Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.converted()
Create a new sensitivity which is the conversion of the multiple currency sensitivity to the sensitivity in a given currency. @param ccy The currency in which the sensitivities should be converted. @param fx The matrix with the exchange rates. @return The one currency sensitivity.


      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());
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.

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    // Backward sweep
    final double spreadBar = 1.0;
    final double dfEndBar = -pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
    final double pv2Bar = spreadBar / (notional1 * dfEnd);
    final MultipleCurrencyMulticurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, multicurves);
    final MulticurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, multicurves.getFxRates()).getSensitivity(ccy2);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(multicurves.getName(ccy2), list);
    final MulticurveSensitivity dfEndDr = MulticurveSensitivity.ofYieldDiscounting(result);

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    // Backward sweep
    final double spreadBar = 1.0;
    final double dfEndBar = pv2 / (notional1 * dfEnd * dfEnd) * spreadBar;
    final double pv2Bar = -spreadBar / (notional1 * dfEnd);
    final MultipleCurrencyMulticurveSensitivity pv2DrMC = presentValueCurveSensitivity(fx, multicurves);
    final MulticurveSensitivity pv2Dr = pv2DrMC.converted(ccy2, multicurves.getFxRates()).getSensitivity(ccy2);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(payTime, -payTime * dfEnd * dfEndBar));
    final Map<String, List<DoublesPair>> result = new HashMap<>();
    result.put(multicurves.getName(ccy2), list);
    final MulticurveSensitivity dfEndDr = MulticurveSensitivity.ofYieldDiscounting(result);

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      return modifiedpvcsFirstLeg.plus(modifiedpvcsSecondLeg);
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, multicurves);
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, multicurves.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, multicurves);
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, multicurves);
    final double pv = multicurves.getFxRates().convert(swap.accept(PVMC, multicurves), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.
    return pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs)));

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