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

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.plus()
Create a copy of the sensitivity and add a given named sensitivity to it. If the name / currency pair is in the map, the two sensitivity matrices are added. Otherwise, a new entry is put into the map @param nameCcy The name and the currency, not null @param sensitivity The sensitivity to add, not null @return The total sensitivity.

    // YieldAndDiscount
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getSensitivity(ccySensi).getYieldDiscountingSensitivities();
      for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result
              .plus(new ObjectsPair<>(entry.getKey(), ccySensi), new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    // Forward

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    // Forward
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getSensitivity(ccySensi).getForwardSensitivities();
      for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi),
              new DoubleMatrix1D(parameterMulticurves.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }

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    // IndexPrice
    for (final Currency ccySensi : sensitivity.getCurrencies()) {
      final Map<String, List<DoublesPair>> sensitivityPriceIndex = sensitivity.getSensitivity(ccySensi).getPriceCurveSensitivities();
      for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityPriceIndex.entrySet()) {
        if (curvesSet.contains(entry.getKey())) {
          result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi),
              new DoubleMatrix1D(parameterMulticurves.getInflationProvider().parameterInflationSensitivity(entry.getKey(), entry.getValue())));
        }
      }
    }
    return result;

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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }


    // Discounting
    final Set<Currency> ccyDiscounting = multicurve.getCurrencies();

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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(ccy);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward ON
    final Set<IndexON> indexON = multicurve.getIndexesON();
    for (final IndexON index : indexON) {

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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    // Forward Ibor
    final Set<IborIndex> indexForward = multicurve.getIndexesIbor();
    for (final IborIndex index : indexForward) {

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          sensitivity[loopccypv][loopnode] = pvDiff.getAmount(ccyList.get(loopccypv)) / _shift;
        }
      }
      final String name = multicurve.getName(index);
      for (int loopccypv = 0; loopccypv < nbCcy; loopccypv++) {
        result = result.plus(new ObjectsPair<>(name, ccyList.get(loopccypv)), new DoubleMatrix1D(sensitivity[loopccypv]));
      }
    }
    return result;
  }

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  @Test
  public void multiplyBy() {
    final double factor = 5.8;
    MultipleCurrencyParameterSensitivity sensitivity = new MultipleCurrencyParameterSensitivity();
    sensitivity = sensitivity.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensitivity = sensitivity.multipliedBy(factor);
    assertEquals("Test multiplyBy, single name / currency pair: ", MATRIX.scale(SENSITIVITY_1_1, factor), sensitivity.getSensitivity(NAME_1_USD));
    MultipleCurrencyParameterSensitivity sensi2 = new MultipleCurrencyParameterSensitivity();
    sensi2 = sensi2.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensi2 = sensi2.plus(NAME_2_EUR, SENSITIVITY_2_1);

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    MultipleCurrencyParameterSensitivity sensitivity = new MultipleCurrencyParameterSensitivity();
    sensitivity = sensitivity.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensitivity = sensitivity.multipliedBy(factor);
    assertEquals("Test multiplyBy, single name / currency pair: ", MATRIX.scale(SENSITIVITY_1_1, factor), sensitivity.getSensitivity(NAME_1_USD));
    MultipleCurrencyParameterSensitivity sensi2 = new MultipleCurrencyParameterSensitivity();
    sensi2 = sensi2.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensi2 = sensi2.plus(NAME_2_EUR, SENSITIVITY_2_1);
    sensi2 = sensi2.multipliedBy(factor);
    assertEquals("Test multiplyBy, first name / currency pair: ", MATRIX.scale(SENSITIVITY_1_1, factor), sensi2.getSensitivity(NAME_1_USD));
    assertEquals("Test multiplyBy, second name / currency pair: ", MATRIX.scale(SENSITIVITY_2_1, factor), sensi2.getSensitivity(NAME_2_EUR));
  }

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    sensitivity = sensitivity.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensitivity = sensitivity.multipliedBy(factor);
    assertEquals("Test multiplyBy, single name / currency pair: ", MATRIX.scale(SENSITIVITY_1_1, factor), sensitivity.getSensitivity(NAME_1_USD));
    MultipleCurrencyParameterSensitivity sensi2 = new MultipleCurrencyParameterSensitivity();
    sensi2 = sensi2.plus(NAME_1_USD, SENSITIVITY_1_1);
    sensi2 = sensi2.plus(NAME_2_EUR, SENSITIVITY_2_1);
    sensi2 = sensi2.multipliedBy(factor);
    assertEquals("Test multiplyBy, first name / currency pair: ", MATRIX.scale(SENSITIVITY_1_1, factor), sensi2.getSensitivity(NAME_1_USD));
    assertEquals("Test multiplyBy, second name / currency pair: ", MATRIX.scale(SENSITIVITY_2_1, factor), sensi2.getSensitivity(NAME_2_EUR));
  }

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