Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity

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  // -----     Payment/Coupon     ------

  @Override
  public MulticurveSensitivity visitFixedPayment(final PaymentFixed payment, final MulticurveProviderInterface multicurve) {
    return new MulticurveSensitivity();
  }
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  @Override
  public MulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurve) {
    ArgumentChecker.notNull(multicurve, "multicurve");
    ArgumentChecker.notNull(annuity, "Annuity");
    MulticurveSensitivity pvbpSensi = new MulticurveSensitivity();
    for (final Payment p : annuity.getPayments()) {
      pvbpSensi = pvbpSensi.plus(p.accept(this, multicurve));
    }
    return pvbpSensi;
  }
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    // if the swap is an On compounded (ie Brazilian like), the parspread formula is not the same.
    if (swap.getSecondLeg().getNthPayment(0) instanceof CouponONCompounded && swap.getFirstLeg().getNthPayment(0) instanceof CouponFixedAccruedCompounding &&
        swap.getFirstLeg().getNumberOfPayments() == 1) {
      // Implementation note: check if the swap is a Brazilian swap.

      final MulticurveSensitivity pvcsFirstLeg = swap.getFirstLeg().accept(PVCSMC, multicurves).getSensitivity(swap.getFirstLeg().getCurrency());
      final MulticurveSensitivity pvcsSecondLeg = swap.getSecondLeg().accept(PVCSMC, multicurves).getSensitivity(swap.getSecondLeg().getCurrency());

      final CouponFixedAccruedCompounding cpnFixed = (CouponFixedAccruedCompounding) swap.getFirstLeg().getNthPayment(0);
      final double pvONCompoundedLeg = swap.getSecondLeg().accept(PVMC, multicurves).getAmount(swap.getSecondLeg().getCurrency());
      final double discountFactor = multicurves.getDiscountFactor(swap.getFirstLeg().getCurrency(), cpnFixed.getPaymentTime());
      final double paymentYearFraction = cpnFixed.getPaymentYearFraction();

      final double notional = ((CouponONCompounded) swap.getSecondLeg().getNthPayment(0)).getNotional();
      final double intermediateVariable = (1 / paymentYearFraction) * Math.pow(pvONCompoundedLeg / discountFactor / notional, 1 / paymentYearFraction - 1) / (discountFactor * notional);
      final MulticurveSensitivity modifiedpvcsFirstLeg = pvcsFirstLeg.multipliedBy(pvONCompoundedLeg * intermediateVariable / discountFactor);
      final MulticurveSensitivity modifiedpvcsSecondLeg = pvcsSecondLeg.multipliedBy(-intermediateVariable);

      return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, multicurves);
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves);
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves);
    final double pv = multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));
  }
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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 MulticurveSensitivity forward1CurveSensitivity = cmsSpread.getUnderlyingSwap1().accept(PRCSDC, multicurves);
    final MulticurveSensitivity forward2CurveSensitivity = cmsSpread.getUnderlyingSwap2().accept(PRCSDC, multicurves);
    //Calibration strike dependency -- END
    final MultipleCurrencyMulticurveSensitivity cmsCoupon1CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon1, sabrData);
    final MultipleCurrencyMulticurveSensitivity cmsCoupon2CurveSensitivity = _methodCmsCoupon.presentValueCurveSensitivity(cmsCoupon2, sabrData);
    final MultipleCurrencyMulticurveSensitivity cmsCap1CurveSensitivity = _methodCmsCap.presentValueCurveSensitivity(cmsCap1, sabrData);
    final MultipleCurrencyMulticurveSensitivity 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(multicurves.getName(ccy), list);
    final MulticurveSensitivity dfCurveSensitivity = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(ccy, 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
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    listDiscounting1.add(new DoublesPair(ndf.getPaymentTime(), -ndf.getPaymentTime() * df1 * df1Bar));
    resultMap.put(multicurves.getName(ndf.getCurrency1()), listDiscounting1);
    final List<DoublesPair> listDiscounting2 = new ArrayList<>();
    listDiscounting2.add(new DoublesPair(ndf.getPaymentTime(), -ndf.getPaymentTime() * df2 * df2Bar));
    resultMap.put(multicurves.getName(ndf.getCurrency2()), listDiscounting2);
    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    return MultipleCurrencyMulticurveSensitivity.of(ndf.getCurrency2(), result);
  }
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    listForeign.add(new DoublesPair(payTime, rForeignBar));
    resultMap.put(multicurves.getName(optionForex.getCurrency1()), listForeign);
    final List<DoublesPair> listDomestic = new ArrayList<>();
    listDomestic.add(new DoublesPair(payTime, rDomesticBar));
    resultMap.put(multicurves.getName(optionForex.getCurrency2()), listDomestic);
    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    return MultipleCurrencyMulticurveSensitivity.of(optionForex.getUnderlyingForex().getCurrency2(), result);
  }
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    listForeign.add(new DoublesPair(payTime, rForeignBar * factor));
    resultMap.put(multicurves.getName(optionForex.getCurrency1()), listForeign);
    final List<DoublesPair> listDomestic = new ArrayList<>();
    listDomestic.add(new DoublesPair(payTime, rDomesticBar * factor));
    resultMap.put(multicurves.getName(optionForex.getCurrency2()), listDomestic);
    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    return MultipleCurrencyMulticurveSensitivity.of(optionForex.getUnderlyingForex().getCurrency2(), result);
  }
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   * Tests parSpread curve sensitivity.
   */
  public void parSpreadCurveSensitivityMethodVsCalculator() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final DepositCounterpart deposit = DEPOSIT_CPTY_DEFINITION.toDerivative(referenceDate);
    final MulticurveSensitivity pscsMethod = METHOD_DEPOSIT.parSpreadCurveSensitivity(deposit, PROVIDER_ISSUER);
    final MulticurveSensitivity pscsCalculator = deposit.accept(PSMQCSIDC, PROVIDER_ISSUER);
    AssertSensivityObjects.assertEquals("CashDiscountingProviderMethod: parSpreadCurveSensitivity", pscsMethod, pscsCalculator, TOLERANCE_SPREAD);
  }
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        throw new OpenGammaRuntimeException("Should have same number of sensitivities as currencies");
      }
      MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity();
      for (int i = 0; i < currencies.size(); i++) {
        final Currency currency = Currency.of((String) currencies.get(i).getValue());
        final MulticurveSensitivity sensitivity = deserializer.fieldValueToObject(MulticurveSensitivity.class, sensitivities.get(i));
        result = result.plus(currency, sensitivity);
      }
      return result;
    }
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    /** The sensitivity field*/
    private static final String SENSITIVITY = "sensitivity";

    @Override
    public InflationSensitivity buildObject(final FudgeDeserializer deserializer, final FudgeMsg message) {
      final MulticurveSensitivity multicurveSensitivity = deserializer.fieldValueToObject(MulticurveSensitivity.class, message.getByName(IR_CURVE_SENSITIVITY));
      final Map<String, List<DoublesPair>> priceCurveSensitivity = new HashMap<>();
      final List<FudgeField> priceCurveNameFields = message.getAllByName(PRICE_CURVE_NAME);
      final List<FudgeField> sensitivitiesPerCurve = message.getAllByName(SENSITIVITIES_PER_PRICE_CURVE);
      if (priceCurveNameFields.size() != sensitivitiesPerCurve.size()) {
        throw new OpenGammaRuntimeException("Should have one set of price curve sensitivities per price curve name");
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