Examples of InflationSensitivity

Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexEndMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexEndMonth1bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[0], estimatedIndexStartMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[1], estimatedIndexStartMonth1bar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeight() / cap.getIndexStartValue() * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue() * convexityAdjustment));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    resultMapDisc.put(inflation.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexBar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    resultMapDisc.put(inflation.getInflationProvider().getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexBar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexMonth0Bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexMonth1Bar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeight() / cap.getIndexStartValue()));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexMonth0Bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexMonth1Bar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexEndBar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime(), estimatedIndexStartBar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[0], estimatedIndexEndMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime()[1], estimatedIndexEndMonth1bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[0], estimatedIndexStartMonth0bar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime()[1], estimatedIndexStartMonth1bar));
    resultMapPrice.put(inflation.getInflationProvider().getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    resultMapDisc.put(inflation.getName(coupon.getCurrency()), listDiscounting);
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(coupon.getReferenceEndTime(), estimatedIndexBar));
    resultMapPrice.put(inflation.getName(coupon.getPriceIndex()), listPrice);
    final InflationSensitivity inflationSensitivity = InflationSensitivity.ofYieldDiscountingAndPriceIndex(resultMapDisc, resultMapPrice);
    return MultipleCurrencyInflationSensitivity.of(coupon.getCurrency(), inflationSensitivity);
  }
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