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.

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

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    final double[] penaltyPlus = new double[nbReference];
    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]);

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      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();
      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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      penaltyPlus[loopref] = ((DoubleMatrix2D) MATRIX.multiply(psPertPlusMatT, MATRIX.multiply(wtW, psPertPlusMat))).getEntry(0, 0);
      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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