public virtual PointSensitivityBuilder rateSensitivity(InflationEndInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
PointSensitivityBuilder sensi = endSensitivity(computation, values);
return(sensi.multipliedBy(1d / computation.StartIndexValue));
}
//-------------------------------------------------------------------------
public virtual double rate(InflationInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
double indexStart = interpolateStart(computation, values);
double indexEnd = interpolateEnd(computation, values);
return(indexEnd / indexStart - 1d);
}
//-------------------------------------------------------------------------
public virtual double rate(InflationEndMonthRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
double indexStart = computation.StartIndexValue;
double indexEnd = values.value(computation.EndObservation);
return(indexEnd / indexStart - 1);
}
public virtual PointSensitivityBuilder rateSensitivity(InflationInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
double indexStart = interpolateStart(computation, values);
double indexEnd = interpolateEnd(computation, values);
double indexStartInv = 1d / indexStart;
PointSensitivityBuilder sensi1 = startSensitivity(computation, values).multipliedBy(-indexEnd * indexStartInv * indexStartInv);
PointSensitivityBuilder sensi2 = endSensitivity(computation, values).multipliedBy(indexStartInv);
return(sensi1.combinedWith(sensi2));
}
public virtual double explainRate(InflationEndMonthRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
double indexEnd = values.value(computation.EndObservation);
builder.addListEntry(ExplainKey.OBSERVATIONS, child => child.put(ExplainKey.ENTRY_TYPE, "InflationObservation").put(ExplainKey.FIXING_DATE, computation.EndObservation.FixingMonth.atEndOfMonth()).put(ExplainKey.INDEX, computation.Index).put(ExplainKey.INDEX_VALUE, indexEnd));
double rate = this.rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return(rate);
}
public virtual PointSensitivityBuilder rateSensitivity(InflationMonthlyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndex index = computation.Index;
PriceIndexValues values = provider.priceIndexValues(index);
double indexStart = values.value(computation.StartObservation);
double indexEnd = values.value(computation.EndObservation);
double indexStartInv = 1d / indexStart;
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.StartObservation).multipliedBy(-indexEnd * indexStartInv * indexStartInv);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.EndObservation).multipliedBy(indexStartInv);
return(sensi1.combinedWith(sensi2));
}
public virtual double explainRate(InflationInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
double w1 = computation.Weight;
double w2 = 1d - w1;
builder.addListEntry(ExplainKey.OBSERVATIONS, child => child.put(ExplainKey.ENTRY_TYPE, "InflationObservation").put(ExplainKey.FIXING_DATE, computation.StartObservation.FixingMonth.atEndOfMonth()).put(ExplainKey.INDEX, computation.Index).put(ExplainKey.INDEX_VALUE, values.value(computation.StartObservation)).put(ExplainKey.WEIGHT, w1));
builder.addListEntry(ExplainKey.OBSERVATIONS, child => child.put(ExplainKey.ENTRY_TYPE, "InflationObservation").put(ExplainKey.FIXING_DATE, computation.StartSecondObservation.FixingMonth.atEndOfMonth()).put(ExplainKey.INDEX, computation.Index).put(ExplainKey.INDEX_VALUE, values.value(computation.StartSecondObservation)).put(ExplainKey.WEIGHT, w2));
builder.addListEntry(ExplainKey.OBSERVATIONS, child => child.put(ExplainKey.ENTRY_TYPE, "InflationObservation").put(ExplainKey.FIXING_DATE, computation.EndObservation.FixingMonth.atEndOfMonth()).put(ExplainKey.INDEX, computation.Index).put(ExplainKey.INDEX_VALUE, values.value(computation.EndObservation)).put(ExplainKey.WEIGHT, w1));
builder.addListEntry(ExplainKey.OBSERVATIONS, child => child.put(ExplainKey.ENTRY_TYPE, "InflationObservation").put(ExplainKey.FIXING_DATE, computation.EndSecondObservation.FixingMonth.atEndOfMonth()).put(ExplainKey.INDEX, computation.Index).put(ExplainKey.INDEX_VALUE, values.value(computation.EndSecondObservation)).put(ExplainKey.WEIGHT, w2));
double rate = this.rate(computation, startDate, endDate, provider);
builder.put(ExplainKey.COMBINED_RATE, rate);
return(rate);
}
// interpolate the observations at the end
private PointSensitivityBuilder endSensitivity(InflationInterpolatedRateComputation computation, PriceIndexValues values)
{
double weight = computation.Weight;
PointSensitivityBuilder sensi1 = values.valuePointSensitivity(computation.EndObservation).multipliedBy(weight);
PointSensitivityBuilder sensi2 = values.valuePointSensitivity(computation.EndSecondObservation).multipliedBy(1d - weight);
return(sensi1.combinedWith(sensi2));
}
// interpolate the observations at the end
private double interpolateEnd(InflationInterpolatedRateComputation computation, PriceIndexValues values)
{
double weight = computation.Weight;
double indexValue1 = values.value(computation.EndObservation);
double indexValue2 = values.value(computation.EndSecondObservation);
return(weight * indexValue1 + (1d - weight) * indexValue2);
}
public virtual PointSensitivityBuilder rateSensitivity(InflationEndMonthRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
{
PriceIndexValues values = provider.priceIndexValues(computation.Index);
return(values.valuePointSensitivity(computation.EndObservation).multipliedBy(1d / computation.StartIndexValue));
}
