Package com.opengamma.analytics.financial.interestrate

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

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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(coupon.getFixingPeriodStartTime(), -coupon.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(coupon.getFixingPeriodEndTime(), -coupon.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(coupon.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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    final double factor = Math.abs(optionForex.getUnderlyingForex().getPaymentCurrency1().getAmount()) * (optionForex.isLong() ? 1.0 : -1.0);
    final List<DoublesPair> listForeign = new ArrayList<>();
    listForeign.add(new DoublesPair(payTime, rForeignBar * factor));
    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 * factor));
    final Map<String, List<DoublesPair>> resultDomesticMap = new HashMap<>();
    resultDomesticMap.put(domesticCurveName, listDomestic);
    result = result.plus(new InterestRateCurveSensitivity(resultDomesticMap));
    return MultipleCurrencyInterestRateCurveSensitivity.of(optionForex.getUnderlyingForex().getCurrency2(), result);
  }
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    final DoublesPair s = new DoublesPair(time, -time * cpn.getAmount() * discountingCurve.getDiscountFactor(time));
    final List<DoublesPair> list = new ArrayList<>();
    list.add(s);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, list);
    return new InterestRateCurveSensitivity(result);
  }
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    final double dfBar = coupon.getNotionalAccrued() * ratio * pvBar;
    final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar));
    mapDsc.put(coupon.getFundingCurveName(), listDiscounting);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(mapDsc);
    final Map<String, List<DoublesPair>> mapFwd = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    for (int i = 0; i < coupon.getFixingPeriodAccrualFactors().length; i++) {
      listForward.add(new DoublesPair(coupon.getFixingPeriodStartTimes()[i], -coupon.getFixingPeriodStartTimes()[i] * discountFactorStart[i] * discountFactorStartBar[i]));
      listForward.add(new DoublesPair(coupon.getFixingPeriodEndTimes()[i], -coupon.getFixingPeriodEndTimes()[i] * discountFactorEnd[i] * discountFactorEndBar[i]));
    }
    mapFwd.put(coupon.getForwardCurveName(), listForward);
    result = result.plus(new InterestRateCurveSensitivity(mapFwd));
    return result;
  }
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    final DoublesPair s = new DoublesPair(time, -time * pay.getAmount() * discountingCurve.getDiscountFactor(time));
    final List<DoublesPair> list = new ArrayList<>();
    list.add(s);
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(curveName, list);
    return new InterestRateCurveSensitivity(result);
  }
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    //Calibration strike dependency -- START
    double strike1Bar = -cmsCap1PriceNormalDerivative[2] / cmsCap1PriceNormalDerivative[1] * cmsCap1ImpliedVolatilityBar;
    double strike2Bar = -cmsCap2PriceNormalDerivative[2] / cmsCap2PriceNormalDerivative[1] * cmsCap2ImpliedVolatilityBar;
    strike1Bar += _methodCmsCap.presentValueStrikeSensitivity(cmsCap1, sabrData) * cmsCap1PvBar;
    strike2Bar += _methodCmsCap.presentValueStrikeSensitivity(cmsCap2, sabrData) * cmsCap2PvBar;
    final InterestRateCurveSensitivity forward1CurveSensitivity = new InterestRateCurveSensitivity(cmsSpread.getUnderlyingSwap1().accept(PRCSC, sabrData));
    final InterestRateCurveSensitivity forward2CurveSensitivity = new InterestRateCurveSensitivity(cmsSpread.getUnderlyingSwap2().accept(PRCSC, sabrData));
    //Calibration strike dependency -- END
    final InterestRateCurveSensitivity cmsCoupon1CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon1, sabrData);
    final InterestRateCurveSensitivity cmsCoupon2CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon2, sabrData);
    final InterestRateCurveSensitivity cmsCap1CurveSensitivity = _methodCmsCap.presentValueCurveSensitivity(cmsCap1, sabrData);
    final InterestRateCurveSensitivity cmsCap2CurveSensitivity = _methodCmsCap.presentValueCurveSensitivity(cmsCap2, sabrData);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cmsSpread.getPaymentTime(), -cmsSpread.getPaymentTime() * discountFactorPayment));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(cmsSpread.getFundingCurveName(), list);
    final InterestRateCurveSensitivity dfCurveSensitivity = new InterestRateCurveSensitivity(resultMap);
    InterestRateCurveSensitivity result;
    result = 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(forward1CurveSensitivity.multipliedBy(strike1Bar));
    result = result.plus(forward2CurveSensitivity.multipliedBy(strike2Bar));
    //Calibration strike dependency -- END
    return result;
  }
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    listDiscounting1.add(new DoublesPair(ndf.getPaymentTime(), -ndf.getPaymentTime() * df1 * df1Bar));
    resultMap.put(ndf.getDiscountingCurve1Name(), listDiscounting1);
    final List<DoublesPair> listDiscounting2 = new ArrayList<>();
    listDiscounting2.add(new DoublesPair(ndf.getPaymentTime(), -ndf.getPaymentTime() * df2 * df2Bar));
    resultMap.put(ndf.getDiscountingCurve2Name(), listDiscounting2);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return MultipleCurrencyInterestRateCurveSensitivity.of(ndf.getCurrency2(), result);
  }
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  @Override
  public InterestRateCurveSensitivity visit(final InstrumentDerivative derivative, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(derivative, "derivative");
    final MultipleCurrencyInterestRateCurveSensitivity pvcsMulti = derivative.accept(_pvcsCalculator, curves);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity();
    for (final Currency ccy : pvcsMulti.getCurrencies()) {
      final InterestRateCurveSensitivity pvcs = pvcsMulti.getSensitivity(ccy);
      for (final String curve : pvcs.getCurves()) {
        if (curves.getCurrencyMap().get(curve).equals(ccy)) { // Identical currencies: no changes
          result = result.plus(curve, pvcs.getSensitivities().get(curve));
        } else { // Different currencies: exchange rate multiplication.
          final double fxRate = curves.getFxRates().getFxRate(curves.getCurrencyMap().get(curve), ccy);
          result = result.plus(curve, InterestRateCurveSensitivityUtils.multiplySensitivity(pvcs.getSensitivities().get(curve), fxRate));
        }
      }
    }
    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.getUnderlyingForex().getCurrency2(), result);
  }
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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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