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

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

83
84
85
86
87
88
89
90
91
92
93
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = hwcurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = hwcurves.getMulticurveProvider().getCurve(index);
View Full Code Here
112
113
114
115
116
117
118
119
120
121
122
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = hwcurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = hwcurves.getMulticurveProvider().getCurve(index);
View Full Code Here
141
142
143
144
145
146
147
148
149
150
            hwcurves.getHullWhiteParameters(), hwcurves.getHullWhiteCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = hwcurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    return result;
  }
}
View Full Code Here
80
81
82
83
84
85
86
87
88
89
90
        final Double valueBumped = instrument.accept(_valueCalculator, marketDscBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = issuercurves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
View Full Code Here
102
103
104
105
106
107
108
109
110
111
112
        final Double valueBumped = instrument.accept(_valueCalculator, marketFwdBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = issuercurves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = issuercurves.getMulticurveProvider().getCurve(index);
View Full Code Here
130
131
132
133
134
135
136
137
138
139
140
        final Double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        final Double valueDiff = valueBumpedPlus - valueBumpedMinus;
        sensitivity[loopnode] = valueDiff / (2 * _shift);
      }
      final String name = issuercurves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Discounting issuer
    final Set<Pair<String, Currency>> issuerCcies = issuercurves.getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getCurve(ic);
View Full Code Here
152
153
154
155
156
157
158
159
160
161
        final Double valueBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getName(ic);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    return result;
  }
}
View Full Code Here
39
40
41
42
43
44
45
46
47
48
49
    SimpleParameterSensitivity ps = new SimpleParameterSensitivity();
    // YieldAndDiscount
    final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getYieldDiscountingSensitivities();
    for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
      if (curvesSet.contains(entry.getKey())) {
        ps = ps.plus(entry.getKey(), new DoubleMatrix1D(hullWhite.getMulticurveProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
      }
    }
    // Forward
    final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getForwardSensitivities();
    for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
View Full Code Here
46
47
48
49
50
51
52
53
54
55
56
    }
    // Forward
    final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getForwardSensitivities();
    for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
      if (curvesSet.contains(entry.getKey())) {
        ps = ps.plus(entry.getKey(), new DoubleMatrix1D(hullWhite.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
      }
    }
    // By curve name in the curves set (to have the right order)
    double[] result = new double[0];
    for (final String name : curvesSet) {
View Full Code Here
45
46
47
48
49
50
51
52
53
54
55
    SimpleParameterSensitivity result = new SimpleParameterSensitivity();
    // YieldAndDiscount
    final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getYieldDiscountingSensitivities();
    for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
      if (curvesSet.contains(entry.getKey())) {
        result = result.plus(entry.getKey(), new DoubleMatrix1D(multicurves.getIssuerProvider().parameterSensitivity(entry.getKey(), entry.getValue())));
      }
    }
    // Forward
    final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getForwardSensitivities();
    for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.