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

com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()
Create a new sensitivity object with all the sensitivities multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.

    final PresentValueSABRSensitivityDataBundle sensiCalculator = TRANSACTION.accept(calculator, SABR_BUNDLE);
    final PresentValueSABRSensitivityDataBundle sensiMethod = METHOD.presentValueSABRSensitivity(TRANSACTION, SABR_BUNDLE);
    assertEquals("Future option curve sensitivity: method comparison with present value calculator", sensiCalculator, sensiMethod);
    final InterestRateFutureOptionMarginSecuritySABRMethod methodSecurity = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
    PresentValueSABRSensitivityDataBundle sensiSecurity = methodSecurity.priceSABRSensitivity(OPTION_EDU2, SABR_BUNDLE);
    sensiSecurity = sensiSecurity.multiplyBy(QUANTITY * NOTIONAL * FUTURE_FACTOR);
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getAlpha(), sensiSecurity.getAlpha());
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getRho(), sensiSecurity.getRho());
    assertEquals("Future discounting curve sensitivity: security price vs transaction sensitivity", sensiMethod.getNu(), sensiSecurity.getNu());
  }

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    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final DoublesPair expectedExpiryTenor = new DoublesPair(swaptionLongPayerHighStrike.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;

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  public void testPresentValueSABRSensitivitySABRParameters() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_BUNDLE);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_BUNDLE);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD.presentValue(SWAPTION_LONG_PAYER, SABR_BUNDLE).getAmount();
    final double shift = 0.0001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);

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