/**
* Copyright (C) 2012 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.provider.sensitivity.issuer;
import java.util.List;
import java.util.Map;
import java.util.Set;
import com.opengamma.analytics.financial.interestrate.InstrumentDerivativeVisitor;
import com.opengamma.analytics.financial.provider.description.interestrate.IssuerProviderInterface;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity;
import com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyParameterSensitivity;
import com.opengamma.analytics.math.matrix.DoubleMatrix1D;
import com.opengamma.util.money.Currency;
import com.opengamma.util.tuple.DoublesPair;
import com.opengamma.util.tuple.ObjectsPair;
/**
* For an instrument, computes the sensitivity of a value (often the present value or a par spread) to the parameters used in the curve.
* The meaning of "parameters" will depend of the way the curve is stored (interpolated yield, function parameters, etc.).
* The return format is ParameterSensitivity object.
*/
public class ParameterSensitivityIssuerCalculator extends AbstractParameterSensitivityIssuerCalculator {
/**
* Constructor
* @param curveSensitivityCalculator The curve sensitivity calculator.
*/
public ParameterSensitivityIssuerCalculator(final InstrumentDerivativeVisitor<IssuerProviderInterface, MultipleCurrencyMulticurveSensitivity> curveSensitivityCalculator) {
super(curveSensitivityCalculator);
}
/**
* Computes the sensitivity with respect to the parameters from the point sensitivities to the continuously compounded rate.
* @param sensitivity The point sensitivity.
* @param multicurves The multi-curve provider. Not null.
* @param curvesSet The set of curves for which the sensitivity will be computed. Not null.
* @return The sensitivity (as a ParameterSensitivity).
*/
@Override
public MultipleCurrencyParameterSensitivity pointToParameterSensitivity(final MultipleCurrencyMulticurveSensitivity sensitivity, final IssuerProviderInterface multicurves,
final Set<String> curvesSet) {
MultipleCurrencyParameterSensitivity result = new MultipleCurrencyParameterSensitivity();
// YieldAndDiscount
for (final Currency ccySensi : sensitivity.getCurrencies()) {
final Map<String, List<DoublesPair>> sensitivityDsc = sensitivity.getSensitivity(ccySensi).getYieldDiscountingSensitivities();
for (final Map.Entry<String, List<DoublesPair>> entry : sensitivityDsc.entrySet()) {
if (curvesSet.contains(entry.getKey())) {
result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi), new DoubleMatrix1D(multicurves.parameterSensitivity(entry.getKey(), entry.getValue())));
}
}
}
// Forward
for (final Currency ccySensi : sensitivity.getCurrencies()) {
final Map<String, List<ForwardSensitivity>> sensitivityFwd = sensitivity.getSensitivity(ccySensi).getForwardSensitivities();
for (final Map.Entry<String, List<ForwardSensitivity>> entry : sensitivityFwd.entrySet()) {
if (curvesSet.contains(entry.getKey())) {
result = result.plus(new ObjectsPair<>(entry.getKey(), ccySensi), new DoubleMatrix1D(multicurves.parameterForwardSensitivity(entry.getKey(), entry.getValue())));
}
}
}
return result;
}
}