public virtual void sensitivity_single_curve()
{
CrossGammaParameterSensitivities forward = FORWARD.calculateCrossGammaIntraCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
CrossGammaParameterSensitivities central = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
CrossGammaParameterSensitivities backward = BACKWARD.calculateCrossGammaIntraCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
DoubleArray times = RatesProviderDataSets.TIMES_1;
foreach (CrossGammaParameterSensitivities sensi in new CrossGammaParameterSensitivities[] { forward, central, backward })
{
CurrencyParameterSensitivities diagonalComputed = sensi.diagonal();
assertEquals(sensi.size(), 1);
assertEquals(diagonalComputed.size(), 1);
DoubleMatrix s = sensi.Sensitivities.get(0).Sensitivity;
assertEquals(s.columnCount(), times.size());
for (int i = 0; i < times.size(); i++)
{
for (int j = 0; j < times.size(); j++)
{
double expected = 32d * times.get(i) * times.get(j);
assertEquals(s.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
}
// no difference for single curve
CrossGammaParameterSensitivities forwardCross = FORWARD.calculateCrossGammaCrossCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
assertTrue(forward.equalWithTolerance(forwardCross, TOL));
CrossGammaParameterSensitivities centralCross = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
assertTrue(central.equalWithTolerance(centralCross, TOL));
CrossGammaParameterSensitivities backwardCross = BACKWARD.calculateCrossGammaCrossCurve(RatesProviderDataSets.SINGLE_USD, this.sensiFn);
assertTrue(backward.equalWithTolerance(backwardCross, TOL));
}
public virtual void sensitivity_multi_combined_bond_curve()
{
CrossGammaParameterSensitivities sensiComputed = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.MULTI_BOND_COMBINED, this.sensiCombinedFnBond);
DoubleArray timesUsL3 = RatesProviderDataSets.TIMES_2;
DoubleArray timesUsRepo = RatesProviderDataSets.TIMES_1;
DoubleArray timesUsIssuer1 = RatesProviderDataSets.TIMES_3;
DoubleArray timesUsIssuer2 = RatesProviderDataSets.TIMES_2;
assertEquals(sensiComputed.size(), 4);
DoubleMatrix s1 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
assertEquals(s1.columnCount(), timesUsL3.size());
for (int i = 0; i < timesUsL3.size(); i++)
{
for (int j = 0; j < timesUsL3.size(); j++)
{
double expected = 2d * timesUsL3.get(i) * timesUsL3.get(j) * 3d * 3d;
assertEquals(s1.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s2 = sensiComputed.getSensitivity(RatesProviderDataSets.US_REPO_CURVE_NAME, USD).Sensitivity;
assertEquals(s2.columnCount(), timesUsRepo.size());
for (int i = 0; i < timesUsRepo.size(); i++)
{
for (int j = 0; j < timesUsRepo.size(); j++)
{
double expected = 2d * timesUsRepo.get(i) * timesUsRepo.get(j);
assertEquals(s2.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s3 = sensiComputed.getSensitivity(RatesProviderDataSets.US_ISSUER_CURVE_1_NAME, USD).Sensitivity;
assertEquals(s3.columnCount(), timesUsIssuer1.size());
for (int i = 0; i < timesUsIssuer1.size(); i++)
{
for (int j = 0; j < timesUsIssuer1.size(); j++)
{
double expected = 2d * timesUsIssuer1.get(i) * timesUsIssuer1.get(j);
assertEquals(s3.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s4 = sensiComputed.getSensitivity(RatesProviderDataSets.US_ISSUER_CURVE_2_NAME, USD).Sensitivity;
assertEquals(s4.columnCount(), timesUsIssuer2.size());
for (int i = 0; i < timesUsIssuer2.size(); i++)
{
for (int j = 0; j < timesUsIssuer2.size(); j++)
{
double expected = 2d * timesUsIssuer2.get(i) * timesUsIssuer2.get(j);
assertEquals(s4.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 20d);
}
}
}
public virtual void sensitivity_intra_multi_curve()
{
CrossGammaParameterSensitivities sensiComputed = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.MULTI_CPI_USD, this.sensiFn);
