List of curveToNodeSensitivity() Examples

Examples of curveToNodeSensitivity()

com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivity()
Computes the node yield sensitivity for one YieldCurve. @param sensitivityList The sensitivity to the yield at arbitrary points on the curve. @param curve The YieldCurve. @return The node sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivity()


    final double settlement = derivative.accept(SETTLEMENT_CALCULATOR);
    final double sens = calcDiscountRateSensitivity(derivative, market);


    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    final List<Double> result = distributor.curveToNodeSensitivity(Arrays.asList(DoublesPair.of(settlement, sens)), discCrv);
    return new DoubleMatrix1D(result.toArray(new Double[result.size()]));
  }


  /**
   * This calculates the sensitivity of the present value (PV) to the lognormal Black implied volatilities at the knot points of the surface. <p>

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Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivity()

    bumpedMarket = new SimpleFutureDataBundle(discCrv.withSingleShift(settlement, -SHIFT), dataBundle.getMarketPrice(),
        dataBundle.getSpotValue(), dataBundle.getDividendYield(), dataBundle.getCostOfCarry());
    final double pvDown = future.accept(_presentValueCalculator, bumpedMarket);
    final double sensitivity = (pvUp - pvDown) / (2.0 * SHIFT);
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    final List<Double> result = distributor.curveToNodeSensitivity(Arrays.asList(DoublesPair.of(settlement, sensitivity)), discCrv);
    return new DoubleMatrix1D(result.toArray(new Double[result.size()]));
  }


  @Override
  public DoubleMatrix1D visit(final InstrumentDerivative derivative) {

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Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivity()

    }
    final double settlement = swap.getTimeToSettlement();
    final double sens = calcDiscountRateSensitivity(swap, market);


    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    final List<Double> result = distributor.curveToNodeSensitivity(Arrays.asList(DoublesPair.of(settlement, sens)), (YieldCurve) discCrv);
    return new DoubleMatrix1D(result.toArray(new Double[result.size()]));
  }


  /**
   * This calculates the derivative of the present value (PV) with respect to the level of the fair value of variance

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Examples of com.opengamma.analytics.financial.interestrate.NodeYieldSensitivityCalculator.curveToNodeSensitivity()

    final YieldCurve discCrv = (YieldCurve) dataBundle.getFundingCurve();
    final double settlement = future.accept(SETTLEMENT_TIME);
    final double rhoSettle = -1 * settlement * future.accept(_presentValueCalculator, dataBundle);
    //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    final List<Double> result = distributor.curveToNodeSensitivity(Arrays.asList(DoublesPair.of(settlement, rhoSettle)), discCrv);
    return new DoubleMatrix1D(result.toArray(new Double[result.size()]));


  }


  @Override

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