// modified sensitivity function - CombinedCurve involved
private CurrencyParameterSensitivities sensiCombinedFnBond(ImmutableLegalEntityDiscountingProvider provider)
{
CurrencyParameterSensitivities sensi = CurrencyParameterSensitivities.empty();
double sum = sumCombine(provider);
// repo curves
ImmutableMap <Pair <RepoGroup, Currency>, DiscountFactors> mapCurrency = provider.RepoCurves;
foreach (KeyValuePair <Pair <RepoGroup, Currency>, DiscountFactors> entry in mapCurrency.entrySet())
{
CombinedCurve curveComb = (CombinedCurve)getCurve(entry.Value);
InterpolatedNodalCurve baseCurveInt = checkInterpolated(curveComb.BaseCurve);
InterpolatedNodalCurve spreadCurveInt = checkInterpolated(curveComb.SpreadCurve);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(baseCurveInt.Name, USD, DoubleArray.of(baseCurveInt.ParameterCount, i => 2d * sum * baseCurveInt.XValues.get(i))));
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(spreadCurveInt.Name, USD, DoubleArray.of(spreadCurveInt.ParameterCount, i => 2d * sum * spreadCurveInt.XValues.get(i))));
}
// issuer curves
ImmutableMap <Pair <LegalEntityGroup, Currency>, DiscountFactors> mapIndex = provider.IssuerCurves;
foreach (KeyValuePair <Pair <LegalEntityGroup, Currency>, DiscountFactors> entry in mapIndex.entrySet())
{
CombinedCurve curveComb = (CombinedCurve)getCurve(entry.Value);
InterpolatedNodalCurve baseCurveInt = checkInterpolated(curveComb.BaseCurve);
InterpolatedNodalCurve spreadCurveInt = checkInterpolated(curveComb.SpreadCurve);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(baseCurveInt.Name, USD, DoubleArray.of(baseCurveInt.ParameterCount, i => 2d * sum * baseCurveInt.XValues.get(i))));
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(spreadCurveInt.Name, USD, DoubleArray.of(spreadCurveInt.ParameterCount, i => 2d * sum * spreadCurveInt.XValues.get(i))));
}
return(sensi);
}
private double sumCombine(ImmutableLegalEntityDiscountingProvider provider)
{
double result = 0d;
// repo curves
ImmutableMap <Pair <RepoGroup, Currency>, DiscountFactors> mapCurrency = provider.RepoCurves;
foreach (KeyValuePair <Pair <RepoGroup, Currency>, DiscountFactors> entry in mapCurrency.entrySet())
{
CombinedCurve curve = (CombinedCurve)getCurve(entry.Value);
result += sumSingle((InterpolatedNodalCurve)curve.split().get(0));
result += sumSingle((InterpolatedNodalCurve)curve.split().get(1));
}
// issuer curves
ImmutableMap <Pair <LegalEntityGroup, Currency>, DiscountFactors> mapIndex = provider.IssuerCurves;
foreach (KeyValuePair <Pair <LegalEntityGroup, Currency>, DiscountFactors> entry in mapIndex.entrySet())
{
CombinedCurve curve = (CombinedCurve)getCurve(entry.Value);
result += sumSingle((InterpolatedNodalCurve)curve.split().get(0));
result += sumSingle((InterpolatedNodalCurve)curve.split().get(1));
}
return(result);
}
// modified sensitivity function - CombinedCurve involved
private CurrencyParameterSensitivities sensiCombinedFn(ImmutableRatesProvider provider)
{
CurrencyParameterSensitivities sensi = CurrencyParameterSensitivities.empty();
double sum = sumCombine(provider);
// Currency
ImmutableMap <Currency, Curve> mapCurrency = provider.DiscountCurves;
foreach (KeyValuePair <Currency, Curve> entry in mapCurrency.entrySet())
{
CombinedCurve curveComb = (CombinedCurve)entry.Value;
InterpolatedNodalCurve baseCurveInt = checkInterpolated(curveComb.BaseCurve);
InterpolatedNodalCurve spreadCurveInt = checkInterpolated(curveComb.SpreadCurve);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(baseCurveInt.Name, USD, DoubleArray.of(baseCurveInt.ParameterCount, i => 2d * sum * baseCurveInt.XValues.get(i))));
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(spreadCurveInt.Name, USD, DoubleArray.of(spreadCurveInt.ParameterCount, i => 2d * sum * spreadCurveInt.XValues.get(i))));
}
// Index
ImmutableMap <Index, Curve> mapIndex = provider.IndexCurves;
foreach (KeyValuePair <Index, Curve> entry in mapIndex.entrySet())
{
if (entry.Value is CombinedCurve)
{
CombinedCurve curveComb = (CombinedCurve)entry.Value;
InterpolatedNodalCurve baseCurveInt = checkInterpolated(curveComb.BaseCurve);
InterpolatedNodalCurve spreadCurveInt = checkInterpolated(curveComb.SpreadCurve);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(baseCurveInt.Name, USD, DoubleArray.of(baseCurveInt.ParameterCount, i => 2d * sum * baseCurveInt.XValues.get(i))));
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(spreadCurveInt.Name, USD, DoubleArray.of(spreadCurveInt.ParameterCount, i => 2d * sum * spreadCurveInt.XValues.get(i))));
}
else
{
InterpolatedNodalCurve curveInt = checkInterpolated(entry.Value);
sensi = sensi.combinedWith(CurrencyParameterSensitivity.of(curveInt.Name, USD, DoubleArray.of(curveInt.ParameterCount, i => 2d * sum * curveInt.XValues.get(i))));
}
}
return(sensi);
}
public static ImmutableLegalEntityDiscountingProvider multiBondCombined(LocalDate valDate)
{
ImmutableMap <Pair <RepoGroup, Currency>, DiscountFactors> repoCurves = ImmutableMap.of(Pair.of(US_REPO_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_REPO_CURVE)));
ImmutableMap <Pair <LegalEntityGroup, Currency>, DiscountFactors> issuerCurves = ImmutableMap.of(Pair.of(US_ISSUER_1_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_ISSUER_CURVE_1)), Pair.of(US_ISSUER_2_GROUP, USD), DiscountFactors.of(USD, valDate, CombinedCurve.of(USD_L3_BASE, US_ISSUER_CURVE_2)));
ImmutableMap <LegalEntityId, RepoGroup> repoGroups = ImmutableMap.of(US_ISSUER_1_ID, US_REPO_GROUP, US_ISSUER_2_ID, US_REPO_GROUP, US_ISSUER_3_ID, US_REPO_GROUP);
ImmutableMap <LegalEntityId, LegalEntityGroup> legalEntityGroups = ImmutableMap.of(US_ISSUER_1_ID, US_ISSUER_1_GROUP, US_ISSUER_2_ID, US_ISSUER_2_GROUP, US_ISSUER_3_ID, US_ISSUER_2_GROUP);
return(ImmutableLegalEntityDiscountingProvider.builder().valuationDate(valDate).repoCurves(repoCurves).repoCurveGroups(repoGroups).issuerCurves(issuerCurves).issuerCurveGroups(legalEntityGroups).build());
}
