Examples of HullWhiteOneFactorProviderDiscount

Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    _data = data;
  }

  @Override
  public DoubleMatrix2D evaluate(DoubleMatrix1D x) {
    final HullWhiteOneFactorProviderDiscount bundle = _data.getKnownData().copy();
    HullWhiteOneFactorProviderDiscount newCurves = _data.getGeneratorMarket().evaluate(x);
    bundle.setAll(newCurves);
    Set<String> curvesSet = _data.getGeneratorMarket().getCurvesList();
    final int nbParameters = _data.getNumberOfInstruments();
    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    return _generatorsMap.keySet();
  }

  @Override
  public HullWhiteOneFactorProviderDiscount evaluate(DoubleMatrix1D x) {
    HullWhiteOneFactorProviderDiscount provider = _knownData.copy();
    Set<String> nameSet = _generatorsMap.keySet();
    int indexParam = 0;
    for (String name : nameSet) {
      GeneratorYDCurve gen = _generatorsMap.get(name);
      double[] paramCurve = Arrays.copyOfRange(x.getData(), indexParam, indexParam + gen.getNumberOfParameter());
      indexParam += gen.getNumberOfParameter();
      YieldAndDiscountCurve curve = gen.generateCurve(name, provider, paramCurve);
      if (_discountingMap.containsKey(name)) {
        provider.setCurve(_discountingMap.get(name), curve);
      }
      if (_forwardIborMap.containsKey(name)) {
        IborIndex[] indexes = _forwardIborMap.get(name);
        for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
          provider.setCurve(indexes[loopindex], curve);
        }
      }
      if (_forwardONMap.containsKey(name)) {
        IndexON[] indexes = _forwardONMap.get(name);
        for (int loopindex = 0; loopindex < indexes.length; loopindex++) {
          provider.setCurve(indexes[loopindex], curve);
        }
      }
      // TODO: Do we need to check that the curve is used at least once?
    }
    return provider;
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    _data = data;
  }

  @Override
  public DoubleMatrix1D evaluate(final DoubleMatrix1D x) {
    final HullWhiteOneFactorProviderDiscount bundle = _data.getKnownData().copy();
    final HullWhiteOneFactorProviderDiscount newCurves = _data.getGeneratorMarket().evaluate(x);
    bundle.setAll(newCurves);
    final double[] res = new double[_data.getNumberOfInstruments()];
    for (int i = 0; i < _data.getNumberOfInstruments(); i++) {
      res[i] = _data.getInstrument(i).accept(_calculator, bundle);
    }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    final GeneratorHullWhiteProviderDiscount generator = new GeneratorHullWhiteProviderDiscount(knownData, discountingMap, forwardIborMap, forwardONMap, generatorsMap);
    final HullWhiteProviderDiscountBuildingData data = new HullWhiteProviderDiscountBuildingData(instruments, generator);
    final Function1D<DoubleMatrix1D, DoubleMatrix1D> curveCalculator = new HullWhiteProviderDiscountFinderFunction(calculator, data);
    final Function1D<DoubleMatrix1D, DoubleMatrix2D> jacobianCalculator = new HullWhiteProviderDiscountFinderJacobian(new ParameterSensitivityHullWhiteMatrixCalculator(sensitivityCalculator), data);
    final double[] parameters = _rootFinder.getRoot(curveCalculator, jacobianCalculator, new DoubleMatrix1D(initGuess)).getData();
    final HullWhiteOneFactorProviderDiscount newCurves = data.getGeneratorMarket().evaluate(new DoubleMatrix1D(parameters));
    return new ObjectsPair<>(newCurves, ArrayUtils.toObject(parameters));
  }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    ArgumentChecker.notNull(forwardIborMap, "forward ibor map");
    ArgumentChecker.notNull(forwardONMap, "forward overnight map");
    ArgumentChecker.notNull(calculator, "calculator");
    ArgumentChecker.notNull(sensitivityCalculator, "sensitivity calculator");
    final int nbUnits = curveBundles.length;
    final HullWhiteOneFactorProviderDiscount knownSoFarData = knownData.copy();
    final List<InstrumentDerivative> instrumentsSoFar = new ArrayList<>();
    final LinkedHashMap<String, GeneratorYDCurve> generatorsSoFar = new LinkedHashMap<>();
    final LinkedHashMap<String, Pair<CurveBuildingBlock, DoubleMatrix2D>> unitBundleSoFar = new LinkedHashMap<>();
    final List<Double> parametersSoFar = new ArrayList<>();
    final LinkedHashMap<String, Pair<Integer, Integer>> unitMap = new LinkedHashMap<>();
    int startUnit = 0;
    for (int iUnits = 0; iUnits < nbUnits; iUnits++) {
      final MultiCurveBundle<GeneratorYDCurve> curveBundle = curveBundles[iUnits];
      final int nbCurve = curveBundle.size();
      final int[] startCurve = new int[nbCurve]; // First parameter index of the curve in the unit.
      final LinkedHashMap<String, GeneratorYDCurve> gen = new LinkedHashMap<>();
      final int[] nbIns = new int[curveBundle.getNumberOfInstruments()];
      int nbInsUnit = 0; // Number of instruments in the unit.
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        startCurve[iCurve] = nbInsUnit;
        nbIns[iCurve] = singleCurve.size();
        nbInsUnit += nbIns[iCurve];
        instrumentsSoFar.addAll(Arrays.asList(singleCurve.getDerivatives()));
      }
      final InstrumentDerivative[] instrumentsUnit = new InstrumentDerivative[nbInsUnit];
      final double[] parametersGuess = new double[nbInsUnit];
      final InstrumentDerivative[] instrumentsSoFarArray = instrumentsSoFar.toArray(new InstrumentDerivative[instrumentsSoFar.size()]);
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        final InstrumentDerivative[] derivatives = singleCurve.getDerivatives();
        System.arraycopy(derivatives, 0, instrumentsUnit, startCurve[iCurve], nbIns[iCurve]);
        System.arraycopy(singleCurve.getStartingPoint(), 0, parametersGuess, startCurve[iCurve], nbIns[iCurve]);
        final GeneratorYDCurve tmp = singleCurve.getCurveGenerator().finalGenerator(derivatives);
        final String curveName = singleCurve.getCurveName();
        gen.put(curveName, tmp);
        generatorsSoFar.put(curveName, tmp);
        unitMap.put(curveName, new ObjectsPair<>(startUnit + startCurve[iCurve], nbIns[iCurve]));
      }
      final Pair<HullWhiteOneFactorProviderDiscount, Double[]> unitCal = makeUnit(instrumentsUnit, parametersGuess, knownSoFarData,
          discountingMap, forwardIborMap, forwardONMap, gen, calculator, sensitivityCalculator);
      parametersSoFar.addAll(Arrays.asList(unitCal.getSecond()));
      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]), knownData, discountingMap,
          forwardIborMap, forwardONMap, generatorsSoFar, sensitivityCalculator);
      // TODO: should curve matrix be computed only once at the end? To save time
      for (int iCurve = 0; iCurve < nbCurve; iCurve++) {
        final SingleCurveBundle<GeneratorYDCurve> singleCurve = curveBundle.getCurveBundle(iCurve);
        unitBundleSoFar.put(singleCurve.getCurveName(), new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[iCurve]));
      }
      knownSoFarData.setAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }
    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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      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 HullWhiteOneFactorProviderDiscount marketDscBumpedPlus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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 HullWhiteOneFactorProviderDiscount marketDscBumpedMinus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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 = hullWhite.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 = hullWhite.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = hullWhite.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 HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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 HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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 = hullWhite.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 = hullWhite.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = hullWhite.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 HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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 HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hullWhite.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hullWhite.getHullWhiteParameters(), hullWhite.getHullWhiteCurrency());
        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);
 
