List of multipliedBy() Examples

Examples of multipliedBy()

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.inflation.InflationSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()
Create a new sensitivity object containing the original sensitivity multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.multipliedBy()
Create a new multiple currency sensitivity by multiplying all the sensitivities in a multiple currency sensitivity by a common factor. @param factor The multiplicative factor. @return The new multiple currency sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.multipliedBy()
Create a copy of the object with all the sensitivities multiplied by a common factor. @param factor The factor. @return The multiplied sensitivity.
com.opengamma.analytics.financial.provider.sensitivity.multicurve.SimpleParameterSensitivity.multipliedBy()
Create a copy of the object with all the sensitivities multiplied by a common factor. @param factor The factor. @return The multiplied sensitivity.
com.opengamma.util.money.CurrencyAmount.multipliedBy()
Returns a copy of this {@code CurrencyAmount} with the amount multiplied.
This takes this amount and multiplies it by the specified value. The multiplication simply uses standard {@code double} arithmetic.
This instance is immutable and unaffected by this method. @param valueToMultiplyBy the scalar amount to multiply by @return an amount based on this with the amount multiplied, not null
com.opengamma.util.money.MultipleCurrencyAmount.multipliedBy()
Returns a copy of this {@code MultipleCurrencyAmount} with all the amounts multiplied by the factor.
This instance is immutable and unaffected by this method. @param factor The multiplicative factor. @return An amount based on this with all the amounts multiplied by the factor. Not null
org.threeten.bp.Period.multipliedBy()
Returns a new instance with each element in this period multiplied by the specified scalar.
This simply multiplies each field, years, months, days and normalized time, by the scalar. No normalization is performed. @param scalar the scalar to multiply by, not null @return a {@code Period} based on this period with the amounts multiplied by the scalar, not null @throws ArithmeticException if numeric overflow occurs

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    // Backward sweep
    final double priceBar = 1.0;
    final double forwardBar = priceAdjoint[1] * priceBar;
    final double priceFutureBar = -forwardBar;
    final MulticurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), blackData.getMulticurveProvider());
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }


  /**
   * Computes the option security price volatility sensitivity. The future price is computed without convexity adjustment.
   * @param security The future option security.

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatility);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    final MultipleCurrencyMulticurveSensitivity pvcs = MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
    // SABR sensitivity
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    final DoublesPair expiryMaturity = new DoublesPair(swaption.getTimeToExpiry(), maturity);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()


    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(-multFact * cfaInitBar[loopcf]));
      }
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity);
  }

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
    // Implementation note: Total pv in currency 1.


    final Map<String, List<DoublesPair>> sensitivityPriceCurve = new HashMap<>();
    return InflationSensitivity.of(pvcs1.multipliedBy(-1.0 / pvmqs).plus(pvmqscs.multipliedBy(pv / (pvmqs * pvmqs))), sensitivityPriceCurve);
  }


  @Override
  public InflationSensitivity visitFixedCouponSwap(final SwapFixedCoupon<?> swap, final InflationProviderInterface inflation) {
    return visitSwap(swap, inflation);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hullWhite.getMulticurveProvider());
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    if (!swaption.isLong()) {
      return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity.multipliedBy(-1.0));
    }

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    final double sensiDF = -swaption.getSettlementTime() * discountFactorSettle * pvbp * bsAdjoint[0];
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(swaption.getSettlementTime(), sensiDF));
    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * bsAdjoint[1]));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    final double delta = BlackFormulaRepository.delta(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry(), swaption.isCall());
    final double gamma = BlackFormulaRepository.gamma(forward, swaption.getStrike(), volatility, swaption.getTimeToExpiry());


    MulticurveSensitivity result = forwardDr.multipliedBy(discountFactorSettle * (pvbpDff * price + 2. * pvbpDf * delta + pvbp * gamma));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    MulticurveSensitivity result = pvbpModifiedDr2.multipliedBy(price);
    result = result.plus(pvbpModifiedDr.productOf(forwardModifiedDr.multipliedBy(2. * pvbpModified * delta)));
    result = result.plus(forwardModifiedDr2.multipliedBy(pvbpModified * delta));
    result = result.plus(forwardModifiedDr.productOf(forwardModifiedDr.multipliedBy(pvbpModified * gamma)));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return MultipleCurrencyMulticurveSensitivity.of(swaption.getCurrency(), result);
  }


  /**

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.multipliedBy()

    MulticurveSensitivity sensitivity = MulticurveSensitivity.ofYieldDiscounting(pvsDF);
    final Map<Double, MulticurveSensitivity> cfeIborCurveSensi = swaption.getUnderlyingSwap().getSecondLeg().accept(CFECSC, multicurves);
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      final MulticurveSensitivity sensiCfe = cfeIborCurveSensi.get(cfeIbor.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountIborBar[loopcf]));
      }
    }
    return MultipleCurrencyMulticurveSensitivity.of(ccy, sensitivity);
  }

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