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.interestrate.InterestRateCurveSensitivity.multipliedBy()

    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final double forwardBar = priceAdjoint[1] * priceBar + volatilityAdjoint[1] * volatilityBar;
    final double priceFutureBar = -forwardBar;
    final InterestRateCurveSensitivity priceFutureDerivative = METHOD_FUTURE.priceCurveSensitivity(security.getUnderlyingFuture(), sabrData);
    return priceFutureDerivative.multipliedBy(priceFutureBar);
  }


  @Override
  public InterestRateCurveSensitivity priceCurveSensitivity(final InterestRateFutureOptionMarginSecurity security, final YieldCurveBundle curves) {
    ArgumentChecker.isTrue(curves instanceof SABRInterestRateDataBundle, "Yield curve bundle should contain SABR parameters");

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

   */
  public InterestRateCurveSensitivity deltaWrtCurve(final InterestRateFutureOptionMarginTransaction transaction, final YieldCurveWithBlackCubeBundle blackData) {
    final InterestRateCurveSensitivity securityDelta = SECURITY_METHOD.priceCurveSensitivity(transaction.getUnderlyingOption(), blackData);
    final double scaleFactor = transaction.getQuantity() * transaction.getUnderlyingOption().getUnderlyingFuture().getNotional()
        * transaction.getUnderlyingOption().getUnderlyingFuture().getPaymentAccrualFactor();
    return securityDelta.multipliedBy(scaleFactor);
  }


  /**
   * Computes the present value gamma of a transaction.
   * This is with respect to eithe futures price, or rate=1-price

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(sabrExtrapolation.price(option));
    final double priceDF = sabrExtrapolation.priceDerivativeForward(option);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * priceDF));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }


  /**

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    InterestRateCurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardModifiedDr.multipliedBy(pvbpModified * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }


  /**

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, lmmBundle);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity 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 sensitivity;
  }

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = futures.getUnderlyingSwap().accept(CFECSC, curves);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
  }

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

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


  /**

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeIborCurveSensi = swaption.getUnderlyingSwap().getSecondLeg().accept(CFECSC, hwData);
    for (int loopcf = 0; loopcf < cfeIbor.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity 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 sensitivity;
  }

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(annuityFixed.getNthPayment(0).getFundingCurveName(), list);
    InterestRateCurveSensitivity result = new InterestRateCurveSensitivity(resultMap);
    result = result.plus(forwardDr.multipliedBy(discountFactorSettle * (pvbpDf * bsAdjoint[0] + pvbp * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1]))));
    if (!swaption.isLong()) {
      result = result.multipliedBy(-1);
    }
    return result;
  }


  /**

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Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.multipliedBy()

    InterestRateCurveSensitivity sensitivity = new InterestRateCurveSensitivity(pvsDF);
    final Map<Double, InterestRateCurveSensitivity> cfeCurveSensi = swaption.getUnderlyingSwap().accept(CFECSC, hwData);
    for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
      final InterestRateCurveSensitivity sensiCfe = cfeCurveSensi.get(cfe.getNthPayment(loopcf).getPaymentTime());
      if (!(sensiCfe == null)) { // There is some sensitivity to that cfe.
        sensitivity = sensitivity.plus(sensiCfe.multipliedBy(cfeAmountBar[loopcf]));
      }
    }
    return sensitivity;
  }

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