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

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

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        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);
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        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);
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        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.getIssuerProvider().getIssuersCurrencies();
    for (final Pair<String, Currency> ic : issuerCcies) {
      final YieldAndDiscountCurve curve = issuercurves.getIssuerProvider().getCurve(ic);
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        final Double valueBumped = instrument.accept(_valueCalculator, providerIcBumped);
        final Double valueDiff = valueBumped + valueInitMinus;
        sensitivity[loopnode] = valueDiff / _shift;
      }
      final String name = issuercurves.getIssuerProvider().getName(ic);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    return result;
  }
}
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            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketDscBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(ccy);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward ON
    final Set<IndexON> indexON = g2curves.getMulticurveProvider().getIndexesON();
    for (final IndexON index : indexON) {
      final YieldAndDiscountCurve curve = g2curves.getMulticurveProvider().getCurve(index);
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            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    // Forward Ibor - symmetrical
    final Set<IborIndex> indexForward = g2curves.getMulticurveProvider().getIndexesIbor();
    for (final IborIndex index : indexForward) {
      final YieldAndDiscountCurve curve = g2curves.getMulticurveProvider().getCurve(index);
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            g2curves.getG2ppParameters(), g2curves.getG2ppCurrency());
        final double valueBumpedMinus = instrument.accept(_valueCalculator, marketFwdBumpedMinus);
        sensitivity[loopnode] = (valueBumpedPlus - valueBumpedMinus) / (2 * _shift);
      }
      final String name = g2curves.getMulticurveProvider().getName(index);
      result = result.plus(name, new DoubleMatrix1D(sensitivity));
    }
    return result;
  }
}
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    SimpleParameterSensitivity ps = new SimpleParameterSensitivity();

    final Map<String, List<DoublesPair>> sensitivityPriceCurve = sensitivity.getPriceCurveSensitivities();
    for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityPriceCurve.entrySet()) {
      if (curvesSet.contains(entry.getKey())) {
        ps = ps.plus(entry.getKey(), new DoubleMatrix1D(inflation.parameterInflationSensitivity(entry.getKey(), entry.getValue())));
      }
    }

    // YieldAndDiscount
    final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getYieldDiscountingSensitivities();
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    // 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(inflation.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()) {
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    }
    // 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(inflation.getMulticurveProvider().parameterForwardSensitivity(entry.getKey(), entry.getValue())));
      }
    }

    // By curve name in the curves set (to have the right order)
    double[] result = new double[0];
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