private CrossGammaParameterSensitivity computeGammaForCurve(CurveName curveName, Curve curve, Currency sensitivityCurrency, System.Func <Curve, ImmutableLegalEntityDiscountingProvider> ratesProviderFn, System.Func <ImmutableLegalEntityDiscountingProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
System.Func <DoubleArray, DoubleArray> function = (DoubleArray t) =>
{
Curve newCurve = curve.withPerturbation((i, v, m) => t.get(i));
ImmutableLegalEntityDiscountingProvider newRates = ratesProviderFn(newCurve);
CurrencyParameterSensitivities sensiMulti = sensitivitiesFn(newRates);
return(sensiMulti.getSensitivity(curveName, sensitivityCurrency).Sensitivity);
};
int nParams = curve.ParameterCount;
DoubleMatrix sensi = fd.differentiate(function).apply(DoubleArray.of(nParams, n => curve.getParameter(n)));
IList <ParameterMetadata> metadata = IntStream.range(0, nParams).mapToObj(i => curve.getParameterMetadata(i)).collect(toImmutableList());
return(CrossGammaParameterSensitivity.of(curveName, metadata, sensitivityCurrency, sensi));
}
// computes the sensitivity of baseDeltaSingle to Curve
internal CrossGammaParameterSensitivity computeGammaForCurve(CurrencyParameterSensitivity baseDeltaSingle, Curve curve, System.Func <Curve, ImmutableRatesProvider> ratesProviderFn, System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
System.Func <DoubleArray, DoubleArray> function = (DoubleArray t) =>
{
Curve newCurve = replaceParameters(curve, t);
ImmutableRatesProvider newRates = ratesProviderFn(newCurve);
CurrencyParameterSensitivities sensiMulti = sensitivitiesFn(newRates);
return(sensiMulti.getSensitivity(baseDeltaSingle.MarketDataName, baseDeltaSingle.Currency).Sensitivity);
};
int nParams = curve.ParameterCount;
DoubleMatrix sensi = fd.differentiate(function).apply(DoubleArray.of(nParams, n => curve.getParameter(n)));
IList <ParameterMetadata> metadata = IntStream.range(0, nParams).mapToObj(i => curve.getParameterMetadata(i)).collect(toImmutableList());
return(CrossGammaParameterSensitivity.of(baseDeltaSingle.MarketDataName, baseDeltaSingle.ParameterMetadata, curve.Name, metadata, baseDeltaSingle.Currency, sensi));
}
private CrossGammaParameterSensitivity combineSensitivities(CurrencyParameterSensitivity baseDeltaSingle, CrossGammaParameterSensitivities blockCrossGamma)
{
double[][] valuesTotal = new double[baseDeltaSingle.ParameterCount][];
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.collect.tuple.Pair<com.opengamma.strata.data.MarketDataName<?>, java.util.List<? extends com.opengamma.strata.market.param.ParameterMetadata>>> order = new java.util.ArrayList<>();
IList <Pair <MarketDataName <object>, IList <ParameterMetadata> > > order = new List <Pair <MarketDataName <object>, IList <ParameterMetadata> > >();
for (int i = 0; i < baseDeltaSingle.ParameterCount; ++i)
{
List <double> innerList = new List <double>();
foreach (CrossGammaParameterSensitivity gammaSingle in blockCrossGamma.Sensitivities)
{
innerList.AddRange(gammaSingle.Sensitivity.row(i).toList());
if (i == 0)
{
order.Add(gammaSingle.Order.get(0));
}
}
valuesTotal[i] = Doubles.toArray(innerList);
}
return(CrossGammaParameterSensitivity.of(baseDeltaSingle.MarketDataName, baseDeltaSingle.ParameterMetadata, order, baseDeltaSingle.Currency, DoubleMatrix.ofUnsafe(valuesTotal)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes cross-curve gamma by applying finite difference method to curve delta.
/// <para>
/// This computes the cross-curve gamma, i.e., the second order sensitivities to full curves.
/// Thus the sensitivities of curve delta to other curves are produced.
/// </para>
/// <para>
/// The sensitivities are computed for discount curves, and forward curves for {@code RateIndex} and {@code PriceIndex}.
/// This implementation works only for single currency trades.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(RatesProvider ratesProvider, System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
ImmutableRatesProvider immProv = ratesProvider.toImmutableRatesProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits.
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
foreach (CurrencyParameterSensitivity baseDeltaSingle in baseDelta.Sensitivities)
{
CrossGammaParameterSensitivities resultInner = CrossGammaParameterSensitivities.empty();
// discount curve
foreach (KeyValuePair <Currency, Curve> entry in immProv.DiscountCurves.entrySet())
{
Currency currency = entry.Key;
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().discountCurve(currency, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
// forward curve
foreach (KeyValuePair <Index, Curve> entry in immProv.IndexCurves.entrySet())
{
Index index = entry.Key;
if (index is RateIndex || index is PriceIndex)
{
Currency currency = getCurrency(index);
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().indexCurve(index, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
}
result = result.combinedWith(combineSensitivities(baseDeltaSingle, resultInner));
}
return(result);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
/// <para>
/// This computes the intra-curve cross gamma, i.e., the second order sensitivities to individual curves.
/// Thus the sensitivity of a curve delta to another curve is not produced.
/// </para>
/// <para>
/// The underlying instruments must be single-currency, i.e., the curve currency must be the same as the sensitivity currency.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider, System.Func <ImmutableLegalEntityDiscountingProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
LocalDate valuationDate = ratesProvider.ValuationDate;
ImmutableLegalEntityDiscountingProvider immProv = ratesProvider.toImmutableLegalEntityDiscountingProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
// issuer curve
foreach (KeyValuePair <Pair <LegalEntityGroup, Currency>, DiscountFactors> entry in immProv.IssuerCurves.entrySet())
{
Pair <LegalEntityGroup, Currency> legCcy = entry.Key;
Currency currency = legCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
// repo curve
foreach (KeyValuePair <Pair <RepoGroup, Currency>, DiscountFactors> entry in immProv.RepoCurves.entrySet())
{
Pair <RepoGroup, Currency> rgCcy = entry.Key;
Currency currency = rgCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, rgCcy.Second).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
return(result);
}
