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

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.

    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double priceFutureBar = priceAdjoint[1] * priceBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackPrice.getIssuerProvider());
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }


  /**
   * Computes the option security price curve sensitivity. 
   * It is supposed that for a given strike the volatility does not change with the curves.

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    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(data, "data provider");
    MulticurveSensitivity securitySensitivity = _methodSecurity.priceCurveSensitivity(transaction.getUnderlyingOption(), data);
    return MultipleCurrencyMulticurveSensitivity.of(
        transaction.getCurrency(),
        securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
            * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor()));
  }


}

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    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }


}

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    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }


  /**
   * Computes the present value SABR sensitivity of a cap/floor in the SABR model.

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    final double[] priceAdjoint = new double[3];
    NORMAL_FUNCTION.getPriceAdjoint(option, normalPoint, priceAdjoint);
    final double priceBar = 1.0;
    final double priceFutureBar = priceAdjoint[0] * priceBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), normalData.getMulticurveProvider());
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }


  /**
   * Computes the option security price volatility sensitivity. The future price is computed without convexity adjustment.
   * @param security The future option security.

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    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(black, "Black parameters");
    final MultipleCurrencyMulticurveSensitivity premiumSensitivity = METHOD_PAY_FIXED.presentValueCurveSensitivity(transaction.getPremium(), black.getMulticurveProvider());
    final MulticurveSensitivity securitySensitivity = METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), black);
    return premiumSensitivity.plus(MultipleCurrencyMulticurveSensitivity.of(transaction.getCurrency(),
        securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional())));
  }


  /**
   * Computes the present value delta of a transaction (i.e. the first order derivative of the present value with respect to the bond futures price).
   * @param transaction The option transaction.

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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(pv.getAmount(ccy) / notional);
    result = result.plus(sensiPv.getSensitivity(ccy).multipliedBy(1 / (df * notional)));
    return result;
  }


  /**

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   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final HullWhiteIssuerProviderInterface data) {
    Validate.notNull(future, "Future");
    final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, data);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(future.getCurrency(), priceSensitivity.multipliedBy(future.getNotional()));
    return transactionSensitivity;
  }


  /**
   * Internal class to estimate the price difference between two bonds.

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