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

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

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   * @param instrument The instrument.
   * @param black The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackSmileCapInflationYearOnYearProviderDiscount black) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, black);
    final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }

    // Inflation
    final Set<IndexPrice> indexPrice = black.getInflationProvider().getPriceIndexes();
    for (final IndexPrice index : indexPrice) {
      final PriceIndexCurve curveIndex = black.getInflationProvider().getCurve(index);

      ArgumentChecker.isTrue(curveIndex.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveIndex.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final PriceIndexCurve dscBumped = new PriceIndexCurve(new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withPriceIndex(index, dscBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }

    // Discounting
    final Set<Currency> ccyDiscounting = black.getInflationProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketDscBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withDiscountFactor(ccy, dscBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getInflationProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getInflationProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getInflationProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final BlackSmileCapInflationYearOnYearProviderDiscount marketFwdBumped = new BlackSmileCapInflationYearOnYearProviderDiscount(black.getInflationProvider().withForward(index, fwdBumped),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = black.getInflationProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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   * @param instrument The instrument.
   * @param sabr The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final SABRSTIRFuturesProviderDiscount sabr) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, sabr);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = sabr.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketDscBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketDscBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            sabr.getSABRParameters(), sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = sabr.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedMinus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = sabr.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = sabr.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedPlus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedPlus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final SABRSTIRFuturesProviderDiscount marketFwdBumpedMinus = new SABRSTIRFuturesProviderDiscount(sabr.getMulticurveProvider().withForward(index, dscBumpedMinus), sabr.getSABRParameters(),
            sabr.getSABRIndex());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = sabr.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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   * @param instrument The instrument.
   * @param lmm The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final LiborMarketModelDisplacedDiffusionProviderDiscount lmm) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, lmm);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = lmm.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = lmm.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketDscBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketDscBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = lmm.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = lmm.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = lmm.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = lmm.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = lmm.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = lmm.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedPlus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedPlus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve fwdBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final LiborMarketModelDisplacedDiffusionProviderDiscount marketFwdBumpedMinus = new LiborMarketModelDisplacedDiffusionProviderDiscount(lmm.getMulticurveProvider().withForward(index,
            fwdBumpedMinus), lmm.getLMMParameters(), lmm.getLMMCurrency());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = lmm.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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   * @param instrument The instrument.
   * @param multicurveFwdpoints The multi-curve and forward points provider.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final MulticurveForwardPointsProviderDiscount multicurveFwdpoints) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, multicurveFwdpoints);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = multicurveFwdpoints.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = multicurveFwdpoints.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketDscBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedPlus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketDscBumpedMinus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withDiscountFactor(ccy,
            dscBumpedMinus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = multicurveFwdpoints.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = multicurveFwdpoints.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = multicurveFwdpoints.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketFwdBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedPlus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketFwdBumpedMinus = new MulticurveForwardPointsProviderDiscount(
            multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedMinus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = multicurveFwdpoints.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = multicurveFwdpoints.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = multicurveFwdpoints.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketFwdBumpedPlus = new MulticurveForwardPointsProviderDiscount(multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedPlus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final MulticurveForwardPointsProviderDiscount marketFwdBumpedMinus = new MulticurveForwardPointsProviderDiscount(
            multicurveFwdpoints.getMulticurveProvider().withForward(index, dscBumpedMinus),
            multicurveFwdpoints.getForwardPointsCurve(), multicurveFwdpoints.getCurrencyPair());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = multicurveFwdpoints.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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   * @param instrument The instrument.
   * @param black The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final BlackSmileCapProviderDiscount black) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, black);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = black.getMulticurveProvider().getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketDscBumpedPlus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketDscBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketDscBumpedMinus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = black.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketFwdBumpedPlus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketFwdBumpedMinus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = black.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = black.getMulticurveProvider().getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumpedPlus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedPlus[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumpedPlus = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedPlus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketFwdBumpedPlus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedPlus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedPlus = instrument.accept(_valueCalculator, marketFwdBumpedPlus);
        final double[] yieldBumpedMinus = curveInt.getYDataAsPrimitive().clone();
        yieldBumpedMinus[loopnode] -= _shift;
        final YieldAndDiscountCurve dscBumpedMinus = new YieldCurve(curveInt.getName(),
            new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumpedMinus, curveInt.getInterpolator(), true));
        final BlackSmileCapProviderDiscount marketFwdBumpedMinus = new BlackSmileCapProviderDiscount(black.getMulticurveProvider().withForward(index, dscBumpedMinus),
            black.getBlackParameters());
        final MultipleCurrencyAmount pvBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final MultipleCurrencyAmount pvDiff = pvBumpedPlus.plus(pvBumpedMinus.multipliedBy(-1.0));
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / (2 * _shift);
        }
      }
      final String name = black.getMulticurveProvider().getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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   * @return The market quote sensitivity.
   */
  public MultipleCurrencyParameterSensitivity fromParameterSensitivity(final MultipleCurrencyParameterSensitivity parameterSensitivity, final CurveBuildingBlockBundle units) {
    ArgumentChecker.notNull(parameterSensitivity, "Sensitivity");
    ArgumentChecker.notNull(units, "Units");
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    for (final Pair<String, Currency> nameCcy : parameterSensitivity.getAllNamesCurrency()) {
      final LinkedHashMap<Pair<String, Currency>, DoubleMatrix1D> oneCurveSensiMap = new LinkedHashMap<>();
      final Pair<CurveBuildingBlock, DoubleMatrix2D> unitPair = units.getBlock(nameCcy.getFirst());
      ArgumentChecker.notNull(parameterSensitivity.getSensitivity(nameCcy), "sensitivity for " + nameCcy);
      ArgumentChecker.notNull(unitPair, "curve building block / Jacobian pair for " + nameCcy);
      ArgumentChecker.notNull(unitPair.getSecond(), "Jacobian");
      final DoubleMatrix1D matrix = (DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity.getSensitivity(nameCcy), unitPair.getSecond());
      if (matrix != null) {
        final double[] oneCurveSensiArray = ((DoubleMatrix1D) MATRIX_ALGEBRA.multiply(parameterSensitivity.getSensitivity(nameCcy), unitPair.getSecond())).getData();
        for (final String name2 : unitPair.getFirst().getAllNames()) {
          final int nbParameters = unitPair.getFirst().getNbParameters(name2);
          final int start = unitPair.getFirst().getStart(name2);
          final double[] sensiName2 = new double[nbParameters];
          System.arraycopy(oneCurveSensiArray, start, sensiName2, 0, nbParameters);
          oneCurveSensiMap.put(new ObjectsPair<>(name2, nameCcy.getSecond()), new DoubleMatrix1D(sensiName2));
        }
        final MultipleCurrencyParameterSensitivity sensiName = new MultipleCurrencyParameterSensitivity(oneCurveSensiMap);
        result = result.plus(sensiName);
      }
    }
    return result;
  }
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   */
  public MultipleCurrencyParameterSensitivity fromInstrument(final InstrumentDerivative instrument, final DATA_TYPE provider, final CurveBuildingBlockBundle units) {
    ArgumentChecker.notNull(instrument, "instrument");
    ArgumentChecker.notNull(provider, "provider");
    ArgumentChecker.notNull(units, "units");
    final MultipleCurrencyParameterSensitivity parameterSensitivity = _parameterSensitivityCalculator.calculateSensitivity(instrument, provider, provider.getMulticurveProvider().getAllNames());
    return fromParameterSensitivity(parameterSensitivity, units);
  }
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    super(curveSensitivityCalculator);
  }

