Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()

com.opengamma.analytics.financial.provider.sensitivity.multicurve.MultipleCurrencyMulticurveSensitivity.cleaned()
Returns a new multiple currency sensitivity by creating clean sensitivity for each currency (see {@link InterestRateCurveSensitivity} clean() method). @return The cleaned sensitivity.

    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
    final double[] dPvAmdLambda = new double[nbCal];
    final double[][][] dPvCaldGamma = new double[nbCal][][];
    final double[][] dPvCaldLambda = new double[nbCal][nbCal];
    MultipleCurrencyMulticurveSensitivity pvcsCal = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmm);
    pvcsCal = pvcsCal.cleaned();
    final double[][] dPvAmdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmm);
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmm);
    }
    // Multiplicative-factor sensitivity

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    }
    MultipleCurrencyMulticurveSensitivity pvcsAdjust = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcsAdjust = pvcsAdjust.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsTot = pvcsCal.plus(pvcsAdjust);
    pvcsTot = pvcsTot.cleaned();
    return pvcsTot;
  }

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    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcsAdjust = pvcsAdjust.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcsAdjust = pvcsAdjust.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsTot = pvcsCal.plus(pvcsAdjust);
    pvcsTot = pvcsTot.cleaned();
    return pvcsTot;
  }


  private static final class VolatilityLMMAngle extends Function1D<Double, Double[]> {
    /**

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    final double[] dPvAmdLambda = new double[nbCal];
    final double[][][] dPvCaldGamma = new double[nbCal][][];
    final double[][] dPvCaldLambda = new double[nbCal][nbCal];
    final PresentValueSABRSensitivityDataBundle[] dPvCaldSABR = new PresentValueSABRSensitivityDataBundle[nbCal];
    MultipleCurrencyMulticurveSensitivity pvcsCal = METHOD_SWAPTION_LMM.presentValueCurveSensitivity(swaption, lmm);
    pvcsCal = pvcsCal.cleaned();
    final double[][] dPvAmdGamma = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaption, lmm);
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      dPvCaldGamma[loopcal] = METHOD_SWAPTION_LMM.presentValueLMMSensitivity(swaptionCalibration[loopcal], lmm);
    }
    // Multiplicative-factor sensitivity

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    MultipleCurrencyMulticurveSensitivity pvcs = new MultipleCurrencyMulticurveSensitivity();
    for (int loopcal = 0; loopcal < nbCal; loopcal++) {
      pvcs = pvcs.plus(dLambdadC[loopcal].multipliedBy(dPvAmdLambda[loopcal]));
    }
    pvcs = pvcs.plus(pvcsCal);
    pvcs = pvcs.cleaned();
    final List<Object> results = new ArrayList<>();
    results.add(CurrencyAmount.of(swaption.getCurrency(), METHOD_SWAPTION_LMM.presentValue(swaption, lmm).getAmount(ccy)));
    results.add(pvcs);
    results.add(pvss);
    return results;

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  public MultipleCurrencyParameterSensitivity calculateSensitivity(final InstrumentDerivative instrument, final IssuerProviderInterface multicurves, final Set<String> curvesSet) {
    Validate.notNull(instrument, "null InterestRateDerivative");
    Validate.notNull(multicurves, "null multicurve");
    Validate.notNull(curvesSet, "null curves set");
    MultipleCurrencyMulticurveSensitivity sensitivity = instrument.accept(_curveSensitivityCalculator, multicurves);
    sensitivity = sensitivity.cleaned(); // TODO: for testing purposes mainly. Could be removed after the tests.
    return pointToParameterSensitivity(sensitivity, multicurves, curvesSet);
  }


  /**
   * Computes the sensitivity with respect to the parameters from the point sensitivities.

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   */
  public void presentValueCurveSensitivityPayerReceiverParityExplicit() {
    final MultipleCurrencyMulticurveSensitivity pvhwsReceiverLong = METHOD_HW.presentValueCurveSensitivity(SWAPTION_LONG_RECEIVER, HW_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvhwsPayerShort = METHOD_HW.presentValueCurveSensitivity(SWAPTION_SHORT_PAYER, HW_MULTICURVES);
    final MultipleCurrencyMulticurveSensitivity pvSwap = SWAP_RECEIVER.accept(PVCSDC, MULTICURVES);
    AssertSensivityObjects.assertEquals("Swaption physical - Hull-White - presentValueCurveSensitivity - payer/receiver/swap parity", pvSwap.cleaned(TOLERANCE_PV_DELTA),
        pvhwsReceiverLong.plus(pvhwsPayerShort).cleaned(TOLERANCE_PV_DELTA), TOLERANCE_PV_DELTA);
  }


  @Test
  /**

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  }


  @Test
  public void presentValueCurveSensitivity() {
    MultipleCurrencyMulticurveSensitivity pvcsComputed = METHOD_CPN_IBOR_SPREAD.presentValueCurveSensitivity(CPN_IBOR_SPREAD, PROVIDER);
    pvcsComputed = pvcsComputed.cleaned();
    final MultipleCurrencyMulticurveSensitivity pvcsIbor = METHOD_CPN_IBOR.presentValueCurveSensitivity(CPN_IBOR, PROVIDER);
    final MultipleCurrencyMulticurveSensitivity pvcsFixed = METHOD_FIXED.presentValueCurveSensitivity(CPN_FIXED, PROVIDER);
    final MultipleCurrencyMulticurveSensitivity pvcsExpected = pvcsIbor.plus(pvcsFixed).cleaned();
    AssertSensivityObjects.assertEquals("CouponIborSpreadDiscountingMethod: present value curve sensitivity", pvcsExpected, pvcsComputed, TOLERANCE_PV);
  }

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    final double nuVegaTotalExpected = (pvAmortizedShiftNu.getAmount(EUR) - pvAmortized.getAmount(EUR)) / shiftNu;
    assertEquals("Nu sensitivity value", nuVegaTotalExpected, nuVegaTotalComputed, TOLERANCE_PV_DELTA);


    // Curve sensitivity
    MultipleCurrencyMulticurveSensitivity pvcs = method.presentValueCurveSensitivity(swaptionAmortized, SABR_MULTICURVES);
    pvcs = pvcs.cleaned();
    // Curve sensitivity (all-in-one)
    AssertSensivityObjects.assertEquals("presentValueCurveSensitivity", pvcs1, pvcs, TOLERANCE_PV_DELTA);
    // Curve sensitivity (parallel shift check)
    //    final double shiftCurve = 0.0000001;
    //    final YieldAndDiscountCurve curve5Shift = YieldCurve.from(ConstantDoublesCurve.from(0.05 + shiftCurve));

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   */
  public void presentValueCurveSensitivityCapLongShortParity() {
    final CapFloorCMSSpread cmsCapSpreadShort = new CapFloorCMSSpread(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, -NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME,
        STRIKE, IS_CAP);
    MultipleCurrencyMulticurveSensitivity pvcsLong = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, SABR_MULTICURVES);
    pvcsLong = pvcsLong.cleaned();
    MultipleCurrencyMulticurveSensitivity pvcsShort = METHOD_CMS_SPREAD.presentValueCurveSensitivity(cmsCapSpreadShort, SABR_MULTICURVES);
    pvcsShort = pvcsShort.multipliedBy(-1);
    pvcsShort = pvcsShort.cleaned();
    AssertSensivityObjects.assertEquals("CMS cap spread: Long/Short parity", pvcsLong, pvcsShort, TOLERANCE_PV);
  }

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