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.

    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = priceAdjoint[1] * priceBar;
    final double priceFutureBar = -forwardBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackData.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.

View Full Code Here

    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

View Full Code Here

    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    final MultipleCurrencyMulticurveSensitivity pvcs = MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
    // SABR sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);

View Full Code Here


    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(-multFact * cfaInitBar[loopcf]));
      }
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity);
  }

View Full Code Here

    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.


    final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
    return InflationSensitivity.of(pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs))), sensitivityPriceCurve);
  }


  @Override
  public InflationSensitivity visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final InflationProviderInterface inflation) {
    return visitSwap(swap, inflation);

View Full Code Here

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hullWhite.getMulticurveProvider());
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    if (!swaption.isLong()) {
      return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity.multipliedBy(-1.0));
    }

View Full Code Here

    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

View Full Code Here

    final double delta = BlackFormulaRepository.delta(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry());


    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDff * price + 2. * pvbpDf * delta + pvbp * gamma));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

View Full Code Here

    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

View Full Code Here

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeIborCurveSensi = swaption.getUnderlyingSwap().getSecondLeg().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeIborCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountIborBar[loopcf]));
      }
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity);
  }

View Full Code Here

0 1 2 3 4 5

TOP

All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.