DoubleArray times1 = RatesProviderDataSets.TIMES_1;
DoubleArray times2 = RatesProviderDataSets.TIMES_2;
DoubleArray times3 = RatesProviderDataSets.TIMES_3;
DoubleArray times4 = RatesProviderDataSets.TIMES_4;
assertEquals(sensiComputed.size(), 4);
DoubleMatrix s1 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_DSC_NAME, USD).Sensitivity;
assertEquals(s1.columnCount(), times1.size());
for (int i = 0; i < times1.size(); i++)
{
for (int j = 0; j < times1.size(); j++)
{
double expected = 8d * times1.get(i) * times1.get(j);
assertEquals(s1.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s2 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
assertEquals(s2.columnCount(), times2.size());
for (int i = 0; i < times2.size(); i++)
{
for (int j = 0; j < times2.size(); j++)
{
double expected = 2d * times2.get(i) * times2.get(j);
assertEquals(s2.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
DoubleMatrix s3 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L6_NAME, USD).Sensitivity;
assertEquals(s3.columnCount(), times3.size());
for (int i = 0; i < times3.size(); i++)
{
for (int j = 0; j < times3.size(); j++)
{
double expected = 2d * times3.get(i) * times3.get(j);
assertEquals(s3.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
DoubleMatrix s4 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_CPI_NAME, USD).Sensitivity;
assertEquals(s4.columnCount(), times4.size());
for (int i = 0; i < times4.size(); i++)
{
for (int j = 0; j < times4.size(); j++)
{
double expected = 2d * times4.get(i) * times4.get(j);
assertEquals(s4.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
}
public virtual void sensitivity_cross_multi_curve_empty()
{
CrossGammaParameterSensitivities sensiComputed = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.MULTI_CPI_USD, this.sensiModFn);
DoubleArray times2 = RatesProviderDataSets.TIMES_2;
DoubleArray times3 = RatesProviderDataSets.TIMES_3;
int paramsTotal = times2.size() + times3.size();
double[] timesTotal = new double[paramsTotal];
Array.Copy(times2.toArray(), 0, timesTotal, 0, times2.size());
Array.Copy(times3.toArray(), 0, timesTotal, times2.size(), times3.size());
assertEquals(sensiComputed.size(), 2);
DoubleMatrix s2 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
assertEquals(s2.columnCount(), paramsTotal);
for (int i = 0; i < times2.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times2.get(i) * timesTotal[j];
assertEquals(s2.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
DoubleMatrix s3 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L6_NAME, USD).Sensitivity;
assertEquals(s3.columnCount(), paramsTotal);
for (int i = 0; i < times3.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times3.get(i) * timesTotal[j];
assertEquals(s3.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS);
}
}
Optional <CrossGammaParameterSensitivity> oisSensi = sensiComputed.findSensitivity(RatesProviderDataSets.USD_DSC_NAME, USD);
assertFalse(oisSensi.Present);
Optional <CrossGammaParameterSensitivity> priceIndexSensi = sensiComputed.findSensitivity(RatesProviderDataSets.USD_CPI_NAME, USD);
assertFalse(priceIndexSensi.Present);
}
// single-node gamma PV01 for one scenario
private CurrencyParameterSensitivities pv01SingleNodeGammaBucketed(ResolvedFraTrade trade, RatesProvider ratesProvider)
{
CrossGammaParameterSensitivities crossGamma = CROSS_GAMMA.calculateCrossGammaIntraCurve(ratesProvider, p => p.parameterSensitivity(tradePricer.presentValueSensitivity(trade, p)));
return(crossGamma.diagonal().multipliedBy(ONE_BASIS_POINT * ONE_BASIS_POINT));
}
public virtual void sensitivity_multi_combined_curve()
{
CrossGammaParameterSensitivities sensiCrossComputed = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.MULTI_CPI_USD_COMBINED, this.sensiCombinedFn);
DoubleArray times1 = RatesProviderDataSets.TIMES_1; // ois
