private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point)
{
double expiry = point.Expiry;
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(expiry);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
private CurrencyParameterSensitivity parameterSensitivity(IborFutureOptionSensitivity point)
{
double simpleMoneyness = moneynessOnPrice ? point.StrikePrice - point.FuturePrice : point.FuturePrice - point.StrikePrice;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(point.Expiry, simpleMoneyness);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
private CurrencyParameterSensitivity parameterSensitivity(IborCapletFloorletSensitivity point)
{
double expiry = point.Expiry;
double strike = point.Strike;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, strike);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
private CurrencyParameterSensitivity parameterSensitivity(BondFutureOptionSensitivity pointSensitivity)
{
double logMoneyness = Math.Log(pointSensitivity.StrikePrice / pointSensitivity.FuturePrice);
double expiryTime = pointSensitivity.Expiry;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiryTime, logMoneyness);
return(unitSens.multipliedBy(pointSensitivity.Currency, pointSensitivity.Sensitivity));
}
private CurrencyParameterSensitivity parameterSensitivity(SwaptionSensitivity point)
{
double expiry = point.Expiry;
double tenor = point.Tenor;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, tenor);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens)
{
double yearFraction = pointSens.YearFraction;
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.Currency, pointSens.Sensitivity);
return(CurrencyParameterSensitivities.of(curSens));
}
private CurrencyParameterSensitivity parameterSensitivity(FxOptionSensitivity point)
{
double expiry = point.Expiry;
double strike = point.CurrencyPair.isInverse(currencyPair) ? 1d / point.Strike : point.Strike;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, strike);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
private CurrencyParameterSensitivity parameterSensitivity(SwaptionSensitivity point)
{
double expiry = point.Expiry;
double moneyness = point.Strike - point.Forward;
UnitParameterSensitivity unitSens = surface.zValueParameterSensitivity(expiry, moneyness);
return(unitSens.multipliedBy(point.Currency, point.Sensitivity));
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)
{
LocalDate maturityDate = pointSensitivity.Observation.MaturityDate;
double relativeYearFraction = this.relativeYearFraction(maturityDate);
UnitParameterSensitivity unitSensitivity = curve.yValueParameterSensitivity(relativeYearFraction);
CurrencyParameterSensitivity sensitivity = unitSensitivity.multipliedBy(pointSensitivity.Currency, pointSensitivity.Sensitivity);
return(CurrencyParameterSensitivities.of(sensitivity));
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens)
{
double yearFraction = pointSens.YearFraction;
double rp = curve.yValue(yearFraction);
double rcBar = 1.0;
double rpBar = 1.0 / (1 + rp / frequency) * rcBar;
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction).multipliedBy(rpBar);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(pointSens.Currency, pointSens.Sensitivity);
return(CurrencyParameterSensitivities.of(curSens));
}
//-------------------------------------------------------------------------
public CurrencyParameterSensitivities parameterSensitivity(ZeroRateSensitivity pointSens)
{
double yearFraction = pointSens.YearFraction;
if (Math.Abs(yearFraction) < EFFECTIVE_ZERO)
{
return(CurrencyParameterSensitivities.empty()); // Discount factor in 0 is always 1, no sensitivity.
}
double discountFactor = this.discountFactor(yearFraction);
UnitParameterSensitivity unitSens = curve.yValueParameterSensitivity(yearFraction);
CurrencyParameterSensitivity curSens = unitSens.multipliedBy(-1d / (yearFraction * discountFactor)).multipliedBy(pointSens.Currency, pointSens.Sensitivity);
return(CurrencyParameterSensitivities.of(curSens));
}
public UnitParameterSensitivity yValueParameterSensitivity(double x)
{
int i = seasonalityIndex(x);
double adjustment = seasonality.get(i);
double derivativeFactor = 0d;
if (adjustmentType.Equals(ShiftType.ABSOLUTE))
{
derivativeFactor = 1d;
}
else if (adjustmentType.Equals(ShiftType.SCALED))
{
derivativeFactor = adjustment;
}
else
{
throw new System.ArgumentException("ShiftType " + adjustmentType + " is not supported for sensitivities");
}
// remove the first point from the underlying sensitivity
UnitParameterSensitivity u = underlying.yValueParameterSensitivity(x);
UnitParameterSensitivity u2 = UnitParameterSensitivity.of(u.MarketDataName, u.ParameterMetadata.subList(1, u.ParameterMetadata.size()), u.Sensitivity.subArray(1));
return(u2.multipliedBy(derivativeFactor));
}
