Examples of com.opengamma.util.money.MultipleCurrencyAmount

com.opengamma.util.money.MultipleCurrencyAmount
A map of currency amounts keyed by currency.
This is a container holding multiple {@link CurrencyAmount} instances.The amounts do not necessarily the same worth or value in each currency.
This class behaves as a set - if an amount is added with the same currency as one of the elements, the amounts are added. For example, adding EUR 100 to the container (EUR 200, CAD 100) would give (EUR 300, CAD 100).
This class is immutable and thread-safe.

   * @return The dirty price.
   */
  public double dirtyPriceFromCurves(final BondFixedSecurity bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final MultipleCurrencyAmount pv = presentValue(bond, issuerMulticurves);
    final double df = issuerMulticurves.getMulticurveProvider().getDiscountFactor(bond.getCurrency(), bond.getSettlementTime());
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    return pv.getAmount(bond.getCurrency()) / df / notional;
  }

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    ArgumentChecker.notNull(bond, "Bond");
    ArgumentChecker.notNull(issuerMulticurves, "Issuer and multi-curves provider");
    final MulticurveProviderInterface multicurves = issuerMulticurves.getMulticurveProvider();
    final Currency ccy = bond.getCurrency();
    final double notional = bond.getCoupon().getNthPayment(0).getNotional();
    final MultipleCurrencyAmount pv = presentValue(bond, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity sensiPv = presentValueCurveSensitivity(bond, issuerMulticurves);
    final double df = multicurves.getDiscountFactor(ccy, bond.getSettlementTime());
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(pv.getAmount(ccy) / notional);
    result = result.plus(sensiPv.getSensitivity(ccy).multipliedBy(1 / (df * notional)));
    return result;
  }

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   * @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 MulticurveProviderDiscount 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());
    }
    // 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 MulticurveProviderDiscount 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 MulticurveProviderDiscount 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 MulticurveProviderDiscount 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]));

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   */
  public MultipleCurrencyAmount presentValue(final BillTransaction bill, final IssuerProviderInterface issuer) {
    ArgumentChecker.notNull(bill, "Bill");
    ArgumentChecker.notNull(issuer, "Issuer and multi-curves provider");
    final Currency ccy = bill.getCurrency();
    final MultipleCurrencyAmount pvBill = METHOD_SECURITY.presentValue(bill.getBillPurchased(), issuer);
    final double pvSettle = bill.getSettlementAmount() * issuer.getMulticurveProvider().getDiscountFactor(ccy, bill.getBillPurchased().getSettlementTime());
    return pvBill.multipliedBy(bill.getQuantity()).plus(MultipleCurrencyAmount.of(ccy, pvSettle));
  }

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   * @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]));

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   * @param market 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 MulticurveProviderForward market) {
    MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
    final MultipleCurrencyAmount pvInit = instrument.accept(_valueCalculator, market);
    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());
    }
    // Discounting
    final Set<Currency> ccyDiscounting = market.getCurrencies();
    for (final Currency ccy : ccyDiscounting) {
      final YieldAndDiscountCurve curve = market.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 MulticurveProviderForward marketDscBumped = market.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 = market.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 = market.getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = market.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 MulticurveProviderForward marketFwdBumped = market.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 = market.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 = market.getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final DoublesCurve curve = market.getCurve(index);
      ArgumentChecker.isTrue(curve instanceof InterpolatedDoublesCurve, "Forward curve should be based on InterpolatedDoublesCurve");
      final InterpolatedDoublesCurve curveInt = (InterpolatedDoublesCurve) curve;
      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 DoublesCurve fwdBumped = new InterpolatedDoublesCurve(curveInt.getXDataAsPrimitive(), yieldBumped, curveInt.getInterpolator(), true);
        final MulticurveProviderForward marketFwdBumped = market.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 = market.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));

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   */
  public MultipleCurrencyAmount presentValueFromFuturePrice(final InterestRateFutureOptionMarginTransaction transaction, final SABRSTIRFuturesProviderInterface sabrData, final double priceFuture) {
    ArgumentChecker.notNull(transaction, "Transaction on option on STIR futures");
    ArgumentChecker.notNull(sabrData, "SABR / multi-curves provider");
    double priceSecurity = getSecurityMethod().priceFromFuturePrice(transaction.getUnderlyingOption(), sabrData, priceFuture);
    MultipleCurrencyAmount priceTransaction = presentValueFromPrice(transaction, priceSecurity);
    return priceTransaction;
  }

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   */
  public MultipleCurrencyAmount presentValue(final BondFixedTransaction bond, final IssuerProviderInterface issuerMulticurves) {
    ArgumentChecker.notNull(bond, "Bond");
    final Currency ccy = bond.getBondTransaction().getCurrency();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuerMulticurves, ccy, bond.getBondTransaction().getIssuer());
    final MultipleCurrencyAmount pvNominal = bond.getBondTransaction().getNominal().accept(PVDC, multicurvesDecorated);
    final MultipleCurrencyAmount pvCoupon = bond.getBondTransaction().getCoupon().accept(PVDC, multicurvesDecorated);
    final double settlementAmount = -(bond.getTransactionPrice() * bond.getBondTransaction().getCoupon().getNthPayment(0).getNotional() + bond.getBondTransaction().getAccruedInterest())
        * bond.getQuantity();
    final PaymentFixed settlement = new PaymentFixed(bond.getBondTransaction().getCurrency(), bond.getBondTransaction().getSettlementTime(), settlementAmount);
    final MultipleCurrencyAmount pvSettlement = settlement.accept(PVDC, issuerMulticurves.getMulticurveProvider());
    return pvNominal.plus(pvCoupon).multipliedBy(bond.getQuantity()).plus(pvSettlement);
  }

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    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final ZonedDateTimeDoubleTimeSeries[] shiftedFixingSeries = getDateShiftedTimeSeries(fixingSeries, horizonDate);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, shiftedFixingSeries, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swap");
    }
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final Currency currency = paymentToday.getCurrencyAmounts()[0].getCurrency(); //TODO assuming that currencies are all the same
    final PresentValueCalculator pvCalculator = PresentValueCalculator.getInstance();
    final double result = instrumentTomorrow.accept(pvCalculator, tomorrowData) - instrumentToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }

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  // -----     Annuity     ------


  @Override
  public MultipleCurrencyAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRSwaptionProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyAmount pv = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pv = pv.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return pv;
  }

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