Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.addAll()

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    final List<DoublesPair> tempForward = pvsCapLong.getSensitivities().get(FORWARD_CURVE_NAME);
    final double[] resFwd = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = METHOD.presentValue(capBumpedForward, sabrBundleBumped).getAmount();
      resFwd[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
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    final List<DoublesPair> tempFunding = pvsCapLong.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] resDsc = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = METHOD.presentValue(capBumpedFunding, sabrBundleBumped).getAmount();
      resDsc[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
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    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = sensi.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
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    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = sensi.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = swaptionBumpedFunding.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
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    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final double[] sensiPvForwardFD = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final double bumpedPv = FRA_METHOD.presentValue(fraBumpedForward, curvesBumpedForward).getAmount();
      sensiPvForwardFD[i] = (bumpedPv - pv) / deltaShift;
    }
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    nodeTimesFunding[1] = FRA.getPaymentTime();
    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
    final double[] resDsc = new double[1];
    resDsc[0] = (bumpedPvDsc - pv) / deltaShift;
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    final List<DoublesPair> tempForward = pvsLongPayerExtra.getSensitivities().get(FORWARD_CURVE_NAME);
    final double[] resFwd = new double[nbForwardDate];
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = methodExtra.presentValue(swaptionBumpedForward, sabrBundleBumped);
      resFwd[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
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    final List<DoublesPair> tempFunding = pvsLongPayerExtra.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] resDsc = new double[nbPayDate];
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = methodExtra.presentValue(swaptionBumpedFunding, sabrBundleBumped);
      resDsc[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
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    final YieldAndDiscountCurve tempCurveForward = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesForward, yieldsForward, new LinearInterpolator1D()));
    final List<DoublesPair> tempForward = sensi.getSensitivities().get(FORWARD_CURVE_NAME);
    for (int i = 0; i < nbForwardDate; i++) {
      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = swaptionBumpedForward.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
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    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final List<DoublesPair> tempFunding = sensi.getSensitivities().get(FUNDING_CURVE_NAME);
    for (int i = 0; i < nbPayDate; i++) {
      final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[i + 1], deltaShift);
      final YieldCurveBundle curvesBumped = new YieldCurveBundle();
      curvesBumped.addAll(curves);
      curvesBumped.setCurve("Bumped Curve", bumpedCurve);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumped);
      final double bumpedpv = swaptionBumpedFunding.accept(PVC, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
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