Class MarketQuoteSensitivityCalculator


  • public class MarketQuoteSensitivityCalculator
    extends java.lang.Object
    Calculator to obtain the Market Quote sensitivities.

    This needs the JacobianCalibrationMatrix obtained during curve calibration. The Market Quote sensitivities are also called Par Rate when the instruments used in the curve calibration are quoted in rate, e.g. IRS, FRA or OIS.

    • Constructor Detail

      • MarketQuoteSensitivityCalculator

        public MarketQuoteSensitivityCalculator()
    • Method Detail

      • sensitivity

        public CurrencyParameterSensitivities sensitivity​(CurrencyParameterSensitivities paramSensitivities,
                                                          RatesProvider provider)
        Calculates the market quote sensitivities from parameter sensitivity.
        Parameters:
        paramSensitivities - the curve parameter sensitivities
        provider - the rates provider, containing Jacobian calibration information
        Returns:
        the market quote sensitivities
      • sensitivity

        public CurrencyParameterSensitivities sensitivity​(CurrencyParameterSensitivities paramSensitivities,
                                                          LegalEntityDiscountingProvider provider)
        Calculates the market quote sensitivities from parameter sensitivity.

        This calculates the market quote sensitivities of fixed incomes. The input parameter sensitivities must be computed based on the legal entity discounting provider.

        Parameters:
        paramSensitivities - the curve parameter sensitivities
        provider - the legal entity discounting provider, containing Jacobian calibration information
        Returns:
        the market quote sensitivities
      • sensitivity

        public CurrencyParameterSensitivities sensitivity​(CurrencyParameterSensitivities paramSensitivities,
                                                          CreditRatesProvider provider)
        Calculates the market quote sensitivities from parameter sensitivity.

        This calculates the market quote sensitivities of credit derivatives. The input parameter sensitivities must be computed based on the credit rates provider.

        Parameters:
        paramSensitivities - the curve parameter sensitivities
        provider - the credit rates provider, containing Jacobian calibration information
        Returns:
        the market quote sensitivities