Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.plus()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.plus()
Create a copy of the sensitivity and add a given sensitivity to it. @param other The sensitivity to add. @return The total sensitivity.

    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double volatility = blackMulticurves.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), maturity);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }

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    final double price = BlackFormulaRepository.price(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double delta = BlackFormulaRepository.delta(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry());


    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }

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    // Curve sensitivity
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    final MultipleCurrencyMulticurveSensitivity pvcs = MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
    // SABR sensitivity

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      final double notional = ((CouponInflation) swap.getSecondLeg().getNthPayment(0)).getNotional();
      final double intermediateVariable = (1 / tenor) * Math.pow(pvInflationLeg / discountFactor / notional + 1, 1 / tenor - 1) / (discountFactor * notional);
      final MulticurveSensitivity modifiedpvcs = pvcs.multipliedBy(-pvInflationLeg * intermediateVariable / discountFactor);
      final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);


      return InflationSensitivity.of(modifiedpvcs.plus(modifiedpvcis.getMulticurveSensitivity()), modifiedpvcis.getPriceCurveSensitivities());
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());

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    final double delta = BlackFormulaRepository.delta(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry());


    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);

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    final double gamma = BlackFormulaRepository.gamma(forwardModified, strikeModified, volatility, swaption.getTimeToExpiry());


    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), 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(multicurves.getName(ccy), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(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 MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }

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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);
    MulticurveSensitivity 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 MultipleCurrencyMulticurveSensitivity.of(ccy, 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);
    MulticurveSensitivity 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 MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }

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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(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double price = sabrExtrapolation.price(swaption);
    result = result.multipliedBy(pvbp * price);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * price + pvbp * sabrExtrapolation.priceDerivativeForward(swaption))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result);
  }

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