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

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

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  public static double[] hedgeQuantity(final MultipleCurrencyParameterSensitivity ps, final MultipleCurrencyParameterSensitivity[] rs, final DoubleMatrix2D w,
      final LinkedHashSet<Pair<String, Integer>> order, final FXMatrix fxMatrix) {
    final Currency ccy = ps.getAllNamesCurrency().iterator().next().getSecond();
    // Implementation note: currency used for the conversion in a common currency. Any currency is fine.
    final int nbReference = rs.length;
    final MultipleCurrencyParameterSensitivity psConverted = ps.converted(fxMatrix, ccy);
    final MultipleCurrencyParameterSensitivity[] rsConverted = new MultipleCurrencyParameterSensitivity[nbReference];
    for (int loopref = 0; loopref < nbReference; loopref++) {
      rsConverted[loopref] = rs[loopref].converted(fxMatrix, ccy);
    }
    // Implementation note: converting the ParameterSensitivity into a matrix.
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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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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivityWithNotional() {

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

    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);

  }
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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivityNoNotional() {

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

    AssertSensivityObjects.assertEquals("Year on year coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Test the present value rate sensitivity against a finite difference computation; strike below the cut-off strike. Test sensitivity long/short parity.
   */
  public void presentValueCurveSensitivityBelowCutOff() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CAP_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CAP_LONG, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  @Test
  /**
   * Test the present value rate sensitivity against a finite difference computation; strike above the cut-off strike. Test sensitivity long/short parity.
   */
  public void testPresentValueSensitivityAboveCutOff() {
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_SS_C.calculateSensitivity(CAP_HIGH_LONG, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(CAP_HIGH_LONG, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, TOLERANCE_PV_DELTA);
  }
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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {

    final MultipleCurrencyParameterSensitivity pvicsFD = PS_PV_FDC.calculateSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION);
    final MultipleCurrencyParameterSensitivity pvicsExact = PSC.calculateSensitivity(ZERO_COUPON_CAP, BLACK_INFLATION, MARKET.getAllNames());

    AssertSensivityObjects.assertEquals("Zero-coupon inflation DiscountingMethod: presentValueCurveSensitivity ", pvicsExact, pvicsFD, 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 pvpsExact = PS_SS_C.calculateSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES, SABR_MULTICURVES.getMulticurveProvider().getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsFD = PS_SS_FDC.calculateSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    AssertSensivityObjects.assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueCurveSensitivity ", pvpsExact, pvpsFD, 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_PV_C.calculateSensitivity(CPN_BEFORE, MULTICURVES, MULTICURVES.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsDepositFD = PS_PV_FDC.calculateSensitivity(CPN_BEFORE, MULTICURVES);
    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: presentValueCurveSensitivity ", pvpsDepositExact, pvpsDepositFD, TOLERANCE_PV_DELTA);
  }
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    assertEquals("CouponIborDiscountingMarketMethod: present value", pvExpected, pvComputed.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
  public void presentValueCurveSensitivity() {
    final MultipleCurrencyParameterSensitivity pvpsAnnuityExact = PSC.calculateSensitivity(CPN_IBOR__AVERAGE, MULTICURVES, MULTICURVES.getAllNames());
    final MultipleCurrencyParameterSensitivity pvpsAnnuityFD = PSC_DSC_FD.calculateSensitivity(CPN_IBOR__AVERAGE, MULTICURVES);
    AssertSensivityObjects.assertEquals("CouponIborAverageDiscountingMethod: presentValueCurveSensitivity ", pvpsAnnuityExact, pvpsAnnuityFD, TOLERANCE_PV_DELTA);
  }
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