Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.plus()

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    final double nu = sabrData.getSABRParameter().getNu(expiryMaturity);
    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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        dPhidC[loopp1] = dPhidC[loopp1].plus(dfdC[loopp2].multipliedBy(-dfdPhiInvMat.getEntry(loopp1, loopp2))).cleaned();
      }
    }
    InterestRateCurveSensitivity dPvdC = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmmBundle);
    for (int loopp = 0; loopp < 2 * nbPeriods; loopp++) {
      dPvdC = dPvdC.plus(dPhidC[loopp].multipliedBy(dPvdPhi[loopp])).cleaned();
    }
    return new Triple<>(pv, sensiSABR, dPvdC);
  }

}
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        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    InterestRateCurveSensitivity pvcsAdjust = new InterestRateCurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcsAdjust = pvcsAdjust.cleaned();
    InterestRateCurveSensitivity pvcsTot = pvcsCal.plus(pvcsAdjust);
    pvcsTot = pvcsTot.cleaned();
    return pvcsTot;
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        dLambdadC[loopcal1] = dLambdadC[loopcal1].plus(pvcsCalDiff[loopcal2].multipliedBy(dPvCaldLambdaMatrixInverse.getEntry(loopcal1, loopcal2)));
      }
    }
    InterestRateCurveSensitivity pvcs = new InterestRateCurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount()));
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    }
    InterestRateCurveSensitivity pvcs = new InterestRateCurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmmBundle).getAmount()));
    results.add(pvcs);
    results.add(pvss);
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    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = curveBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }
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    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(bond.getRepoCurveName(), listDf);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.multipliedBy(pv / notional);
    result = result.plus(sensiPv.multipliedBy(1 / (df * notional)));
    return result;
  }

  /**
   * Computes the clean price of a bond security from curves.
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