Examples of com.opengamma.util.money.MultipleCurrencyAmount

com.opengamma.util.money.MultipleCurrencyAmount
A map of currency amounts keyed by currency.
This is a container holding multiple {@link CurrencyAmount} instances.The amounts do not necessarily the same worth or value in each currency.
This class behaves as a set - if an amount is added with the same currency as one of the elements, the amounts are added. For example, adding EUR 100 to the container (EUR 200, CAD 100) would give (EUR 300, CAD 100).
This class is immutable and thread-safe.

   * @param multicurve The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final InflationProviderDiscount multicurve) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, multicurve);
    final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }


    // Inflation
    final Set<IndexPrice> indexPrice = multicurve.getPriceIndexes();
    for (final IndexPrice index : indexPrice) {
      final PriceIndexCurve curve = multicurve.getCurve(index);
      final PriceIndexCurve curveIndex = curve;
      ArgumentChecker.isTrue(curveIndex.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveIndex.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final PriceIndexCurve dscBumped = new PriceIndexCurve(new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketDscBumped = multicurve.withPriceIndex(index, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }


    // Discounting
    final Set<Currency> ccyDiscounting = multicurve.getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketDscBumped = multicurve.withDiscountFactor(ccy, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = multicurve.getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = multicurve.getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));

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   * @param black The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackSwaptionFlatProviderDiscount black) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, black);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = black.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketDscBumpedPlus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketDscBumpedMinus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedPlus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedMinus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedPlus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSwaptionFlatProviderDiscount marketFwdBumpedMinus = new BlackSwaptionFlatProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));

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  public MultipleCurrencyAmount presentValueFromFuturePrice(final InterestRateFutureOptionMarginTransaction transaction, final BlackSTIRFuturesSmileProviderInterface blackData,
      final double priceFuture) {
    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(blackData, "Black / multi-curves provider");
    final double priceSecurity = getSecurityMethod().priceFromFuturePrice(transaction.getUnderlyingOption(), blackData, priceFuture);
    final MultipleCurrencyAmount priceTransaction = presentValueFromPrice(transaction, priceSecurity);
    return priceTransaction;
  }

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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondCapitalIndexedSecurity<?> bond, final InflationIssuerProviderInterface provider) {
    ArgumentChecker.notNull(bond, "Bond");
    final InflationProviderInterface creditDiscounting = provider.withDiscountFactor(bond.getCurrency(), new ObjectsPair<>(bond.getIssuer(), bond.getCurrency()));
    final MultipleCurrencyAmount pvNominal = bond.getNominal().accept(PVIC, creditDiscounting);
    final MultipleCurrencyAmount pvCoupon = bond.getCoupon().accept(PVIC, creditDiscounting);
    return pvNominal.plus(pvCoupon);
  }

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  public MultipleCurrencyAmount presentValueFromCleanPriceReal(final BondCapitalIndexedSecurity<Coupon> bond, final InflationIssuerProviderInterface market, final double cleanPriceReal) {
    Validate.notNull(bond, "Coupon");
    Validate.notNull(market, "Market");
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final double dirtyPriceReal = cleanPriceReal + bond.getAccruedInterest() / notional;
    final MultipleCurrencyAmount pv = bond.getSettlement().accept(PVIC, market.getInflationProvider());
    return pv.multipliedBy(dirtyPriceReal);
  }

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   * @return The net amount.
   */
  public MultipleCurrencyAmount netAmount(final BondCapitalIndexedSecurity<Coupon> bond, final InflationIssuerProviderInterface market, final double cleanPriceReal) {
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final double netAmountRealByUnit = cleanPriceReal + bond.getAccruedInterest() / notional;
    final MultipleCurrencyAmount netAmount = bond.getSettlement().accept(NAIC, market.getInflationProvider());
    return netAmount.multipliedBy(netAmountRealByUnit);


  }

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   * @param bond The bond transaction.
   * @param provider The provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondCapitalIndexedTransaction<?> bond, final InflationIssuerProviderInterface provider) {
    final MultipleCurrencyAmount pvBond = METHOD_SECURITY.presentValue(bond.getBondTransaction(), provider);
    final MultipleCurrencyAmount pvSettlement = bond.getBondTransaction().getSettlement().accept(PVIC, provider.getInflationProvider()).multipliedBy(
        bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
    return pvBond.multipliedBy(bond.getQuantity()).plus(pvSettlement);
  }

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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValueFromCleanPriceReal(final BondCapitalIndexedTransaction<Coupon> bond, final InflationIssuerProviderInterface provider, final double cleanPriceReal) {
    Validate.notNull(bond, "Coupon");
    Validate.notNull(provider, "Provider");
    final MultipleCurrencyAmount pvBond = METHOD_SECURITY.presentValueFromCleanPriceReal(bond.getBondTransaction(), provider, cleanPriceReal);
    final MultipleCurrencyAmount pvSettlement = bond.getBondTransaction().getSettlement().accept(PVIC, provider.getInflationProvider()).multipliedBy(
        bond.getQuantity() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
    return pvBond.plus(pvSettlement);
  }

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   * @param sabr The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final SABRCapProviderDiscount sabr) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, sabr);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = sabr.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketDscBumpedPlus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
            curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketDscBumpedMinus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = sabr.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketFwdBumpedPlus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
            curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketFwdBumpedMinus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = sabr.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketFwdBumpedPlus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedPlus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus,
            curveInt.getInterpolator(), true));
        final SABRCapProviderDiscount marketFwdBumpedMinus = new SABRCapProviderDiscount(sabr.getMulticurveProvider().withForward(index, fwdBumpedMinus), sabr.getSABRParameter(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));

View Full Code Here

   * @param issuercurves The provider: all discounting, forward and issuer curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final IssuerProviderDiscount issuercurves) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, issuercurves);
    final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting risk-free
    final Set<Currency> ccyDiscounting = issuercurves.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketDscBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProviderDiscount marketFwdBumped = new IssuerProviderDiscount(issuercurves.getMulticurveProvider().withForward(index, fwdBumped), issuercurves.getIssuerCurves());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Discounting issuer
    final Set<Pair<String, Currency>> issuerCcies = issuercurves.getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getCurve(ic);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve icBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final IssuerProvider providerIcBumped = issuercurves.withIssuerCurrency(ic, icBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = issuercurves.getName(ic);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));

View Full Code Here

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