Package com.opengamma.analytics.financial.interestrate

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

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  @Override
  public Map<String, Double> convert(String valueName, MultipleCurrencyInterestRateCurveSensitivity value) {
    Map<String, Double> returnValue = new HashMap<String, Double>();
    for (Currency ccy : value.getCurrencies()) {
      InterestRateCurveSensitivity ccySensitivity = value.getSensitivity(ccy);
      for (Map.Entry<String, List<DoublesPair>> curveSensitivities : ccySensitivity.getSensitivities().entrySet()) {
        String curveName = curveSensitivities.getKey();
        for (DoublesPair sensitivityEntry : curveSensitivities.getValue()) {
          Double cashFlowTime = sensitivityEntry.getFirst();
          Double sensitivityValue = sensitivityEntry.getSecond();
          String key = valueName + "[" + ccy.getCode() + "][" + curveName + "]";
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    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final double forwardBar = priceAdjoint[1] * priceBar + volatilityAdjoint[1] * volatilityBar;
    final double priceFutureBar = -forwardBar;
    final InterestRateCurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), sabrData);
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }
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  public InterestRateCurveSensitivity presentValueBasisPointCurveSensitivity(final SwapFixedCoupon<? extends Payment> fixedCouponSwap, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    final AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    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 AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    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 AnnuityCouponFixed annuityFixed = fixedCouponSwap.getFixedLeg();
    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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   * @param transaction The future option transaction.
   * @param blackData The curve and Black volatility data.
   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity deltaWrtCurve(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
    final InterestRateCurveSensitivity securityDelta = SECURITY_METHOD.priceCurveSensitivity(transaction.getUnderlyingOption(), blackData);
    final double scaleFactor = transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor();
    return securityDelta.multipliedBy(scaleFactor);
  }
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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listForward = new ArrayList<>();
    listForward.add(new DoublesPair(future.getFixingPeriodStartTime(), -future.getFixingPeriodStartTime() * dfForwardStart * dfForwardStartBar));
    listForward.add(new DoublesPair(future.getFixingPeriodEndTime(), -future.getFixingPeriodEndTime() * dfForwardEnd * dfForwardEndBar));
    resultMap.put(future.getForwardCurveName(), listForward);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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   * @param curves The yield curves.
   * @return The present value rate sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final FederalFundsFutureTransaction future, final YieldCurveBundle curves) {
    Validate.notNull(future, "Future");
    final InterestRateCurveSensitivity priceSensi = _methodSecurity.priceCurveSensitivity(future.getUnderlyingFuture(), curves);
    final InterestRateCurveSensitivity result = priceSensi.multipliedBy(future.getUnderlyingFuture().getPaymentAccrualFactor() * future.getUnderlyingFuture().getNotional() * future.getQuantity());
    return result;
  }
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    final List<DoublesPair> listOIS = new ArrayList<>();
    for (int loopfix = 0; loopfix < nbFixing + 1; loopfix++) {
      listOIS.add(new DoublesPair(future.getFixingPeriodTime()[loopfix], -future.getFixingPeriodTime()[loopfix] * df[loopfix] * dfBar[loopfix]));
    }
    resultMap.put(future.getOISCurveName(), listOIS);
    final InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    return result;
  }
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   * @param priceSensi Price sensitivity.
   * @return The present value rate sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final InterestRateFutureSecurity future, final InterestRateCurveSensitivity priceSensi) {
    Validate.notNull(future, "Future");
    final InterestRateCurveSensitivity result = priceSensi.multipliedBy(future.getPaymentAccrualFactor() * future.getNotional());
    return 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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