Examples of com.opengamma.analytics.financial.forex.method.MultipleCurrencyInterestRateCurveSensitivity.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.

  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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  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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