Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

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

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    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurves.getName(ccy), list);
    final MulticurveSensitivity dfCurveSensitivity = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    MultipleCurrencyMulticurveSensitivity result = MultipleCurrencyMulticurveSensitivity.of(ccy, dfCurveSensitivity.multipliedBy(discountFactorPaymentBar));
    result = result.plus(cmsCoupon1CurveSensitivity.multipliedBy(cmsCoupon1PvBar));
    result = result.plus(cmsCoupon2CurveSensitivity.multipliedBy(cmsCoupon2PvBar));
    result = result.plus(cmsCap1CurveSensitivity.multipliedBy(cmsCap1PvBar));
    result = result.plus(cmsCap2CurveSensitivity.multipliedBy(cmsCap2PvBar));
    //Calibration strike dependency -- START
    result = result.plus(ccy, forward1CurveSensitivity.multipliedBy(strike1Bar));
    result = result.plus(ccy, forward2CurveSensitivity.multipliedBy(strike2Bar));
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    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE);
    MultipleCurrencyMulticurveSensitivity pvcsCalculator = PVCSSSC.visit(cap, SABR_MULTICURVES);
    pvcsCalculator = pvcsCalculator.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsExpected = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcpn = 0; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvcsExpected = pvcsExpected.plus(PVCSSSC.visit(cap.getNthPayment(loopcpn), SABR_MULTICURVES));
    }
    pvcsExpected = pvcsExpected.cleaned();
    AssertSensivityObjects.assertEquals("Cap annuity - SABR pv", pvcsExpected, pvcsCalculator, 1.0E-2);
  }
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      }
      MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity();
      for (int i = 0; i < currencies.size(); i++) {
        final Currency currency = Currency.of((String) currencies.get(i).getValue());
        final MulticurveSensitivity sensitivity = deserializer.fieldValueToObject(MulticurveSensitivity.class, sensitivities.get(i));
        result = result.plus(currency, sensitivity);
      }
      return result;
    }

    @Override
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    final Map<String, List<ForwardSensitivity>> forwardCurveSensitivities2 = new HashMap<>();
    forwardCurveSensitivities2.put(name3, Arrays.asList(new ForwardSensitivity(18, 58, 0.258, 108), new ForwardSensitivity(32, 92, 0.2252, 302)));
    forwardCurveSensitivities2.put(name4, Arrays.asList(new ForwardSensitivity(0.18, 48, 0.58, 18)));
    final MulticurveSensitivity sensitivities2 = MulticurveSensitivity.of(yieldCurveSensitivities2, forwardCurveSensitivities2);
    MultipleCurrencyMulticurveSensitivity sensitivities = new MultipleCurrencyMulticurveSensitivity();
    sensitivities = sensitivities.plus(Currency.AUD, sensitivities1);
    sensitivities = sensitivities.plus(Currency.CAD, sensitivities2);
    assertEquals(sensitivities, cycleObject(MultipleCurrencyMulticurveSensitivity.class, sensitivities));
  }

  @Test
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    forwardCurveSensitivities2.put(name3, Arrays.asList(new ForwardSensitivity(18, 58, 0.258, 108), new ForwardSensitivity(32, 92, 0.2252, 302)));
    forwardCurveSensitivities2.put(name4, Arrays.asList(new ForwardSensitivity(0.18, 48, 0.58, 18)));
    final MulticurveSensitivity sensitivities2 = MulticurveSensitivity.of(yieldCurveSensitivities2, forwardCurveSensitivities2);
    MultipleCurrencyMulticurveSensitivity sensitivities = new MultipleCurrencyMulticurveSensitivity();
    sensitivities = sensitivities.plus(Currency.AUD, sensitivities1);
    sensitivities = sensitivities.plus(Currency.CAD, sensitivities2);
    assertEquals(sensitivities, cycleObject(MultipleCurrencyMulticurveSensitivity.class, sensitivities));
  }

  @Test
  public void testSimpleParameterSensitivity() {
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    final MulticurveSensitivity cs = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final Currency ccy1 = Currency.AUD;
    final MultipleCurrencyMulticurveSensitivity mcs = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs);
    assertEquals("MultipleCurrencyCurveSensitivityMarket: of", cs, mcs.getSensitivity(ccy1));
    MultipleCurrencyMulticurveSensitivity constructor = new MultipleCurrencyMulticurveSensitivity();
    constructor = constructor.plus(ccy1, cs);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: of", mcs.cleaned(), constructor.cleaned(), TOLERANCE);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: getSensitivity", new MulticurveSensitivity(), mcs.getSensitivity(Currency.CAD), TOLERANCE);
  }

  @Test
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    final Currency ccy1 = Currency.AUD;
    final Currency ccy2 = Currency.CAD;
    final MulticurveSensitivity cs1 = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MulticurveSensitivity cs2 = MulticurveSensitivity.of(SENSI_22, SENSI_FWD_11);
    MultipleCurrencyMulticurveSensitivity mcs1 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs1);
    mcs1 = mcs1.plus(ccy2, cs2);
    MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs2);
    mcs2 = mcs2.plus(ccy1, cs1);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: cleaned", mcs1.cleaned(), mcs2.cleaned(), TOLERANCE);
  }
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    final MulticurveSensitivity cs1 = MulticurveSensitivity.of(SENSI_11, SENSI_FWD_11);
    final MulticurveSensitivity cs2 = MulticurveSensitivity.of(SENSI_22, SENSI_FWD_11);
    MultipleCurrencyMulticurveSensitivity mcs1 = MultipleCurrencyMulticurveSensitivity.of(ccy1, cs1);
    mcs1 = mcs1.plus(ccy2, cs2);
    MultipleCurrencyMulticurveSensitivity mcs2 = MultipleCurrencyMulticurveSensitivity.of(ccy2, cs2);
    mcs2 = mcs2.plus(ccy1, cs1);
    AssertSensivityObjects.assertEquals("MultipleCurrencyCurveSensitivityMarket: cleaned", mcs1.cleaned(), mcs2.cleaned(), TOLERANCE);
  }

  @Test
  public void converted() {
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    final Map<String, List<DoublesPair>> mapDsc = new HashMap<>();
    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(deposit.getEndTime(), -deposit.getEndTime() * dfEnd * dfEndBar));
    mapDsc.put(multicurves.getName(deposit.getCurrency()), listDiscounting);
    MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity();
    result = result.plus(deposit.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd));
    return result;
  }

  /**
   * Computes the spread to be added to the Ibor rate to have a zero present value.
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    final List<DoublesPair> listDiscounting = new ArrayList<>();
    listDiscounting.add(new DoublesPair(deposit.getStartTime(), -deposit.getStartTime() * dfStart * dfStartBar));
    listDiscounting.add(new DoublesPair(deposit.getEndTime(), -deposit.getEndTime() * dfEnd * dfEndBar));
    mapDsc.put(curves.getName(deposit.getCurrency()), listDiscounting);
    MultipleCurrencyMulticurveSensitivity result = new MultipleCurrencyMulticurveSensitivity();
    result = result.plus(deposit.getCurrency(), MulticurveSensitivity.ofYieldDiscounting(mapDsc));
    return result;
  }

  /**
   * Computes the deposit fair rate given the start and end time and the accrual factor.
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