private CurrencyParameterSensitivities sensitivityCreidtCurve <T>(ImmutableCreditRatesProvider provider, System.Func <ImmutableCreditRatesProvider, CurrencyAmount> valueFn, MetaProperty <ImmutableMap <T, LegalEntitySurvivalProbabilities> > metaProperty, CurrencyAmount valueInit)
{
ImmutableMap <T, LegalEntitySurvivalProbabilities> baseCurves = metaProperty.get(provider);
CurrencyParameterSensitivities result = CurrencyParameterSensitivities.empty();
foreach (T key in baseCurves.Keys)
{
LegalEntitySurvivalProbabilities credit = baseCurves.get(key);
CreditDiscountFactors creditDiscountFactors = credit.SurvivalProbabilities;
DiscountFactors discountFactors = creditDiscountFactors.toDiscountFactors();
Curve curve = checkDiscountFactors(discountFactors);
int paramCount = curve.ParameterCount;
double[] sensitivity = new double[paramCount];
for (int i = 0; i < paramCount; i++)
{
Curve dscBumped = curve.withParameter(i, curve.getParameter(i) + shift);
IDictionary <T, LegalEntitySurvivalProbabilities> mapBumped = new Dictionary <T, LegalEntitySurvivalProbabilities>(baseCurves);
mapBumped[key] = LegalEntitySurvivalProbabilities.of(credit.LegalEntityId, createCreditDiscountFactors(creditDiscountFactors, dscBumped));
ImmutableCreditRatesProvider providerDscBumped = provider.toBuilder().set(metaProperty, mapBumped).build();
sensitivity[i] = (valueFn(providerDscBumped).Amount - valueInit.Amount) / shift;
}
result = result.combinedWith(curve.createParameterSensitivity(valueInit.Currency, DoubleArray.copyOf(sensitivity)));
}
return(result);
}
