List of converted() Examples

Examples of converted()

com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity.converted()
Create a new sensitivity which is the conversion of the multiple currency sensitivity to the sensitivity in a given currency. @param ccy The currency in which the sensitivities should be converted. @param fx The matrix with the exchange rates. @return The one currency sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()
Create a new sensitivity which is the conversion of the multiple currency sensitivity to the sensitivity in a given currency. @param ccy The currency in which the sensitivities should be converted. @param fx The matrix with the exchange rates. @return The one currency sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.converted()
Create a new parameter sensitivity with the new sensitivity with all the values in a common currency. @param fxMatrix The matrix with relevant exchange rates, not null @param ccy The currency in which the sensitivity is converted, not null @return The converted sensitivity.

Examples of com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity.converted()

  public InterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.notNull(swap, "Swap");
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyInterestRateCurveSensitivity pvcsmc = swap.accept(PVCSMCC, curves);
    final InterestRateCurveSensitivity pvcs = pvcsmc.converted(ccy1, curves.getFxRates()).getSensitivity(ccy1);
    final InterestRateCurveSensitivity pvbpcs = swap.getFirstLeg().accept(PVBPCSC, curves);
    final double pvbp = swap.getFirstLeg().accept(PVBPC, curves);
    final double pv = curves.getFxRates().convert(swap.accept(PVMCC, curves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs.multipliedBy(-1.0 / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp)));

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Examples of com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity.converted()

  public InterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.notNull(swap, "Swap");
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyInterestRateCurveSensitivity pvcsmc = swap.accept(PVCSMCC, curves);
    final InterestRateCurveSensitivity pvcs = pvcsmc.converted(ccy1, curves.getFxRates()).getSensitivity(ccy1);
    final InterestRateCurveSensitivity pvbpcs = swap.getFirstLeg().accept(PVBPCSC, curves);
    final double pvbp = swap.getFirstLeg().accept(PVBPC, curves);
    final double pv = curves.getFxRates().convert(swap.accept(PVMCC, curves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs.multipliedBy(-1.0 / pvbp).plus(pvbpcs.multipliedBy(pv / (pvbp * pvbp)));

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()


      return InflationSensitivity.of(modifiedpvcs.plus(modifiedpvcis.getMulticurveSensitivity()), modifiedpvcis.getPriceCurveSensitivities());
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()

    // Backward sweep
    final double spreadBar = 1.0;
    final double dfEndBar = -pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
    final double pv2Bar = spreadBar / (notional1 * dfEnd);
    final MultipleCurrencyMulticurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, multicurves);
    final MulticurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, multicurves.getFxRates()).getSensitivity(ccy2);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(multicurves.getName(ccy2), list);
    final MulticurveSensitivity dfEndDr = MulticurveSensitivity.ofYieldDiscounting(result);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()

    // Backward sweep
    final double spreadBar = 1.0;
    final double dfEndBar = pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
    final double pv2Bar = -spreadBar / (notional1 * dfEnd);
    final MultipleCurrencyMulticurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, multicurves);
    final MulticurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, multicurves.getFxRates()).getSensitivity(ccy2);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(multicurves.getName(ccy2), list);
    final MulticurveSensitivity dfEndDr = MulticurveSensitivity.ofYieldDiscounting(result);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()


      return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, multicurves);
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves);
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves);
    final double pv = multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.converted()

    MultipleCurrencyParameterSensitivity psMin = new MultipleCurrencyParameterSensitivity();
    psMin = psMin.plus(ps);
    for (int loopref = 0; loopref < nbReference; loopref++) { // To created the hedge portfolio
      psMin = psMin.plus(rs[loopref].multipliedBy(hedging[loopref]));
    }
    final DoubleMatrix1D psMinMatrix = PortfolioHedgingCalculator.toMatrix(psMin.converted(FX_MATRIX, EUR), ORDER);
    final DoubleMatrix2D psMinMatrixT = new DoubleMatrix2D(new double[][] {psMinMatrix.getData()});
    final double penalty = ((DoubleMatrix2D) MATRIX.multiply(psMinMatrixT, MATRIX.multiply(wtW, psMinMatrix))).getEntry(0, 0);


    final double shift = 0.01;
    final double[] penaltyPlus = new double[nbReference];

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.converted()

    final double[] penaltyMinus = new double[nbReference];
    for (int loopref = 0; loopref < nbReference; loopref++) { // Shift on each quantity
      MultipleCurrencyParameterSensitivity psPertPlus = new MultipleCurrencyParameterSensitivity();
      psPertPlus = psPertPlus.plus(psMin);
      psPertPlus = psPertPlus.plus(rs[loopref].multipliedBy(shift));
      final DoubleMatrix1D psPertPlusMat = PortfolioHedgingCalculator.toMatrix(psPertPlus.converted(FX_MATRIX, EUR), ORDER);
      final DoubleMatrix2D psPertPlusMatT = new DoubleMatrix2D(new double[][] {psPertPlusMat.getData()});
      penaltyPlus[loopref] = ((DoubleMatrix2D) MATRIX.multiply(psPertPlusMatT, MATRIX.multiply(wtW, psPertPlusMat))).getEntry(0, 0);
      assertTrue("PortfolioHedgingCalculator: minimum", penalty < penaltyPlus[loopref]);


      MultipleCurrencyParameterSensitivity psPertMinus = new MultipleCurrencyParameterSensitivity();

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.converted()

      assertTrue("PortfolioHedgingCalculator: minimum", penalty < penaltyPlus[loopref]);


      MultipleCurrencyParameterSensitivity psPertMinus = new MultipleCurrencyParameterSensitivity();
      psPertMinus = psPertMinus.plus(psMin);
      psPertMinus = psPertMinus.plus(rs[loopref].multipliedBy(-shift));
      final DoubleMatrix1D psPertMinusMat = PortfolioHedgingCalculator.toMatrix(psPertMinus.converted(FX_MATRIX, EUR), ORDER);
      final DoubleMatrix2D psPertMinusMatT = new DoubleMatrix2D(new double[][] {psPertMinusMat.getData()});
      penaltyMinus[loopref] = ((DoubleMatrix2D) MATRIX.multiply(psPertMinusMatT, MATRIX.multiply(wtW, psPertMinusMat))).getEntry(0, 0);
      assertTrue("PortfolioHedgingCalculator: minimum " + loopref, penalty < penaltyMinus[loopref]);
    }

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