DoubleArray times2 = RatesProviderDataSets.TIMES_2; // l3
DoubleArray times3 = RatesProviderDataSets.TIMES_3; // l6
DoubleArray times4 = RatesProviderDataSets.TIMES_4; // cpi
int paramsTotal = times1.size() + times2.size() + times3.size() + times4.size();
double[] timesTotal = new double[paramsTotal];
DoubleArray times1Twice = times1.multipliedBy(2d);
Array.Copy(times4.toArray(), 0, timesTotal, 0, times4.size());
Array.Copy(times1Twice.toArray(), 0, timesTotal, times4.size(), times1.size());
Array.Copy(times2.toArray(), 0, timesTotal, times1.size() + times4.size(), times2.size());
Array.Copy(times3.toArray(), 0, timesTotal, times1.size() + times2.size() + times4.size(), times3.size());
assertEquals(sensiCrossComputed.size(), 4);
DoubleMatrix s1 = sensiCrossComputed.getSensitivity(RatesProviderDataSets.USD_DSC_NAME, USD).Sensitivity;
assertEquals(s1.columnCount(), paramsTotal);
for (int i = 0; i < times1.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 4d * times1.get(i) * timesTotal[j];
assertEquals(s1.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s2 = sensiCrossComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
assertEquals(s2.columnCount(), paramsTotal);
for (int i = 0; i < times2.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 8d * times2.get(i) * timesTotal[j];
assertEquals(s2.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s3 = sensiCrossComputed.getSensitivity(RatesProviderDataSets.USD_L6_NAME, USD).Sensitivity;
assertEquals(s3.columnCount(), paramsTotal);
for (int i = 0; i < times3.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times3.get(i) * timesTotal[j];
assertEquals(s3.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s4 = sensiCrossComputed.getSensitivity(RatesProviderDataSets.USD_CPI_NAME, USD).Sensitivity;
assertEquals(s4.columnCount(), paramsTotal);
for (int i = 0; i < times4.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times4.get(i) * timesTotal[j];
assertEquals(s4.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 20d);
}
}
CrossGammaParameterSensitivities sensiIntraComputed = CENTRAL.calculateCrossGammaIntraCurve(RatesProviderDataSets.MULTI_CPI_USD_COMBINED, this.sensiCombinedFn);
DoubleMatrix s1Intra = sensiIntraComputed.getSensitivity(RatesProviderDataSets.USD_DSC_NAME, USD).Sensitivity;
DoubleMatrix s2Intra = sensiIntraComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
DoubleMatrix s3Intra = sensiIntraComputed.getSensitivity(RatesProviderDataSets.USD_L6_NAME, USD).Sensitivity;
DoubleMatrix s4Intra = sensiIntraComputed.getSensitivity(RatesProviderDataSets.USD_CPI_NAME, USD).Sensitivity;
int offsetOis = times4.size();
for (int i = 0; i < times1.size(); i++)
{
for (int j = 0; j < times1.size(); j++)
{
assertEquals(s1Intra.get(i, j), s1.get(i, offsetOis + j), TOL);
}
}
int offset3m = times4.size() + times1.size();
for (int i = 0; i < times2.size(); i++)
{
for (int j = 0; j < times2.size(); j++)
{
assertEquals(s2Intra.get(i, j), s2.get(i, offset3m + j), TOL);
}
}
int offset6m = times4.size() + times1.size() + times2.size();
for (int i = 0; i < times3.size(); i++)
{
for (int j = 0; j < times3.size(); j++)
{
assertEquals(s3Intra.get(i, j), s3.get(i, offset6m + j), TOL);
}
}
for (int i = 0; i < times4.size(); i++)
{
for (int j = 0; j < times4.size(); j++)
{
assertEquals(s4Intra.get(i, j), s4.get(i, j), TOL);
}
}
}
public virtual void sensitivity_cross_multi_curve()
{
CrossGammaParameterSensitivities sensiComputed = CENTRAL.calculateCrossGammaCrossCurve(RatesProviderDataSets.MULTI_CPI_USD, this.sensiFn);
DoubleArray times1 = RatesProviderDataSets.TIMES_1;
DoubleArray times2 = RatesProviderDataSets.TIMES_2;
DoubleArray times3 = RatesProviderDataSets.TIMES_3;
DoubleArray times4 = RatesProviderDataSets.TIMES_4;
int paramsTotal = times1.size() + times2.size() + times3.size() + times4.size();
double[] timesTotal = new double[paramsTotal];
