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

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.converted()
Create a new parameter sensitivity with the new sensitivity with all the values in a common currency. @param fxMatrix The matrix with relevant exchange rates, not null @param ccy The currency in which the sensitivity is converted, not null @return The converted sensitivity.

    MultipleCurrencyParameterSensitivity psMin = new MultipleCurrencyParameterSensitivity();
    psMin = psMin.plus(ps);
    for (int loopref = 0; loopref < nbReference; loopref++) { // To created the hedge portfolio
      psMin = psMin.plus(rs[loopref].multipliedBy(hedging[loopref]));
    }
    final DoubleMatrix1D psMinMatrix = PortfolioHedgingCalculator.toMatrix(psMin.converted(FX_MATRIX, EUR), ORDER);
    final DoubleMatrix2D psMinMatrixT = new DoubleMatrix2D(new double[][] {psMinMatrix.getData()});
    final double penalty = ((DoubleMatrix2D) MATRIX.multiply(psMinMatrixT, MATRIX.multiply(wtW, psMinMatrix))).getEntry(0, 0);


    final double shift = 0.01;
    final double[] penaltyPlus = new double[nbReference];

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    final double[] penaltyMinus = new double[nbReference];
    for (int loopref = 0; loopref < nbReference; loopref++) { // Shift on each quantity
      MultipleCurrencyParameterSensitivity psPertPlus = new MultipleCurrencyParameterSensitivity();
      psPertPlus = psPertPlus.plus(psMin);
      psPertPlus = psPertPlus.plus(rs[loopref].multipliedBy(shift));
      final DoubleMatrix1D psPertPlusMat = PortfolioHedgingCalculator.toMatrix(psPertPlus.converted(FX_MATRIX, EUR), ORDER);
      final DoubleMatrix2D psPertPlusMatT = new DoubleMatrix2D(new double[][] {psPertPlusMat.getData()});
      penaltyPlus[loopref] = ((DoubleMatrix2D) MATRIX.multiply(psPertPlusMatT, MATRIX.multiply(wtW, psPertPlusMat))).getEntry(0, 0);
      assertTrue("PortfolioHedgingCalculator: minimum", penalty < penaltyPlus[loopref]);


      MultipleCurrencyParameterSensitivity psPertMinus = new MultipleCurrencyParameterSensitivity();

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      assertTrue("PortfolioHedgingCalculator: minimum", penalty < penaltyPlus[loopref]);


      MultipleCurrencyParameterSensitivity psPertMinus = new MultipleCurrencyParameterSensitivity();
      psPertMinus = psPertMinus.plus(psMin);
      psPertMinus = psPertMinus.plus(rs[loopref].multipliedBy(-shift));
      final DoubleMatrix1D psPertMinusMat = PortfolioHedgingCalculator.toMatrix(psPertMinus.converted(FX_MATRIX, EUR), ORDER);
      final DoubleMatrix2D psPertMinusMatT = new DoubleMatrix2D(new double[][] {psPertMinusMat.getData()});
      penaltyMinus[loopref] = ((DoubleMatrix2D) MATRIX.multiply(psPertMinusMatT, MATRIX.multiply(wtW, psPertMinusMat))).getEntry(0, 0);
      assertTrue("PortfolioHedgingCalculator: minimum " + loopref, penalty < penaltyMinus[loopref]);
    }

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