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

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.plus()
Create a copy of the sensitivity and add a given sensitivity to it. @param other The sensitivity to add. @return The total sensitivity.

   */
  public MultipleCurrencyInterestRateCurveSensitivity converted(final Currency ccy, final FXMatrix fx) {
    InterestRateCurveSensitivity sensi = new InterestRateCurveSensitivity();
    for (final Currency c : _sensitivity.keySet()) {
      final double rate = fx.getFxRate(c, ccy);
      sensi = sensi.plus(_sensitivity.get(c).multipliedBy(rate));
    }
    return of(ccy, sensi);
  }


  @Override

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      dfStartBar[loopsub] = ratioForwardBar[loopsub] / dfEnd[loopsub];
    }
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * dfPayment * dfPaymentBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
      listForward.add(new DoublesPair(coupon.getFixingPeriodStartTimes()[loopsub], -coupon.getFixingPeriodStartTimes()[loopsub] * dfStart[loopsub] * dfStartBar[loopsub]));
      listForward.add(new DoublesPair(coupon.getFixingPeriodEndTimes()[loopsub], -coupon.getFixingPeriodEndTimes()[loopsub] * dfEnd[loopsub] * dfEndBar[loopsub]));
    }

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    final List<DoublesPair> listForward = new ArrayList<>();
    for (int loopsub = 0; loopsub < nbSubPeriod; loopsub++) {
      listForward.add(new DoublesPair(coupon.getFixingPeriodStartTimes()[loopsub], -coupon.getFixingPeriodStartTimes()[loopsub] * dfStart[loopsub] * dfStartBar[loopsub]));
      listForward.add(new DoublesPair(coupon.getFixingPeriodEndTimes()[loopsub], -coupon.getFixingPeriodEndTimes()[loopsub] * dfEnd[loopsub] * dfEndBar[loopsub]));
    }
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }


}

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    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * forwardBar;
    final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward + coupon.getSpreadAmount()) * pvBar;
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;

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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }


  /**
   * Compute the par rate (Ibor forward) of a Ibor coupon by discounting. The par rate is the same with or without spread.

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    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * parRateBar;
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }


}

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    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultNonDeliveryMap);
    final List<DoublesPair> listDelivery = new ArrayList<>();
    listDelivery.add(new DoublesPair(paymentTime, rDeliveryBar * Math.abs(optionForex.getUnderlyingNDF().getNotionalCurrency1())));
    final Map<String, List<DoublesPair>> resultDeliveryMap = new HashMap<>();
    resultDeliveryMap.put(deliveryCurveName, listDelivery);
    result = result.plus(new InterestRateCurveSensitivity(resultDeliveryMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(optionForex.getCurrency2(), result);
  }


  /**
   * Computes the present value curve sensitivities of Forex non-deliverable option with the Black function and a volatility surface.

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    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * forwardBar;
    final double dfBar = (coupon.getNotional() * coupon.getPaymentYearFraction() * forward) * pvBar;
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;

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    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    result = result.plus(coupon.getFundingCurveName(), listDiscounting);
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }


  /**
   * Compute the par rate (Ibor forward) of a Ibor coupon by discounting.

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    final double dfForwardStartBar = 1.0 / (coupon.getFixingAccrualFactor() * dfForwardEnd) * parRateBar;
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    result = result.plus(coupon.getForwardCurveName(), listForward);
    return result;
  }


}

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