Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.plus()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.plus()
Create a new multiple currency sensitivity by adding the sensitivity associated to a given currency. If the currency is not yet present in the existing sensitivity a new map is created with the extra entry. If the currency is already present, the associated sensitivities are added (in the sense of {@link InterestRateCurveSensitivity}) and a new map is created with all the other existing entries and the entry with the currency and the sum sensitivity. @param ccy The currency. Not null. @param sensitivity The sensitivity associated to the currency. Not null. @return The new multiple currency sensitivity.

  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRCapProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyMulticurveSensitivity pvcs = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pvcs = pvcs.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return pvcs;
  }


  @Override

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  @Override
  public MultipleCurrencyMulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRCapProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyMulticurveSensitivity cs = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      cs = cs.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return cs;
  }


  @Override

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        dPhidC[loopp1] = dPhidC[loopp1].plus(dfdC[loopp2].multipliedBy(-dfdPhiInvMat.getEntry(loopp1, loopp2))).cleaned();
      }
    }
    MultipleCurrencyMulticurveSensitivity dPvdC = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmm);
    for (int loopp = 0; loopp < 2 * nbPeriods; loopp++) {
      dPvdC = dPvdC.plus(dPhidC[loopp].multipliedBy(dPvdPhi[loopp])).cleaned();
    }
    return new Triple<>(pv, sensiSABR, dPvdC);
  }


}

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        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    MultipleCurrencyMulticurveSensitivity pvcsAdjust = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcsAdjust = pvcsAdjust.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsTot = pvcsCal.plus(pvcsAdjust);
    pvcsTot = pvcsTot.cleaned();
    return pvcsTot;

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        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    MultipleCurrencyMulticurveSensitivity pvcs = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmm).getAmount(ccy)));

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    }
    MultipleCurrencyMulticurveSensitivity pvcs = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmm).getAmount(ccy)));
    results.add(pvcs);
    results.add(pvss);

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


  /**
   * Computes the present value curve sensitivity of a transaction. The bond futures price is computed from the curves.

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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFutureOptionPremiumTransaction transaction, final BlackBondFuturesSmileProviderInterface black) {
    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).

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    resultMap.put(multicurves.getName(ccy), list);
    final MulticurveSensitivity dfCurveSensitivity = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(ccy, dfCurveSensitivity.multipliedBy(discountFactorPaymentBar));
    result = result.plus(cmsCoupon1CurveSensitivity.multipliedBy(cmsCoupon1PvBar));
    result = result.plus(cmsCoupon2CurveSensitivity.multipliedBy(cmsCoupon2PvBar));
    result = result.plus(cmsCap1CurveSensitivity.multipliedBy(cmsCap1PvBar));
    result = result.plus(cmsCap2CurveSensitivity.multipliedBy(cmsCap2PvBar));
    //Calibration strike dependency -- START
    result = result.plus(ccy, forward1CurveSensitivity.multipliedBy(strike1Bar));
    result = result.plus(ccy, forward2CurveSensitivity.multipliedBy(strike2Bar));
    //Calibration strike dependency -- END

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    final MulticurveSensitivity dfCurveSensitivity = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(ccy, dfCurveSensitivity.multipliedBy(discountFactorPaymentBar));
    result = result.plus(cmsCoupon1CurveSensitivity.multipliedBy(cmsCoupon1PvBar));
    result = result.plus(cmsCoupon2CurveSensitivity.multipliedBy(cmsCoupon2PvBar));
    result = result.plus(cmsCap1CurveSensitivity.multipliedBy(cmsCap1PvBar));
    result = result.plus(cmsCap2CurveSensitivity.multipliedBy(cmsCap2PvBar));
    //Calibration strike dependency -- START
    result = result.plus(ccy, forward1CurveSensitivity.multipliedBy(strike1Bar));
    result = result.plus(ccy, forward2CurveSensitivity.multipliedBy(strike2Bar));
    //Calibration strike dependency -- END
    return result;

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