Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()
Create a new sensitivity object with all the sensitivities multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.

   * @return The present value curve sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRInterestRateDataBundle sabrData) {
    PresentValueSABRSensitivityDataBundle securitySensitivity = ((InterestRateFutureOptionMarginSecuritySABRMethod) getSecurityMethod()).priceSABRSensitivity(transaction.getUnderlyingOption(),
        sabrData);
    securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }


}

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   * @param sabrData The SABR and multi-curves provider.
   * @return The present value curve sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final InterestRateFutureOptionMarginTransaction transaction, final SABRSTIRFuturesProviderInterface sabrData) {
    PresentValueSABRSensitivityDataBundle securitySensitivity = getSecurityMethod().priceSABRSensitivity(transaction.getUnderlyingOption(), sabrData);
    securitySensitivity = securitySensitivity.multiplyBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor());
    return securitySensitivity;
  }


}

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    PresentValueSABRSensitivityDataBundle cmsCap1SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap1, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCap2SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap2, sabrData);
    cmsCoupon1SABRSensitivity = cmsCoupon1SABRSensitivity.multiplyBy(cmsCoupon1PriceBar);
    cmsCoupon2SABRSensitivity = cmsCoupon2SABRSensitivity.multiplyBy(cmsCoupon2PriceBar);
    cmsCap1SABRSensitivity = cmsCap1SABRSensitivity.multiplyBy(cmsCap1PriceBar);
    cmsCap2SABRSensitivity = cmsCap2SABRSensitivity.multiplyBy(cmsCap2PriceBar);
    PresentValueSABRSensitivityDataBundle result = cmsCoupon1SABRSensitivity;
    result = result.plus(cmsCoupon2SABRSensitivity);
    result = result.plus(cmsCap1SABRSensitivity);
    result = result.plus(cmsCap2SABRSensitivity);
    return result;

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  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SWPT_SABR.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SWPT_SABR.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValueSABRSensitivity", pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_SABR.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 1.0E-8;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);

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        IS_CAP, FUNDING_CURVE_NAME);
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvssLong = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    PresentValueSABRSensitivityDataBundle pvssShort = METHOD_CMS_SPREAD.presentValueSABRSensitivity(cmsSpreadShort, sabrBundleCor);
    pvssShort = pvssShort.multiplyBy(-1);
    assertEquals("CMS spread: Long/Short parity", pvssLong, pvssShort);
  }


  @Test(enabled = false)
  /**

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  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER_HIGH, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES).getAmount(EUR);
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER_HIGH.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;

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    PresentValueSABRSensitivityDataBundle cmsCap1SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap1, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCap2SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap2, sabrData);
    cmsCoupon1SABRSensitivity = cmsCoupon1SABRSensitivity.multiplyBy(cmsCoupon1PriceBar);
    cmsCoupon2SABRSensitivity = cmsCoupon2SABRSensitivity.multiplyBy(cmsCoupon2PriceBar);
    cmsCap1SABRSensitivity = cmsCap1SABRSensitivity.multiplyBy(cmsCap1PriceBar);
    cmsCap2SABRSensitivity = cmsCap2SABRSensitivity.multiplyBy(cmsCap2PriceBar);
    PresentValueSABRSensitivityDataBundle result = cmsCoupon1SABRSensitivity;
    result = result.plus(cmsCoupon2SABRSensitivity);
    result = result.plus(cmsCap1SABRSensitivity);
    result = result.plus(cmsCap2SABRSensitivity);
    return result;

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  public void testPresentValueSABRSensitivityBelowCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());

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  public void testPresentValueSABRSensitivityAboveCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());

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  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);

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