytics.financial.interestrate.inflation.provider.CouponInflationYearOnYearInterpolationDiscountingMethodTest
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