Examples of InflationProviderDiscount

Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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  @Test
  /**
   * Tests the present value computation.
   */
  public void presentValueGilt1() {
    final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
    marketUKGovt.setCurve(BOND_SECURITY_GILT_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerCurrency()));
    marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI));
    final MultipleCurrencyAmount pvNominal = METHOD_INFLATION_ZC_MONTHLY.presentValue((CouponInflationZeroCouponMonthlyGearing) BOND_SECURITY_GILT_1.getNominal().getNthPayment(0), marketUKGovt);
    MultipleCurrencyAmount pvCoupon = MultipleCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0);
    for (int loopcpn = 0; loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments(); loopcpn++) {
      pvCoupon = pvCoupon.plus(BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
    }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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  @Test
  /**
   * Tests the present value computation.
   */
  public void presentValueTips1() {
    final InflationProviderDiscount marketUSGovt = new InflationProviderDiscount();
    marketUSGovt.setCurve(BOND_SECURITY_TIPS_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_TIPS_1.getIssuerCurrency()));
    marketUSGovt.setCurve(PRICE_INDEX_USCPI, MARKET.getCurve(PRICE_INDEX_USCPI));
    final MultipleCurrencyAmount pvNominal = METHOD_INFLATION_ZC_INTERPOLATION.presentValue((CouponInflationZeroCouponInterpolationGearing) BOND_SECURITY_TIPS_1.getNominal().getNthPayment(0),
        marketUSGovt);
    MultipleCurrencyAmount pvCoupon = MultipleCurrencyAmount.of(BOND_SECURITY_TIPS_1.getCurrency(), 0.0);
    for (int loopcpn = 0; loopcpn < BOND_SECURITY_TIPS_1.getCoupon().getNumberOfPayments(); loopcpn++) {
      pvCoupon = pvCoupon.plus(BOND_SECURITY_TIPS_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUSGovt));
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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      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;
        }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new InflationDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final InflationProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    final InflationDiscountBuildingData data = new InflationDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new InflationDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new InflationDiscountFinderJacobian(new ParameterSensitivityInflationMatrixCalculator(sensitivityCalculator),
        data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final InflationProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    ArgumentChecker.notNull(knownData, "known data");
    ArgumentChecker.notNull(inflationMap, "inflation map");
    ArgumentChecker.notNull(calculator, "calculator");
    ArgumentChecker.notNull(sensitivityCalculator, "sensitivity calculator");
    final int nbUnits = curveBundles.length;
    final InflationProviderDiscount knownSoFarData = knownData.copy();
    final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>();
    final LinkedHashMap<String, GeneratorPriceIndexCurve> generatorsSoFar = new LinkedHashMap<>();
    final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>();
    final List<Double> parametersSoFar = new ArrayList<>();
    final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>();
    int startUnit = 0;

    for (int iUnits = 0; iUnits < nbUnits; iUnits++) {
      final MultiCurveBundle<GeneratorPriceIndexCurve> curveBundle = curveBundles[iUnits];
      final int nbCurve = curveBundle.size();
      final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit.
      final LinkedHashMap<String, GeneratorPriceIndexCurve> generators = new LinkedHashMap<>();
      final int[] nbIns = new int[curveBundle.getNumberOfInstruments()];
      int nbInsUnit = 0; // Number of instruments in the unit.
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorPriceIndexCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        startCurve[iCurve] = nbInsUnit;
        nbIns[iCurve] = singleCurve.size();
        nbInsUnit += nbIns[iCurve];
        instrumentsSoFar.addAll(Arrays.asList(singleCurve.getDerivatives()));
      }
      final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit];
      final double[] parametersGuess = new double[nbInsUnit];
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorPriceIndexCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorPriceIndexCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        generators.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
      final Pair<InflationProviderDiscount, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess, knownSoFarData, inflationMap, generators, calculator,
          sensitivityCalculator);

      parametersSoFar.addAll(Arrays.asList(unitCal.getSecond()));
      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]),
          knownData, inflationMap, generatorsSoFar, sensitivityCalculator);

      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorPriceIndexCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        unitBundleSoFar.put(singleCurve.getCurveName(), new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[iCurve]));
      }
      knownSoFarData.setAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }

