Package com.opengamma.strata.pricer.sensitivity

Class MarketQuoteSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator

public class MarketQuoteSensitivityCalculator
extends 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.

Field Summary

Fields

Modifier and Type	Field	Description
static MarketQuoteSensitivityCalculator	DEFAULT	The default instance.

Constructor Summary

Constructors

Constructor	Description
MarketQuoteSensitivityCalculator()

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivities	sensitivity(CurrencyParameterSensitivities paramSensitivities, LegalEntityDiscountingProvider provider)	Calculates the market quote sensitivities from parameter sensitivity.
CurrencyParameterSensitivities	sensitivity(CurrencyParameterSensitivities paramSensitivities, CreditRatesProvider provider)	Calculates the market quote sensitivities from parameter sensitivity.
CurrencyParameterSensitivities	sensitivity(CurrencyParameterSensitivities paramSensitivities, RatesProvider provider)	Calculates the market quote sensitivities from parameter sensitivity.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final MarketQuoteSensitivityCalculator DEFAULT

The default instance.

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