List of multiplyBy() Examples

Examples of multiplyBy()

aima.core.probability.CategoricalDistribution.multiplyBy()
Multiplication of this Distribution by a given multiplier, creating a new Distribution representing the product of the two. Note: Is equivalent to pointwise product calculation on factors.

see: AIMA3e Figure 14.10 page 527.

Note: Default Distribution multiplication is not commutative. The reason is because the order of the variables comprising a Distribution dictate the ordering of the values for that distribution. For example (the General case of Baye's rule, AIMA3e pg. 496), using this API method:

P(Y | X) = (P(X | Y)P(Y))/P(X)

is NOT true, due to multiplication of distributions not being commutative. However:

P(Y | X) = (P(Y)P(X | Y))/P(X)

is true, using this API.

The default order of the variable of the Distribution returned is the order of the variables as they are seen, as read from the left to right term, for e.g.:

P(Y)P(X | Y)

would give a Distribution of the following form:
Y, X

i.e. an ordered union of the variables from the two distributions.
To override the default order of the product use multiplyByPOS(). @param multiplier @return a new Distribution representing the product of this and thepassed in multiplier. The order of the variables comprising the product distribution is the ordered union of the left term (this) and the right term (multiplier). @see CategoricalDistribution#multiplyByPOS(CategoricalDistribution,RandomVariable)
cc.mallet.grmm.types.FactorGraph.multiplyBy()
cc.mallet.grmm.types.LogTableFactor.multiplyBy()
com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()
Create a new sensitivity object with all the sensitivities multiplied by a common factor. @param factor The multiplicative factor. @return The multiplied sensitivity.
net.lenkaspace.creeper.vo.CRVector3d.multiplyBy()
org.apache.commons.lang.math.Fraction.multiplyBy()

Multiplies the value of this fraction by another, returning the result in reduced form.
@param fraction the fraction to multiply by, must not be null @return a Fraction instance with the resulting values @throws IllegalArgumentException if the fraction is null @throws ArithmeticException if the resulting numerator or denominator exceedsInteger.MAX_VALUE
org.eigenbase.relopt.RelOptCost.multiplyBy()
Multiplies this cost by a scalar factor. @param factor scalar factor @return scalar product of this and factor

Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

    PresentValueSABRSensitivityDataBundle cmsCap1SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap1, sabrData);
    PresentValueSABRSensitivityDataBundle cmsCap2SABRSensitivity = _methodCmsCap.presentValueSABRSensitivity(cmsCap2, sabrData);
    cmsCoupon1SABRSensitivity = cmsCoupon1SABRSensitivity.multiplyBy(cmsCoupon1PriceBar);
    cmsCoupon2SABRSensitivity = cmsCoupon2SABRSensitivity.multiplyBy(cmsCoupon2PriceBar);
    cmsCap1SABRSensitivity = cmsCap1SABRSensitivity.multiplyBy(cmsCap1PriceBar);
    cmsCap2SABRSensitivity = cmsCap2SABRSensitivity.multiplyBy(cmsCap2PriceBar);
    PresentValueSABRSensitivityDataBundle result = cmsCoupon1SABRSensitivity;
    result = result.plus(cmsCoupon2SABRSensitivity);
    result = result.plus(cmsCap1SABRSensitivity);
    result = result.plus(cmsCap2SABRSensitivity);
    return result;

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void testPresentValueSABRSensitivityBelowCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void testPresentValueSABRSensitivityAboveCutOff() {
    final MultipleCurrencyAmount pv = METHOD_CAP_X.presentValue(CAP_HIGH_LONG, SABR_MULTICURVES);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_LONG, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD_CAP_X.presentValueSABRSensitivity(CAP_HIGH_SHORT, SABR_MULTICURVES);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_LONG_PAYER, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SWPT_CASH.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_SWPT_CASH.presentValue(SWAPTION_LONG_PAYER, SABR_MULTICURVES).getAmount(EUR);
    final double shift = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER.getTimeToExpiry(), ANNUITY_TENOR_YEAR);

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_LONG.getFixingTime(), CAP_LONG.getFixingPeriodEndTime() - CAP_LONG.getFixingPeriodStartTime());

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final CurrencyAmount pv = METHOD.presentValue(CAP_HIGH_LONG, sabrBundle);
    final PresentValueSABRSensitivityDataBundle pvsCapLong = METHOD.presentValueSABRSensitivity(CAP_HIGH_LONG, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsCapShort = METHOD.presentValueSABRSensitivity(CAP_HIGH_SHORT, sabrBundle);
    // Long/short parity
    pvsCapShort = pvsCapShort.multiplyBy(-1.0);
    assertEquals(pvsCapShort.getAlpha(), pvsCapLong.getAlpha());
    // SABR sensitivity vs finite difference
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;
    final DoublesPair expectedExpiryTenor = new DoublesPair(CAP_HIGH_LONG.getFixingTime(), CAP_HIGH_LONG.getFixingPeriodEndTime() - CAP_HIGH_LONG.getFixingPeriodStartTime());

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void presentValueSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_SABR_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_SABR_EXTRAPOLATION.presentValueSABRSensitivity(SWAPTION_SHORT_PAYER_HIGH, SABR_MULTICURVES);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final MultipleCurrencyAmount pvLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(SWAPTION_LONG_PAYER_HIGH, SABR_MULTICURVES);
    final DoublesPair expectedExpiryTenor = new DoublesPair(SWAPTION_LONG_PAYER_HIGH.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void presentValueSABRReplicationSABRSensitivity() {
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsReceiver = METHOD.presentValueSABRSensitivity(CMS_COUPON_RECEIVER, SABR_BUNDLE);
    PresentValueSABRSensitivityDataBundle pvsPayer = METHOD.presentValueSABRSensitivity(CMS_COUPON_PAYER, SABR_BUNDLE);
    // Long/short parity
    pvsPayer = pvsPayer.multiplyBy(-1.0);
    assertEquals(pvsPayer.getAlpha(), pvsReceiver.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD.presentValue(CMS_COUPON_RECEIVER, SABR_BUNDLE).getAmount();
    final double shift = 0.0001;
    final double shiftAlpha = 0.00001;

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

  public void presentValueSABRSensitivityLongShortParity() {
    final CapFloorCMSSpread cmsSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    final PresentValueSABRSensitivityDataBundle pvssLong = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    PresentValueSABRSensitivityDataBundle pvssShort = METHOD_CMS_SPREAD.presentValueSABRSensitivity(cmsSpreadShort, SABR_MULTICURVES);
    pvssShort = pvssShort.multiplyBy(-1);
    assertEquals("CMS spread: Long/Short parity", pvssLong, pvssShort);
  }


  @Test(enabled = false)
  /**

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.multiplyBy()

    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
    pvsShortPayer = pvsShortPayer.multiplyBy(-1.0);
    assertEquals(pvsLongPayer.getAlpha(), pvsShortPayer.getAlpha());
    // SABR sensitivity vs finite difference
    final double pvLongPayer = METHOD_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final DoublesPair expectedExpiryTenor = new DoublesPair(swaptionLongPayerHighStrike.getTimeToExpiry(), ANNUITY_TENOR_YEAR);
    final double shift = 0.000005;

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