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

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.

  }


  @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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  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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  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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  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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  public SimpleParameterSensitivity 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");
    MulticurveSensitivity 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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    pvsDF.put(multicurvesHW.getMulticurveProvider().getName(ccy), listDfSensi);
    final double dfPaymentBar = (a0 + a2 / 2) * cms.getNotional() * cms.getPaymentYearFraction() * pvBar;
    final DoublesPair dfPaymentSensi = new DoublesPair(payTimeCMS, -payTimeCMS * dfPayment * dfPaymentBar); // Sensi to dfPayment
    listDfSensi.add(dfPaymentSensi);
    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    sensitivity = sensitivity.cleaned();
    // Sensitivity from the CFE
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swap.accept(CFECSC, multicurvesHW.getMulticurveProvider());
    for (int loopcf = 0; loopcf < nbIbor; loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe. No sensi of the last cf.

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      }
    }
    MulticurveSensitivity sensiBond = METHOD_BOND_SEC.dirtyPriceCurveSensitivity(BASKET[minIndex], ISSUER_MULTICURVES);
    sensiBond = sensiBond.multipliedBy(1.0 / CONVERSION_FACTOR[minIndex]);
    sensiFuture = sensiFuture.cleaned();
    sensiBond = sensiBond.cleaned();
    AssertSensivityObjects.assertEquals("BondFutureSecurityDiscountingMethod: priceCurveSensitivity", sensiBond, sensiFuture, TOLERANCE_PRICE_DELTA);
  }


  @Test
  /**

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      }
    }
    MulticurveSensitivity sensiBond = METHOD_BOND.dirtyPriceCurveSensitivity(BASKET[minIndex], ISSUER_MULTICURVES);
    sensiBond = sensiBond.multipliedBy(1.0 / CONVERSION_FACTOR[minIndex]);
    sensiFuture = sensiFuture.cleaned();
    sensiBond = sensiBond.cleaned();
    AssertSensivityObjects.assertEquals("BondFutureSecurityDiscountingMethod: priceCurveSensitivity", sensiBond, sensiFuture, TOLERANCE_PRICE_DELTA);
  }


  //    @Test
  //    /**

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