Package com.opengamma.strata.market.param

Class CrossGammaParameterSensitivities

java.lang.Object

com.opengamma.strata.market.param.CrossGammaParameterSensitivities

All Implemented Interfaces:

FxConvertible<CrossGammaParameterSensitivities>, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CrossGammaParameterSensitivities
extends Object
implements FxConvertible<CrossGammaParameterSensitivities>, org.joda.beans.ImmutableBean, Serializable

The second order parameter sensitivity for parameterized market data.

Parameter sensitivity is the sensitivity of a value to the parameters of parameterized market data objects that are used to determine the value. The main application is the parameter sensitivities for curves. Thus ParameterizedData is typically Curve.

The sensitivity is expressed as a single entry of second order sensitivities for piece of parameterized market data. The cross-gamma between different ParameterizedData is not represented. The sensitivity represents a monetary value in the specified currency. The order of the list has no specific meaning.

One way of viewing this class is as a Map from a specific sensitivity key to DoubleMatrix sensitivity values. However, instead of being structured as a Map, the data is structured as a List, with the key and value in each entry.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	CrossGammaParameterSensitivities.Meta	The meta-bean for CrossGammaParameterSensitivities.

Method Summary

Modifier and Type	Method	Description
CrossGammaParameterSensitivities	combinedWith(CrossGammaParameterSensitivities other)	Combines this parameter sensitivities with another instance.
CrossGammaParameterSensitivities	combinedWith(CrossGammaParameterSensitivity other)	Combines this parameter sensitivities with another instance.
CrossGammaParameterSensitivities	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts the sensitivities in this instance to an equivalent in the specified currency.
CurrencyParameterSensitivities	diagonal()	Returns the diagonal part of the sensitivity values.
static CrossGammaParameterSensitivities	empty()	An empty sensitivity instance.
boolean	equals(Object obj)
boolean	equalWithTolerance(CrossGammaParameterSensitivities other, double tolerance)	Checks if this sensitivity equals another within the specified tolerance.
Optional<CrossGammaParameterSensitivity>	findSensitivity(MarketDataName<?> name, Currency currency)	Finds a single sensitivity instance by name and currency.
ImmutableList<CrossGammaParameterSensitivity>	getSensitivities()	Gets the parameter sensitivities.
CrossGammaParameterSensitivity	getSensitivity(MarketDataName<?> name, Currency currency)	Gets a single sensitivity instance by name and currency.
CrossGammaParameterSensitivity	getSensitivity(MarketDataName<?> nameFirst, MarketDataName<?> nameSecond, Currency currency)	Gets a single sensitivity instance by names and currency.
int	hashCode()
CrossGammaParameterSensitivities	mapSensitivities(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivity values.
static CrossGammaParameterSensitivities.Meta	meta()	The meta-bean for CrossGammaParameterSensitivities.
CrossGammaParameterSensitivities.Meta	metaBean()
CrossGammaParameterSensitivities	multipliedBy(double factor)	Returns an instance with the sensitivity values multiplied by the specified factor.
static CrossGammaParameterSensitivities	of(CrossGammaParameterSensitivity sensitivity)	Obtains an instance from a single sensitivity entry.
static CrossGammaParameterSensitivities	of(CrossGammaParameterSensitivity... sensitivities)	Obtains an instance from an array of sensitivity entries.
static CrossGammaParameterSensitivities	of(List<? extends CrossGammaParameterSensitivity> sensitivities)	Obtains an instance from a list of sensitivity entries.
int	size()	Gets the number of sensitivity entries.
String	toString()
MultiCurrencyAmount	total()	Returns the total of the sensitivity values.
CurrencyAmount	total(Currency resultCurrency, FxRateProvider rateProvider)	Returns the total of the sensitivity values.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

empty

public static CrossGammaParameterSensitivities empty()

An empty sensitivity instance.

Returns:

the empty instance

of

public static CrossGammaParameterSensitivities of(CrossGammaParameterSensitivity sensitivity)

Obtains an instance from a single sensitivity entry.

Parameters:

sensitivity - the sensitivity entry

Returns:

the sensitivities instance

of

public static CrossGammaParameterSensitivities of(CrossGammaParameterSensitivity... sensitivities)

Obtains an instance from an array of sensitivity entries.

The order of sensitivities is typically unimportant, however it is retained and exposed in equals(Object).

Parameters:

sensitivities - the sensitivities

Returns:

the sensitivities instance

of

public static CrossGammaParameterSensitivities of(List<? extends CrossGammaParameterSensitivity> sensitivities)

Obtains an instance from a list of sensitivity entries.

The order of sensitivities is typically unimportant, however it is retained and exposed in equals(Object).

Parameters:

sensitivities - the list of sensitivity entries

Returns:

the sensitivities instance

size

public int size()

Gets the number of sensitivity entries.