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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      final double[] sensitivity = new double[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 HullWhiteOneFactorProviderDiscount marketDscBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = 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 HullWhiteOneFactorProviderDiscount marketDscBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withDiscountFactor(ccy, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = hwcurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = hwcurves.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[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 HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = 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 HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = hwcurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = hwcurves.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[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 HullWhiteOneFactorProviderDiscount marketFwdBumpedPlus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedPlus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedPlus = 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 HullWhiteOneFactorProviderDiscount marketFwdBumpedMinus = new HullWhiteOneFactorProviderDiscount(hwcurves.getMulticurveProvider().withForward(index, dscBumpedMinus),
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(index);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(SWAPTION_LONG_PAYER, bundleBumped).getAmount(EUR);
      volatilityBumped[loopvol] -= 2 * shiftVol;
 
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    final double[] hwSensitivityExpected = new double[nbVolatility];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW_APPROXIMATION.presentValue(SWAPTION_PAYER_LONG, bundleBumped).getAmount(EUR);
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.HullWhiteOneFactorProviderDiscount

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    final double[] volatilityTime = new double[nbVolatility - 1];
    System.arraycopy(HW_PARAMETERS.getVolatilityTime(), 1, volatilityTime, 0, nbVolatility - 1);
    final double[] pvBumpedPlus = new double[nbVolatility];
    final double[] pvBumpedMinus = new double[nbVolatility];
    final HullWhiteOneFactorPiecewiseConstantParameters parametersBumped = new HullWhiteOneFactorPiecewiseConstantParameters(HW_PARAMETERS.getMeanReversion(), volatilityBumped, volatilityTime);
    final HullWhiteOneFactorProviderDiscount bundleBumped = new HullWhiteOneFactorProviderDiscount(MULTICURVES, parametersBumped, EUR);
    final double[] hwSensitivityExpected = new double[hwSensitivity.length];
    for (int loopvol = 0; loopvol < nbVolatility; loopvol++) {
      volatilityBumped[loopvol] += shiftVol;
      parametersBumped.setVolatility(volatilityBumped);
      pvBumpedPlus[loopvol] = METHOD_HW.presentValue(instrument, bundleBumped).getAmount(EUR);
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