List of totalSensitivity() Examples

Examples of totalSensitivity()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.totalSensitivity()
Returns the total sensitivity to all curves, in a given currency. @param fxMatrix The FX matrix will the exchange rates. @param ccy The currency for the conversion. @return The sensitivity.

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.totalSensitivity()

   * Tests present value curve sensitivity when the valuation date is on trade date.
   */
  public void presentValueCurveSensitivityStability() {
    // 5Yx5Y
    final MultipleCurrencyParameterSensitivity pvpsExact = PS_HW_C.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExact = pvpsExact.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double startingShift = 1.0E-4;
    final double ratio = Math.sqrt(2.0);
    final int nbShift = 55;
    final double[] eps = new double[nbShift + 1];
    final double[] derivative_FD = new double[nbShift];

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.totalSensitivity()

    final double[] diff = new double[nbShift];
    eps[0] = startingShift;
    for (int loopshift = 0; loopshift < nbShift; loopshift++) {
      final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
      final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(SWAPTION_SHORT_RECEIVER, HW_MULTICURVES);
      derivative_FD[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
      diff[loopshift] = derivative_FD[loopshift] - derivativeExact;
      eps[loopshift + 1] = eps[loopshift] / ratio;
    }
    // 1Mx5Y
    final Period expirationPeriod = Period.ofDays(1); // Period.ofDays(1); Period.ofDays(7); Period.ofMonths(1); Period.ofYears(1); Period.ofYears(10);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.totalSensitivity()

    final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from(settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
    //    final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
    final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
    for (int loopshift = 0; loopshift < nbShift; loopshift++) {
      final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
      final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES);

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Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity.totalSensitivity()

    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
    for (int loopshift = 0; loopshift < nbShift; loopshift++) {
      final ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator fdShift = new ParameterSensitivityHullWhiteDiscountInterpolatedFDCalculator(PVHWC, eps[loopshift]);
      final MultipleCurrencyParameterSensitivity pvpsFD = fdShift.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES);
      derivative_FDExp[loopshift] = pvpsFD.totalSensitivity(MULTICURVES.getFxRates(), EUR);
      diffExp[loopshift] = derivative_FDExp[loopshift] - derivativeExactExp;
    }
    //    int t = 0;
    //    t++;
  }

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