DoubleArray times1Twice = times1.multipliedBy(2d);
Array.Copy(times4.toArray(), 0, timesTotal, 0, times4.size());
Array.Copy(times1Twice.toArray(), 0, timesTotal, times4.size(), times1.size());
Array.Copy(times2.toArray(), 0, timesTotal, times1.size() + times4.size(), times2.size());
Array.Copy(times3.toArray(), 0, timesTotal, times1.size() + times2.size() + times4.size(), times3.size());
assertEquals(sensiComputed.size(), 4);
DoubleMatrix s1 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_DSC_NAME, USD).Sensitivity;
assertEquals(s1.columnCount(), paramsTotal);
for (int i = 0; i < times1.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 4d * times1.get(i) * timesTotal[j];
assertEquals(s1.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s2 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L3_NAME, USD).Sensitivity;
assertEquals(s2.columnCount(), paramsTotal);
for (int i = 0; i < times2.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times2.get(i) * timesTotal[j];
assertEquals(s2.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s3 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_L6_NAME, USD).Sensitivity;
assertEquals(s3.columnCount(), paramsTotal);
for (int i = 0; i < times3.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times3.get(i) * timesTotal[j];
assertEquals(s3.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 10d);
}
}
DoubleMatrix s4 = sensiComputed.getSensitivity(RatesProviderDataSets.USD_CPI_NAME, USD).Sensitivity;
assertEquals(s4.columnCount(), paramsTotal);
for (int i = 0; i < times4.size(); i++)
{
for (int j = 0; j < paramsTotal; j++)
{
double expected = 2d * times4.get(i) * timesTotal[j];
assertEquals(s4.get(i, j), expected, Math.Max(Math.Abs(expected), 1d) * EPS * 20d);
}
}
}
private CrossGammaParameterSensitivity combineSensitivities(CurrencyParameterSensitivity baseDeltaSingle, CrossGammaParameterSensitivities blockCrossGamma)
{
double[][] valuesTotal = new double[baseDeltaSingle.ParameterCount][];
//JAVA TO C# CONVERTER WARNING: Java wildcard generics have no direct equivalent in .NET:
//ORIGINAL LINE: java.util.List<com.opengamma.strata.collect.tuple.Pair<com.opengamma.strata.data.MarketDataName<?>, java.util.List<? extends com.opengamma.strata.market.param.ParameterMetadata>>> order = new java.util.ArrayList<>();
IList <Pair <MarketDataName <object>, IList <ParameterMetadata> > > order = new List <Pair <MarketDataName <object>, IList <ParameterMetadata> > >();
for (int i = 0; i < baseDeltaSingle.ParameterCount; ++i)
{
List <double> innerList = new List <double>();
foreach (CrossGammaParameterSensitivity gammaSingle in blockCrossGamma.Sensitivities)
{
innerList.AddRange(gammaSingle.Sensitivity.row(i).toList());
if (i == 0)
{
order.Add(gammaSingle.Order.get(0));
}
}
valuesTotal[i] = Doubles.toArray(innerList);
}
return(CrossGammaParameterSensitivity.of(baseDeltaSingle.MarketDataName, baseDeltaSingle.ParameterMetadata, order, baseDeltaSingle.Currency, DoubleMatrix.ofUnsafe(valuesTotal)));
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes cross-curve gamma by applying finite difference method to curve delta.
/// <para>
/// This computes the cross-curve gamma, i.e., the second order sensitivities to full curves.
/// Thus the sensitivities of curve delta to other curves are produced.
/// </para>
/// <para>
/// The sensitivities are computed for discount curves, and forward curves for {@code RateIndex} and {@code PriceIndex}.
/// This implementation works only for single currency trades.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaCrossCurve(RatesProvider ratesProvider, System.Func <ImmutableRatesProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
ImmutableRatesProvider immProv = ratesProvider.toImmutableRatesProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits.
