List of addRho() Examples

Examples of addRho()

com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()
Add one sensitivity to the rho sensitivity. @param expiryMaturity The expirytime/maturity pair. @param sensitivity The sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryDelay = new DoublesPair(security.getExpirationTime(), delay);
    sensi.addAlpha(expiryDelay, volatilityAdjoint[3] * volatilityBar);
    sensi.addBeta(expiryDelay, volatilityAdjoint[4] * volatilityBar);
    sensi.addRho(expiryDelay, volatilityAdjoint[5] * volatilityBar);
    sensi.addNu(expiryDelay, volatilityAdjoint[6] * volatilityBar);
    return sensi;
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * priceDSabr[3]);
    return sensi;
  }


}

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[6]);
    return sensi;
  }


}

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensiSABR.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensiSABR.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensiSABR.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }


    // 3. Curve sensitivities

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensiSABR.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensiSABR.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensiSABR.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }


    // 3. Curve sensitivities

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      sensi.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      sensi.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      pvss.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      pvss.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    // Curve sensitivity
    final InterestRateCurveSensitivity[] dLambdadC = new InterestRateCurveSensitivity[nbCal];
    for (int loopcal1 = 0; loopcal1 < nbCal; loopcal1++) {

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addRho()

    final double[] bsAdjoint = blackFunction.getPriceAdjoint(swaption, dataBlack);
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * bsAdjoint[2] * volatilityAdjoint[6]);
    return sensi;
  }


}

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