Examples of InflationSensitivity

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

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  public InflationSensitivity visitSwap(final Swap<?, ?> swap, final InflationProviderInterface inflation) {
    ArgumentChecker.notNull(inflation, "Market");
    ArgumentChecker.notNull(swap, "Swap");
    if (swap.getFirstLeg().getNumberOfPayments() == 1 && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedCompounding) {
      // Implementation note: check if the swap is an inflation swap.
      final InflationSensitivity pvcis = swap.getSecondLeg().accept(PVISC, inflation).getSensitivity(swap.getSecondLeg().getCurrency());
      final MulticurveSensitivity pvcs = swap.getFirstLeg().accept(PVSC, inflation.getMulticurveProvider()).getSensitivity(swap.getFirstLeg().getCurrency());

      final CouponFixedCompounding cpn = (CouponFixedCompounding) swap.getFirstLeg().getNthPayment(0);
      final double pvInflationLeg = swap.getSecondLeg().accept(PVIC, inflation).getAmount(swap.getSecondLeg().getCurrency());
      final double discountFactor = inflation.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpn.getPaymentTime());
      final double tenor = cpn.getPaymentAccrualFactors().length;

      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      final double intermediateVariable = (1 / tenor) * Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor - 1) / (discountFactor * notional);
      final MulticurveSensitivity modifiedpvcs = pvcs.multipliedBy(-pvInflationLeg * intermediateVariable / discountFactor);
      final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);

      return InflationSensitivity.of(modifiedpvcs.plus(modifiedpvcis.getMulticurveSensitivity()), modifiedpvcis.getPriceCurveSensitivities());
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());
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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity

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    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / 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(), 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(), estimatedIndexEndBar));
    listPrice.add(new DoublesPair(coupon.getReferenceStartTime(), estimatedIndexStartBar));
    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.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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    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeightEnd() / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeightEnd()) / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[0], -cap.getWeightStart() * priceIndexEnd / (priceIndexStart * priceIndexStart)));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[1], -(1 - cap.getWeightStart()) * priceIndexEnd / (priceIndexStart * priceIndexStart)));
    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 NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    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);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    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(cap.getReferenceEndTime(), 1 / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime(), -priceIndexEnd / (priceIndexStart * priceIndexStart)));
    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(), cap.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    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);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    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.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.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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    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.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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