List of addAlpha() Examples

Examples of addAlpha()

com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()
Add one sensitivity to the alpha sensitivity. The existing object is modified. If the point is not in the existing points of the sensitivity, it is put in the map. If a point is already in the existing points of the object, the value is added to the existing value. @param expiryMaturity The expirytime/maturity pair. @param sensitivity The sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final double[] priceAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    // Backward sweep
    final double priceBar = 1.0;
    final double volatilityBar = priceAdjoint[2] * priceBar;
    final DoublesPair expiryDelay = new DoublesPair(security.getExpirationTime(), delay);
    sensi.addAlpha(expiryDelay, volatilityAdjoint[3] * volatilityBar);
    sensi.addBeta(expiryDelay, volatilityAdjoint[4] * volatilityBar);
    sensi.addRho(expiryDelay, volatilityAdjoint[5] * volatilityBar);
    sensi.addNu(expiryDelay, volatilityAdjoint[6] * volatilityBar);
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forwardModified, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(option, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * priceDSabr[3]);
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[3]);
    sensi.addBeta(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[4]);
    sensi.addRho(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[5]);
    sensi.addNu(expiryMaturity, omega * pvbpModified * bsAdjoint[2] * volatilityAdjoint[6]);
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()


    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()


    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensiSABR.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensiSABR.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensiSABR.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }


    // 3. Curve sensitivities

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()


    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensi.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensi.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()


    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensiSABR = new PresentValueSABRSensitivityDataBundle();
    for (int loopp = 0; loopp < nbPeriods; loopp++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopp * nbStrikes].getTimeToExpiry(), swaptionCalibration[loopp * nbStrikes].getMaturityTime());
      sensiSABR.addAlpha(expiryMaturity, dPvdTheta[loopp]);
      sensiSABR.addRho(expiryMaturity, dPvdTheta[nbPeriods + loopp]);
      sensiSABR.addNu(expiryMaturity, dPvdTheta[2 * nbPeriods + loopp]);
    }


    // 3. Curve sensitivities

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final SABRFormulaData sabrParam = new SABRFormulaData(alpha, beta, rho, nu);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, swaption.getTimeToExpiry(), _mu);
    final double[] priceDSabr = new double[4];
    sabrExtrapolation.priceAdjointSABR(swaption, priceDSabr);
    final double omega = (swaption.isLong() ? 1.0 : -1.0);
    sensi.addAlpha(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[0]);
    sensi.addBeta(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[1]);
    sensi.addRho(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[2]);
    sensi.addNu(expiryMaturity, omega * discountFactorSettle * pvbp * priceDSabr[3]);
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      sensi.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      sensi.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      sensi.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    return sensi;
  }

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Examples of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle.addAlpha()

    final double[] dPvAmdNu = matrix.getTranspose(dPvAmdNuMatrix).getData()[0];
    // Storage in PresentValueSABRSensitivityDataBundle
    final PresentValueSABRSensitivityDataBundle pvss = new PresentValueSABRSensitivityDataBundle();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      final DoublesPair expiryMaturity = new DoublesPair(swaptionCalibration[loopcal].getTimeToExpiry(), swaptionCalibration[loopcal].getMaturityTime());
      pvss.addAlpha(expiryMaturity, dPvAmdAlpha[loopcal]);
      pvss.addRho(expiryMaturity, dPvAmdRho[loopcal]);
      pvss.addNu(expiryMaturity, dPvAmdNu[loopcal]);
    }
    // Curve sensitivity
    final InterestRateCurveSensitivity[] dLambdadC = new InterestRateCurveSensitivity[nbCal];

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