  @Override
  public MultipleCurrencyParameterSensitivity pointToParameterSensitivity(final MultipleCurrencyMulticurveSensitivity sensitivity, final DATA_TYPE parameterMulticurves, final Set<String> curvesSet) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    // YieldAndDiscount
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getSensitivity(ccySensi).getYieldDiscountingSensitivities();
      for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result
              .plus(new ObjectsPair<>(entry.getKey(), ccySensi), new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    // Forward
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getSensitivity(ccySensi).getForwardSensitivities();
      for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi),
              new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    return result;
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    super(curveSensitivityCalculator);
  }

  @Override
  public MultipleCurrencyParameterSensitivity pointToParameterSensitivity(final MultipleCurrencyInflationSensitivity sensitivity, final DATA_TYPE parameterMulticurves, final Set<String> curvesSet) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();

    // YieldAndDiscount
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getSensitivity(ccySensi).getYieldDiscountingSensitivities();
      for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result
              .plus(new ObjectsPair<>(entry.getKey(), ccySensi), new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    // Forward
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getSensitivity(ccySensi).getForwardSensitivities();
      for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi),
              new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }

    // IndexPrice
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<DoublesPair>> sensitivityPriceIndex = sensitivity.getSensitivity(ccySensi).getPriceCurveSensitivities();
      for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityPriceIndex.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi),
              new DoubleMatrix1D(parameterMulticurves.getInflationProvider().parameterInflationSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    return result;
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   * @param instrument The instrument.
   * @param multicurve The market (all discounting and forward curves should be of the type YieldCurve with InterpolatedDoublesCurve.
   * @return The parameter sensitivity.
   */
  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final InflationProviderDiscount multicurve) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, multicurve);
    final MultipleCurrencyAmount pvInitMinus = pvInit.multipliedBy(-1.0);
    final int nbCcy = pvInit.size();
    final List<Currency> ccyList = new ArrayList<>();
    for (int loopccy = 0; loopccy < nbCcy; loopccy++) {
      ccyList.add(pvInit.getCurrencyAmounts()[loopccy].getCurrency());
    }

    // Inflation
    final Set<IndexPrice> indexPrice = multicurve.getPriceIndexes();
    for (final IndexPrice index : indexPrice) {
      final PriceIndexCurve curveIndex = multicurve.getCurve(index);

      ArgumentChecker.isTrue(curveIndex.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveIndex.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final PriceIndexCurve dscBumped = new PriceIndexCurve(new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketDscBumped = multicurve.withPriceIndex(index, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }

    // Discounting
    final Set<Currency> ccyDiscounting = multicurve.getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(ccy);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve dscBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketDscBumped = multicurve.withDiscountFactor(ccy, dscBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = multicurve.getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = multicurve.getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = multicurve.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof YieldCurve, "Curve should be a YieldCurve");
      final YieldCurve curveYield = (YieldCurve) curve;
      ArgumentChecker.isTrue(curveYield.getCurve() instanceof InterpolatedDoublesCurve, "Yield curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curveYield.getCurve();
      final int nbNodePoint = curveInt.getXDataAsPrimitive().length;
      final double[][] sensitivity = new double[nbCcy][nbNodePoint];
      for (int loopnode = 0; loopnode < nbNodePoint; loopnode++) {
        final double[] yieldBumped = curveInt.getYDataAsPrimitive().clone();
        yieldBumped[loopnode] += _shift;
        final YieldAndDiscountCurve fwdBumped = new YieldCurve(curveInt.getName(), new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true));
        final InflationProviderDiscount marketFwdBumped = multicurve.withForward(index, fwdBumped);
        final MultipleCurrencyAmount pvBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final MultipleCurrencyAmount pvDiff = pvBumped.plus(pvInitMinus);
        for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }
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