Returns:

the size of the internal list of point sensitivities

getSensitivity

public CrossGammaParameterSensitivity getSensitivity(MarketDataName<?> name,
                                                     Currency currency)

Gets a single sensitivity instance by name and currency.

Parameters:

name - the curve name to find

currency - the currency to find

Returns:

the matching sensitivity

Throws:

IllegalArgumentException - if the name and currency do not match an entry

getSensitivity

public CrossGammaParameterSensitivity getSensitivity(MarketDataName<?> nameFirst,
                                                     MarketDataName<?> nameSecond,
                                                     Currency currency)

Gets a single sensitivity instance by names and currency.

This returns the sensitivity of the market data (nameFirst) delta to another market data (nameSecond). The result is sensitive to the order of nameFirst and nameSecond.

Parameters:

nameFirst - the name

nameSecond - the name

currency - the currency

Returns:

the matching sensitivity

Throws:

IllegalArgumentException - if the name and currency do not match an entry

findSensitivity

public Optional<CrossGammaParameterSensitivity> findSensitivity(MarketDataName<?> name,
                                                                Currency currency)

Finds a single sensitivity instance by name and currency.

If the sensitivity is not found, optional empty is returned.

Parameters:

name - the curve name to find

currency - the currency to find

Returns:

the matching sensitivity

combinedWith

public CrossGammaParameterSensitivities combinedWith(CrossGammaParameterSensitivity other)

Combines this parameter sensitivities with another instance.

This returns a new sensitivity instance with the specified sensitivity added. This instance is immutable and unaffected by this method. The result may contain duplicate parameter sensitivities.

Parameters:

other - the other parameter sensitivity

Returns:

an instance based on this one, with the other instance added

combinedWith

public CrossGammaParameterSensitivities combinedWith(CrossGammaParameterSensitivities other)

Combines this parameter sensitivities with another instance.

This returns a new sensitivity instance with a combined list of parameter sensitivities. This instance is immutable and unaffected by this method. The result may contain duplicate parameter sensitivities.

Parameters:

other - the other parameter sensitivities

Returns:

an instance based on this one, with the other instance added

convertedTo

public CrossGammaParameterSensitivities convertedTo(Currency resultCurrency,
                                                    FxRateProvider rateProvider)

Converts the sensitivities in this instance to an equivalent in the specified currency.

Any FX conversion that is required will use rates from the provider.

Specified by:

convertedTo in interface FxConvertible<CrossGammaParameterSensitivities>

Parameters:

resultCurrency - the currency of the result

rateProvider - the provider of FX rates

Returns:

the sensitivity object expressed in terms of the result currency

Throws:

RuntimeException - if no FX rate could be found

total

public CurrencyAmount total(Currency resultCurrency,
                            FxRateProvider rateProvider)

Returns the total of the sensitivity values.

The result is the total of all values, as converted to the specified currency. Any FX conversion that is required will use rates from the provider.

Parameters:

resultCurrency - the currency of the result

rateProvider - the provider of FX rates

Returns:

the total sensitivity

Throws:

RuntimeException - if no FX rate could be found

total

public MultiCurrencyAmount total()

Returns the total of the sensitivity values.

The result is the total of all values, in whatever currency they are defined.

Returns:

the total sensitivity

diagonal

public CurrencyParameterSensitivities diagonal()

Returns the diagonal part of the sensitivity values.

Returns:

the diagonal part

multipliedBy

public CrossGammaParameterSensitivities multipliedBy(double factor)

Returns an instance with the sensitivity values multiplied by the specified factor.

The result will consist of the same entries, but with each sensitivity value multiplied. This instance is immutable and unaffected by this method.

Parameters:

factor - the multiplicative factor

Returns:

an instance based on this one, with each sensitivity multiplied by the factor

mapSensitivities

public CrossGammaParameterSensitivities mapSensitivities(DoubleUnaryOperator operator)

Returns an instance with the specified operation applied to the sensitivity values.

The result will consist of the same entries, but with the operator applied to each sensitivity value. This instance is immutable and unaffected by this method.

This is used to apply a mathematical operation to the sensitivity values. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);
 

Parameters:

operator - the operator to be applied to the sensitivities

Returns:

an instance based on this one, with the operator applied to the sensitivity values

equalWithTolerance

public boolean equalWithTolerance(CrossGammaParameterSensitivities other,
                                  double tolerance)

Checks if this sensitivity equals another within the specified tolerance.

This returns true if the two instances have the same keys, with arrays of the same length, where the double values are equal within the specified tolerance.

Parameters:

other - the other sensitivity

tolerance - the tolerance

Returns:

true if equal up to the tolerance

meta

public static CrossGammaParameterSensitivities.Meta meta()

The meta-bean for CrossGammaParameterSensitivities.

Returns:

the meta-bean, not null

metaBean

public CrossGammaParameterSensitivities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getSensitivities

public ImmutableList<CrossGammaParameterSensitivity> getSensitivities()

Gets the parameter sensitivities.

Each entry includes details of the ParameterizedData it relates to.

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object