Package com.opengamma.analytics.financial.interestrate

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

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      final DoubleMatrix2D[] mat = makeCurveMatrix(instrumentsSoFarArray, generatorsSoFar, startUnit, nbIns, parametersSoFar.toArray(new Double[parametersSoFar.size()]),
          knownData, sensitivityCalculator);
      for (int loopcurve = 0; loopcurve < curveGenerators[loopunit].length; loopcurve++) {
        unitBundleSoFar.put(curveNames[loopunit][loopcurve], new ObjectsPair<>(new CurveBuildingBlock(unitMap), mat[loopcurve]));
      }
      knownSoFarData.addAll(unitCal.getFirst());
      startUnit = startUnit + nbInsUnit;
    }
    return new ObjectsPair<>(knownSoFarData, new CurveBuildingBlockBundle(unitBundleSoFar));
  }
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    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_1, CURVES);
    double zSpread = 0.0;
    final double pvZ0 = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pv, pvZ0, TOLERANCE_PRICE);
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    double pvZ = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    double pvZExpected = METHOD.presentValue(BOND_FIXED_SECURITY_1, shiftedBundle);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected, pvZ, TOLERANCE_PRICE);
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   * Tests the z-spread computation from the clean price.
   */
  public void zSpreadFromCleanPrice() {
    final double zSpreadExpected = 0.0025; // 25bps
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    final YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpreadExpected);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    final double cleanZSpread = METHOD.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, shiftedBundle);
    final double zSpread = METHOD.zSpreadFromCurvesAndClean(BOND_FIXED_SECURITY_1, CURVES, cleanZSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected, zSpread, 1E-8);
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   * Tests the z-spread sensitivity computation from the present value.
   */
  public void zSpreadSensitivityFromCleanPrice() {
    final double zSpread = 0.0025; // 25bps
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    final YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    final double cleanZSpread = METHOD.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, shiftedBundle);
    final double zsComputed = METHOD.presentValueZSpreadSensitivityFromCurvesAndClean(BOND_FIXED_SECURITY_1, CURVES, cleanZSpread);
    final double zsExpected = METHOD.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, CURVES, zSpread);
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   * @return The present value.
   */
  public double presentValueFromZSpread(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double zSpread) {
    final String discountingCurveName = bond.getDiscountingCurveName();
    final YieldCurveBundle curvesWithZ = new YieldCurveBundle();
    curvesWithZ.addAll(curves);
    final YieldAndDiscountCurve shiftedDiscounting = curves.getCurve(discountingCurveName).withParallelShift(zSpread);
    curvesWithZ.replaceCurve(discountingCurveName, shiftedDiscounting);
    final double result = presentValue(bond, curvesWithZ);
    return result;
  }
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  }

  public double presentValueZSpreadSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double zSpread) {
    final String discountingCurveName = bond.getDiscountingCurveName();
    final YieldCurveBundle curvesWithZ = new YieldCurveBundle();
    curvesWithZ.addAll(curves);
    final YieldAndDiscountCurve shiftedDiscounting = curves.getCurve(discountingCurveName).withParallelShift(zSpread);
    curvesWithZ.replaceCurve(discountingCurveName, shiftedDiscounting);
    final StringAmount parallelSensi = presentValueParallelCurveSensitivity(bond, curvesWithZ);
    return parallelSensi.getMap().get(discountingCurveName);
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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_EXTRAPOLATION_CAP.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_EXTRAPOLATION_CAP.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 = pvsReceiver.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 = cmsBumpedForward.accept(PVC_SABR, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
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    final List<DoublesPair> tempFunding = pvsReceiver.getSensitivities().get(FUNDING_CURVE_NAME);
    final double[] res = 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(cmsBumpedFunding, sabrBundleBumped).getAmount();
      res[i] = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempFunding.get(i);
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