    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    ArgumentChecker.notNull(discountingMap, "discounting map");
    ArgumentChecker.notNull(forwardONMap, "forward overnight map");
    ArgumentChecker.notNull(calculator, "calculator");
    ArgumentChecker.notNull(sensitivityCalculator, "sensitivity calculator");
    final int nbUnits = curveBundles.length;
    final InflationProviderDiscount knownSoFarData = knownData.copy();
    final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>();
    final LinkedHashMap<String, GeneratorCurve> generatorsSoFar = new LinkedHashMap<>();
    final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>();
    final List<Double> parametersSoFar = new ArrayList<>();
    final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>();
    int startUnit = 0;
    for (int iUnits = 0; iUnits < nbUnits; iUnits++) {
      final MultiCurveBundle<GeneratorCurve> curveBundle = curveBundles[iUnits];
      final int nbCurve = curveBundle.size();
      final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit.
      final LinkedHashMap<String, GeneratorCurve> generators = new LinkedHashMap<>();
      final int[] nbIns = new int[curveBundle.getNumberOfInstruments()];
      int nbInsUnit = 0; // Number of instruments in the unit.
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        startCurve[iCurve] = nbInsUnit;
        nbIns[iCurve] = singleCurve.size();
        nbInsUnit += nbIns[iCurve];
        instrumentsSoFar.addAll(Arrays.asList(singleCurve.getDerivatives()));
      }
      final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit];
      final double[] parametersGuess = new double[nbInsUnit];
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        generators.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
      final Pair<InflationProviderDiscount, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess, knownSoFarData, discountingMap, forwardONMap, inflationMap, generators,
          calculator, sensitivityCalculator);
      parametersSoFar.addAll(Arrays.asList(unitCal.getSecond()));
      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]), knownData,
          discountingMap, forwardONMap, inflationMap, generatorsSoFar, sensitivityCalculator);

      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        unitBundleSoFar.put(singleCurve.getCurveName(), new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[iCurve]));
      }
      knownSoFarData.setAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }

    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    return _generatorsMap.keySet();
  }

  @Override
  public InflationProviderDiscount evaluate(final DoubleMatrix1D x) {
    final InflationProviderDiscount provider = _knownData.copy();
    final Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (final String name : nameSet) {
      final GeneratorCurve generator = _generatorsMap.get(name);

      final double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + generator.getNumberOfParameter());
      indexParam += generator.getNumberOfParameter();

      if (generator instanceof GeneratorYDCurve) {
        final GeneratorYDCurve discountGenerator = (GeneratorYDCurve) generator;
        final YieldAndDiscountCurve curve = discountGenerator.generateCurve(name, provider.getMulticurveProvider(), paramCurve);
        if (_discountingMap.containsKey(name)) {
          provider.getMulticurveProvider().setCurve(_discountingMap.get(name), curve);
        }
        if (_forwardONMap.containsKey(name)) {
          final IndexON[] indexes = _forwardONMap.get(name);
          for (final IndexON indexe : indexes) {
            provider.setCurve(indexe, curve);
          }
        }
      }
      if (generator instanceof GeneratorPriceIndexCurve) {
        final GeneratorPriceIndexCurve inflationGenerator = (GeneratorPriceIndexCurve) generator;
        final PriceIndexCurve inflationCurve = inflationGenerator.generateCurve(name, provider, paramCurve);

        if (_inflationMap.containsKey(name)) {
          final IndexPrice[] indexes = _inflationMap.get(name);
          for (final IndexPrice indexe : indexes) {
            provider.setCurve(indexe, inflationCurve);
          }

        }
      }
    }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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      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;
        }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderDiscount

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    _data = data;
  }

  @Override
  public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
    final InflationProviderDiscount inflationBundle = _data.getKnownData().copy();
    final InflationProviderDiscount inflationnewCurves = _data.getGeneratorMarket().evaluate(x);
    inflationBundle.setAll(inflationnewCurves);
    final double[] res = new double[_data.getNumberOfInstruments()];
    for (int i = 0; i < _data.getNumberOfInstruments(); i++) {
      res[i] = _data.getInstrument(i).accept(_calculator, inflationBundle);
    }
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