// lookup the discount factors for the legal entity group
private IssuerCurveDiscountFactors issuerCurveDiscountFactors(LegalEntityGroup legalEntityGroup, Currency currency)
{
CurveId curveId = lookup.IssuerCurves.get(Pair.of(legalEntityGroup, currency));
if (curveId == null)
{
throw new MarketDataNotFoundException("Unable to find issuer curve: " + legalEntityGroup + ", " + currency);
}
Curve curve = marketData.getValue(curveId);
DiscountFactors df = DiscountFactors.of(currency, ValuationDate, curve);
return(IssuerCurveDiscountFactors.of(df, legalEntityGroup));
}
public CurrencyParameterSensitivities parameterSensitivity(PointSensitivities pointSensitivities)
{
CurrencyParameterSensitivities sens = CurrencyParameterSensitivities.empty();
foreach (PointSensitivity point in pointSensitivities.Sensitivities)
{
if (point is RepoCurveZeroRateSensitivity)
{
RepoCurveZeroRateSensitivity pt = (RepoCurveZeroRateSensitivity)point;
RepoCurveDiscountFactors factors = repoCurveDiscountFactors(pt.RepoGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
else if (point is IssuerCurveZeroRateSensitivity)
{
IssuerCurveZeroRateSensitivity pt = (IssuerCurveZeroRateSensitivity)point;
IssuerCurveDiscountFactors factors = issuerCurveDiscountFactors(pt.LegalEntityGroup, pt.CurveCurrency);
sens = sens.combinedWith(factors.parameterSensitivity(pt));
}
}
return(sens);
}