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
foreach (CurrencyParameterSensitivity baseDeltaSingle in baseDelta.Sensitivities)
{
CrossGammaParameterSensitivities resultInner = CrossGammaParameterSensitivities.empty();
// discount curve
foreach (KeyValuePair <Currency, Curve> entry in immProv.DiscountCurves.entrySet())
{
Currency currency = entry.Key;
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().discountCurve(currency, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().discountCurve(currency, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
// forward curve
foreach (KeyValuePair <Index, Curve> entry in immProv.IndexCurves.entrySet())
{
Index index = entry.Key;
if (index is RateIndex || index is PriceIndex)
{
Currency currency = getCurrency(index);
Curve curve = entry.Value;
if (baseDelta.findSensitivity(curve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, curve, c => immProv.toBuilder().indexCurve(index, c).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
else if (curve.split().size() > 1)
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
if (baseDelta.findSensitivity(underlyingCurve.Name, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(baseDeltaSingle, underlyingCurve, c => immProv.toBuilder().indexCurve(index, curve.withUnderlyingCurve(currentIndex, c)).build(), sensitivitiesFn);
resultInner = resultInner.combinedWith(gammaSingle);
}
}
}
}
}
result = result.combinedWith(combineSensitivities(baseDeltaSingle, resultInner));
}
return(result);
}
//-------------------------------------------------------------------------
/// <summary>
/// Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
/// <para>
/// This computes the intra-curve cross gamma, i.e., the second order sensitivities to individual curves.
/// Thus the sensitivity of a curve delta to another curve is not produced.
/// </para>
/// <para>
/// The underlying instruments must be single-currency, i.e., the curve currency must be the same as the sensitivity currency.
///
/// </para>
/// </summary>
/// <param name="ratesProvider"> the rates provider </param>
/// <param name="sensitivitiesFn"> the sensitivity function </param>
/// <returns> the cross gamma </returns>
public CrossGammaParameterSensitivities calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider, System.Func <ImmutableLegalEntityDiscountingProvider, CurrencyParameterSensitivities> sensitivitiesFn)
{
LocalDate valuationDate = ratesProvider.ValuationDate;
ImmutableLegalEntityDiscountingProvider immProv = ratesProvider.toImmutableLegalEntityDiscountingProvider();
CurrencyParameterSensitivities baseDelta = sensitivitiesFn(immProv); // used to check target sensitivity exits
CrossGammaParameterSensitivities result = CrossGammaParameterSensitivities.empty();
// issuer curve
foreach (KeyValuePair <Pair <LegalEntityGroup, Currency>, DiscountFactors> entry in immProv.IssuerCurves.entrySet())
{
Pair <LegalEntityGroup, Currency> legCcy = entry.Key;
Currency currency = legCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceIssuerCurve(immProv, legCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
// repo curve
foreach (KeyValuePair <Pair <RepoGroup, Currency>, DiscountFactors> entry in immProv.RepoCurves.entrySet())
{
Pair <RepoGroup, Currency> rgCcy = entry.Key;
Currency currency = rgCcy.Second;
Curve curve = getCurve(entry.Value);
CurveName curveName = curve.Name;
if (baseDelta.findSensitivity(curveName, currency).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(curveName, curve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, c)), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
else
{
ImmutableList <Curve> curves = curve.split();
int nCurves = curves.size();
if (nCurves > 1)
{
for (int i = 0; i < nCurves; ++i)
{
int currentIndex = i;
Curve underlyingCurve = curves.get(currentIndex);
CurveName underlyingCurveName = underlyingCurve.Name;
if (baseDelta.findSensitivity(underlyingCurveName, rgCcy.Second).Present)
{
CrossGammaParameterSensitivity gammaSingle = computeGammaForCurve(underlyingCurveName, underlyingCurve, currency, c => replaceRepoCurve(immProv, rgCcy, DiscountFactors.of(currency, valuationDate, curve.withUnderlyingCurve(currentIndex, c))), sensitivitiesFn);
result = result.combinedWith(gammaSingle);
}
}
}
}
}
return(result);
}
