Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity

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    final double sensiDF = -cmsCapFloor.getPaymentTime() * discountFactor * deltaPD;
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cmsCapFloor.getPaymentTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(cmsCapFloor.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    final InterestRateCurveSensitivity forwardDr = new InterestRateCurveSensitivity(cmsCapFloor.getUnderlyingSwap().accept(PRSC, sabrData));
    result = result.plus(forwardDr.multipliedBy(deltaS0));
    return result;
  }
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    // Sensitivity object
    final List<DoublesPair> listForeign = new ArrayList<>();
    listForeign.add(new DoublesPair(payTime, rForeignBar));
    final Map<String, List<DoublesPair>> resultForeignMap = new HashMap<>();
    resultForeignMap.put(foreignCurveName, listForeign);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultForeignMap);
    final List<DoublesPair> listDomestic = new ArrayList<>();
    listDomestic.add(new DoublesPair(payTime, rDomesticBar));
    final Map<String, List<DoublesPair>> resultDomesticMap = new HashMap<>();
    resultDomesticMap.put(domesticCurveName, listDomestic);
    result = result.plus(new InterestRateCurveSensitivity(resultDomesticMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(optionForex.getUnderlyingOption().getUnderlyingForex().getCurrency2(), result);
  }
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   * @param blackData The curve and Black volatility data.
   * @return The security price curve sensitivity.
   */
  public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureOptionMarginSecurity security, final YieldCurveWithBlackCubeBundle blackData) {
    final double priceFutureBar = optionPriceDelta(security, blackData);
    final InterestRateCurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackData);
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }
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   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final BondFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(curves, "curves");
    final InterestRateCurveSensitivity premiumSensitivity = PVCSC.visit(transaction.getPremium(), curves);
    final InterestRateCurveSensitivity securitySensitivity = METHOD_SECURITY.priceCurveSensitivity(transaction.getUnderlyingOption(), curves);
    return premiumSensitivity.plus(securitySensitivity.multipliedBy(transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()));
  }
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    final double dfDr = -cpnFixed.getPaymentTime() * dfPay;
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cpnFixed.getPaymentTime(), dfDr * dfBar));
    final Map<String, List<DoublesPair>> dfMap = new HashMap<>();
    dfMap.put(cpnFixed.getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(dfMap);
    InterestRateCurveSensitivity pvLegFloatingDr = METHOD_COUPON_ON_CMP.presentValueCurveSensitivity(fixedCouponSwap.getSecondLeg().getNthPayment(0), curves);
    result = result.plus(pvLegFloatingDr.multipliedBy(pvFloatingBar));
    return result;
  }
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        }
      }
      listCredit.add(new DoublesPair(delivery, -delivery * dfdelivery * dfdeliveryBar));
    }
    resultMap.put(future.getDeliveryBasket()[0].getDiscountingCurveName(), listCredit);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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   * @param curves The yield curves. Should contain the credit and repo curves associated.
   * @return The present value rate sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final BondFuture future, final HullWhiteOneFactorPiecewiseConstantDataBundle curves) {
    Validate.notNull(future, "Future");
    final InterestRateCurveSensitivity priceSensitivity = priceCurveSensitivity(future, curves);
    final InterestRateCurveSensitivity transactionSensitivity = priceSensitivity.multipliedBy(future.getNotional());
    return transactionSensitivity;
  }
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  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final Swap<CouponFixedAccruedCompounding, CouponONCompounded> fixedCouponSwap, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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      final Calendar calendar, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, calendar, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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      final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final Annuity<CouponFixedAccruedCompounding> annuityFixed = fixedCouponSwap.getFirstLeg();
    final YieldAndDiscountCurve discountingCurve = curves.getCurve(annuityFixed.getNthPayment(0).getFundingCurveName());
    result.put(annuityFixed.getNthPayment(0).getFundingCurveName(), presentValueBasisPointCurveSensitivity(fixedCouponSwap, dayCount, discountingCurve));
    return new InterestRateCurveSensitivity(result);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity

  • com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity
  • com.opengamma.analytics.financial.interestrate.bond.method.BillSecurityDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BillTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.method.BillTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityUSDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethod
  • com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethodTest
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