List of multipliedBy() Examples

Examples of multipliedBy()

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
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.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.multipliedBy()
Create a new multiple currency sensitivity by multiplying all the sensitivities in a multiple currency sensitivity by a common factor. @param factor The multiplicative factor. @return The new multiple currency sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.multipliedBy()
Create a copy of the object with all the sensitivities multiplied by a common factor. @param factor The factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity.multipliedBy()
Create a copy of the object with all the sensitivities multiplied by a common factor. @param factor The factor. @return The multiplied sensitivity.
com.opengamma.util.money.CurrencyAmount.multipliedBy()
Returns a copy of this {@code CurrencyAmount} with the amount multiplied.
This takes this amount and multiplies it by the specified value. The multiplication simply uses standard {@code double} arithmetic.
This instance is immutable and unaffected by this method. @param valueToMultiplyBy the scalar amount to multiply by @return an amount based on this with the amount multiplied, not null
com.opengamma.util.money.MultipleCurrencyAmount.multipliedBy()
Returns a copy of this {@code MultipleCurrencyAmount} with all the amounts multiplied by the factor.
This instance is immutable and unaffected by this method. @param factor The multiplicative factor. @return An amount based on this with all the amounts multiplied by the factor. Not null
org.threeten.bp.Period.multipliedBy()
Returns a new instance with each element in this period multiplied by the specified scalar.
This simply multiplies each field, years, months, days and normalized time, by the scalar. No normalization is performed. @param scalar the scalar to multiply by, not null @return a {@code Period} based on this period with the amounts multiplied by the scalar, not null @throws ArithmeticException if numeric overflow occurs

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

    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurves.getName(ccy), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }


  /**

View Full Code Here

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

    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }


  /**

View Full Code Here

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

    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    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);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

View Full Code Here

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

    final double rho = sabrData.getSABRParameter().getRho(expiryMaturity);
    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double price = sabrExtrapolation.price(swaption);
    result = result.multipliedBy(pvbp * price);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * price + pvbp * sabrExtrapolation.priceDerivativeForward(swaption))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);

View Full Code Here

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

    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double price = sabrExtrapolation.price(swaption);
    result = result.multipliedBy(pvbp * price);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * price + pvbp * sabrExtrapolation.priceDerivativeForward(swaption))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }


  /**

View Full Code Here

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

        priceMin = priceFromBond[loopbasket];
        indexCTD = loopbasket;
      }
    }
    MulticurveSensitivity result = BOND_METHOD.dirtyPriceCurveSensitivity(future.getDeliveryBasket()[indexCTD], issuerMulticurves);
    return result.multipliedBy(1.0 / future.getConversionFactor()[indexCTD]);
  }


  /**
   * Compute the present value sensitivity to rates of a bond future by discounting.
   * @param future The future.

View Full Code Here

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

   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
    Currency ccy = future.getCurrency();
    final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(ccy, priceSensitivity.multipliedBy(future.getNotional()));
    return transactionSensitivity;
  }


  /**
   * Computes the gross basis of the bonds in the underlying basket from their clean prices.

View Full Code Here

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

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = futures.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(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
  }

View Full Code Here

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

    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.
   * @param transaction The option transaction.

View Full Code Here

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

        priceMin = priceFromBond[loopbasket];
        indexCTD = loopbasket;
      }
    }
    MulticurveSensitivity result = BOND_METHOD.dirtyPriceCurveSensitivity(futures.getDeliveryBasket()[indexCTD], issuerMulticurves);
    return result.multipliedBy(1.0 / futures.getConversionFactor()[indexCTD]);
  }


  /**
   * Computes the gross basis of the bonds in the underlying basket from their clean prices.
   * @param futures The future security.

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.