Examples of com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()

com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity.cleaned()
Return a new sensitivity cleaned by sorting the times and adding the values at the duplicate times. @return The cleaned sensitivity.

  /**
   * Tests the curve sensitivity for the explicit formula.
   */
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvsSwaption = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    pvsSwaption = pvsSwaption.cleaned();
    final double deltaTolerancePrice = 1.0E+0;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";

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    final double toleranceDelta = 1.0E+6; // 100 USD by bp
    final InterestRateCurveSensitivity pvcsExplicit = METHOD_HW.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final int nbPath = 30000; // 10000 path -> 200 USD by bp
    final HullWhiteMonteCarloMethod methodMC = new HullWhiteMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    InterestRateCurveSensitivity pvcsMC = methodMC.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, FUNDING_CURVE_NAME, BUNDLE_HW);
    pvcsMC = pvcsMC.cleaned();
    final InterestRateCurveSensitivity diff = pvcsExplicit.cleaned().plus(pvcsMC.multipliedBy(-1)).cleaned();
    final List<DoublesPair> sensiDsc = diff.getSensitivities().get(FUNDING_CURVE_NAME);
    final int nbDsc = sensiDsc.size();
    for (int loopdsc = 0; loopdsc < nbDsc; loopdsc++) {
      assertEquals("Sensitivity MC method: node sensitivity (node: " + loopdsc + ")", 0.0, sensiDsc.get(loopdsc).second, toleranceDelta);

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  /**
   * Tests the curve sensitivity for the explicit formula.
   */
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvcsSwaption = METHOD_BLACK.presentValueCurveSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    pvcsSwaption = pvcsSwaption.cleaned();
    // 1. Forward curve sensitivity
    final DoubleAVLTreeSet forwardTime = new DoubleAVLTreeSet();
    for (int loopcpn = 0; loopcpn < SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNumberOfPayments(); loopcpn++) {
      final CouponIbor cpn = (CouponIbor) SWAPTION_LONG_REC.getUnderlyingSwap().getSecondLeg().getNthPayment(loopcpn);
      forwardTime.add(cpn.getFixingPeriodStartTime());

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  /**
   * Test the present value curvesensitivity.
   */
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvsSwaption = METHOD_LMM.presentValueCurveSensitivity(SWAPTION_PAYER_LONG, BUNDLE_LMM);
    pvsSwaption = pvsSwaption.cleaned();
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";

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    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount() - pvAmortized.getAmount()) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, 1.0E+1);


    // Curve sensitivity
    InterestRateCurveSensitivity pvcs = method.presentValueCurveSensitivity(swaptionAmortized, sabrBundle);
    pvcs = pvcs.cleaned();
    // Curve sensitivity (all-in-one)
    final List<DoublesPair> pvcsFwd = pvcs.getSensitivities().get(CURVES_NAME[1]);
    final List<DoublesPair> pvcsFwd1 = pvcs1.getSensitivities().get(CURVES_NAME[1]);
    for (int loopnode = 0; loopnode < pvcsFwd.size(); loopnode++) {
      final DoublesPair pairPvcsFwd = pvcsFwd.get(loopnode);

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  /**
   * Test the present value curves sensitivity computed from the curves
   */
  public void presentValueCurveSensitivity() {
    final InterestRateCurveSensitivity pvcsMethod = METHOD_TRANSACTION_OPTION_BLACK.presentValueCurveSensitivity(TRANSACTION_1, BLACK_BUNDLE);
    pvcsMethod.cleaned();
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";
    final String[] curvesBumpedForward = new String[] {CURVE_NAMES[0], bumpedCurveName};
    final InterestRateFutureOptionMarginTransaction transactionBumped = TRANSACTION_1_DEFINITION.toDerivative(REFERENCE_DATE, TRADE_PRICE, curvesBumpedForward);
    final double[] nodeTimesForward = new double[] {ERU2.getFixingPeriodStartTime(), ERU2.getFixingPeriodEndTime()};

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  /**
   * Test the present value curves sensitivity computed from the curves
   */
  public void presentValueCurveSensitivity() {
    final InterestRateCurveSensitivity pvsFuture = METHOD.presentValueCurveSensitivity(TRANSACTION, SABR_BUNDLE);
    pvsFuture.cleaned();
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";

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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {
    InterestRateCurveSensitivity pvsFuture = METHOD.presentValueCurveSensitivity(COUPON, CURVES_BUNDLE);
    pvsFuture = pvsFuture.cleaned();
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;
    // 1. Forward curve sensitivity
    final String bumpedCurveName = "Bumped Curve";

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   */
  public void presentValueCurveSensitivityBetweenSettleMaturity() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 12, 20);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    InterestRateCurveSensitivity pvcsComputed = METHOD_DEPOSIT.presentValueCurveSensitivity(deposit, CURVES);
    pvcsComputed = pvcsComputed.cleaned(0.0, 1.0E-4);
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsComputed.getSensitivities().size());
    assertEquals("DepositDefinition: present value curve sensitivity", 1, pvcsComputed.getSensitivities().get(CURVES_NAME[0]).size());
    final double deltaTolerancePrice = 1.0E+2;
    //Testing note: Sensitivity is for a movement of 1. 1E+2 = 1 cent for a 1 bp move. Tolerance increased to cope with numerical imprecision of finite difference.
    final double deltaShift = 1.0E-6;

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      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
      assertEquals("Sensitivity par spread to curve: Node", pairPv.second, result[loopnode], TOLERANCE_PRICE);
    }
    CURVES.replaceCurve(CURVES_NAME[0], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = deposit.accept(PSCSC, CURVES);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("DepositZero: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }


  @Test
  /**

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