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.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()

    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, TOLERANCE_PV_DELTA);


    // Curve sensitivity
    MultipleCurrencyMulticurveSensitivity pvcs = method.presentValueCurveSensitivity(swaptionAmortized, SABR_MULTICURVES);
    pvcs = pvcs.cleaned();
    // Curve sensitivity (all-in-one)
    AssertSensivityObjects.assertEquals("presentValueCurveSensitivity", pvcs1, pvcs, TOLERANCE_PV_DELTA);
    // Curve sensitivity (parallel shift check)
    //    final double shiftCurve = 0.0000001;
    //    final YieldAndDiscountCurve curve5Shift = YieldCurve.from(ConstantDoublesCurve.from(0.05 + shiftCurve));

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

   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS cap spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }

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

        STRIKE, IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS cap spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }


  @Test
  /**

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

   */
  public void presentValueCurveSensitivityFloorLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, !IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS floor spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }

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

        STRIKE, !IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS floor spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }


  @Test
  /**

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

  /**
   * Tests the present value curve sensitivity cap/floor parity (Cap - Floor = (cms1 - cms2) - strike).
   */
  public void presentValueCurveSensitivityCapFloorParity() {
    MultipleCurrencyMulticurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsCapLong = pvcsCapLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);

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

   */
  public void presentValueCurveSensitivityCapFloorParity() {
    MultipleCurrencyMulticurveSensitivity pvcsCapLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsCapLong = pvcsCapLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsFloorLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    pvcsFloorLong = pvcsFloorLong.cleaned();
    final CouponCMS cms1 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, SETTLEMENT_TIME);
    final CouponCMS cms2 = new CouponCMS(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_2, SETTLEMENT_TIME);
    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    MultipleCurrencyMulticurveSensitivity pvcsCMS1 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms1, SABR_MULTICURVES);
    pvcsCMS1 = pvcsCMS1.cleaned();

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

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

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

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

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

    pvcsCMS1 = pvcsCMS1.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsCMS2 = METHOD_CMS_COUPON.presentValueCurveSensitivity(cms2, SABR_MULTICURVES);
    pvcsCMS2 = pvcsCMS2.cleaned();
    final MultipleCurrencyMulticurveSensitivity pvcsStrike = METHOD_CPN_FIXED.presentValueCurveSensitivity(cpnStrike, MULTICURVES);
    MultipleCurrencyMulticurveSensitivity pvcsParity1 = pvcsCMS1.plus(pvcsCMS2.plus(pvcsStrike).multipliedBy(-1));
    pvcsParity1 = pvcsParity1.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsParity2 = pvcsCapLong.plus(pvcsFloorLong.multipliedBy(-1));
    pvcsParity2 = pvcsParity2.cleaned();
    AssertSensivityObjects.assertEquals("CMS spread: curve sensitivity - Cap/Floor parity", pvcsParity1, pvcsParity2, TOLERANCE_PV);
  }

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