List of cleaned() Examples

Examples of cleaned()

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()
Return a new sensitivity cleaned by sorting the times and adding the values at the duplicate times. @return The cleaned sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity.cleaned()
Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). @return The cleaned sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.cleaned()
Return a new sensitivity by sorting the times and adding the values at duplicated times. @return The cleaned sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()
Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). @return The cleaned sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsLong = pvcsLong.cleaned();
    InterestRateCurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, sabrBundleCor);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS floor spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PRICE);
  }


  @Test
  /**

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

   */
  public void presentValueCurveSensitivityCapFloorParity() {
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    InterestRateCurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    pvcsCapLong = pvcsCapLong.cleaned();
    InterestRateCurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, sabrBundleCor);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

    final CouponCMS cms2 = new CouponCMS(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    InterestRateCurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, sabrBundleCor);
    pvcsCMS1 = pvcsCMS1.cleaned();
    InterestRateCurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, sabrBundleCor);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final InterestRateCurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, sabrBundleCor);
    InterestRateCurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    InterestRateCurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();

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Examples of com.opengamma.analytics.financial.provider.sensitivity.inflation.MultipleCurrencyInflationSensitivity.cleaned()

  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final DATA_TYPE parameterMulticurves, final Set<String> curvesSet) {
    ArgumentChecker.notNull(instrument, "derivative");
    ArgumentChecker.notNull(parameterMulticurves, "Black data");
    ArgumentChecker.notNull(curvesSet, "curves");
    MultipleCurrencyInflationSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, parameterMulticurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, parameterMulticurves, curvesSet);
  }


  /**
   * Computes the sensitivity with respect to the parameters from the point sensitivities to the continuously compounded rate.

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.cleaned()

  }


  @Test
  public void dirtyPriceCurveSensitivity() {
    MulticurveSensitivity sensi = METHOD_BOND_SECURITY.dirtyPriceCurveSensitivity(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES).cleaned();
    sensi = sensi.cleaned();
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_1, ISSUER_MULTICURVES);
    final double dfSettle = ISSUER_MULTICURVES.getMulticurveProvider().getDiscountFactor(CUR, BOND_FIXED_SECURITY_1.getSettlementTime());
    final String DSC_CURVE_NAME = ISSUER_MULTICURVES.getMulticurveProvider().getName(CUR);
    final String ISS_CURVE_NAME = ISSUER_MULTICURVES.getName(BOND_FIXED_SECURITY_1.getIssuerCcy());
    assertEquals("Fixed coupon bond security: dirty price curve sensitivity: risk-less curve", BOND_FIXED_SECURITY_1.getSettlementTime(), sensi.getYieldDiscountingSensitivities().get(DSC_CURVE_NAME)

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.cleaned()

  public SimpleParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final DATA_TYPE multicurves, final Set<String> curvesSet) {
    Validate.notNull(instrument, "null InterestRateDerivative");
    Validate.notNull(multicurves, "null multicurve");
    Validate.notNull(curvesSet, "null curves set");
    MulticurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, multicurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, multicurves, curvesSet);
  }


  /**
   * Computes the sensitivity with respect to the parameters from the point sensitivities.

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.cleaned()

  public DoubleMatrix1D calculateSensitivity(final InstrumentDerivative instrument, final HullWhiteOneFactorProviderInterface multicurves, final Set<String> curvesSet) {
    Validate.notNull(instrument, "null InterestRateDerivative");
    Validate.notNull(multicurves, "null multicurve");
    Validate.notNull(curvesSet, "null curves set");
    MulticurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, multicurves);
    sensitivity = sensitivity.cleaned();
    // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, multicurves, curvesSet);
  }


  /**

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.cleaned()

  public DoubleMatrix1D calculateSensitivity(final InstrumentDerivative instrument, final IssuerProviderInterface multicurves, final Set<String> curvesSet) {
    Validate.notNull(instrument, "null InterestRateDerivative");
    Validate.notNull(multicurves, "null multicurve");
    Validate.notNull(curvesSet, "null curves set");
    MulticurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, multicurves);
    sensitivity = sensitivity.cleaned();
    // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, multicurves, curvesSet);
  }


  /**

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