Package com.opengamma.strata.market.param

Class CrossGammaParameterSensitivity

java.lang.Object

com.opengamma.strata.market.param.CrossGammaParameterSensitivity

All Implemented Interfaces:

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

public final class CrossGammaParameterSensitivity
extends Object
implements FxConvertible<CrossGammaParameterSensitivity>, 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 a parameterized market data object that is used to determine the value. The main application of this class is the parameter sensitivities for curves. Thus ParameterizedData is typically Curve.

The sensitivity is expressed as a matrix. The (i,j) component is the sensitivity of the i-th component of the parameterMetadata delta to the j-th parameter in order.

The sensitivity represents a monetary value in the specified currency.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
int	compareKey(CrossGammaParameterSensitivity other)	Compares the key of two sensitivity objects, excluding the parameter sensitivity values.
CrossGammaParameterSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts this sensitivity to an equivalent in the specified currency.
CurrencyParameterSensitivity	diagonal()	Returns the diagonal part of the sensitivity as CurrencyParameterSensitivity.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the sensitivity.
MarketDataName<?>	getMarketDataName()	Gets the market data name.
ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>>	getOrder()	Gets the sensitivity order.
int	getParameterCount()	Gets the number of parameters.
ImmutableList<ParameterMetadata>	getParameterMetadata()	Gets the list of parameter metadata.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the parameter metadata at the specified index.
DoubleMatrix	getSensitivity()	Gets the parameter sensitivity values.
CrossGammaParameterSensitivity	getSensitivity(MarketDataName<?> name)	Returns the sensitivity to the market data specified by name.
int	hashCode()
CrossGammaParameterSensitivity	mapSensitivity(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivity values.
static CrossGammaParameterSensitivity.Meta	meta()	The meta-bean for CrossGammaParameterSensitivity.
CrossGammaParameterSensitivity.Meta	metaBean()
CrossGammaParameterSensitivity	multipliedBy(double factor)	Returns an instance with the sensitivity values multiplied by the specified factor.
static CrossGammaParameterSensitivity	of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, Currency currency, DoubleMatrix sensitivity)	Obtains an instance from the market data name, metadata, currency and sensitivity.
static CrossGammaParameterSensitivity	of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, MarketDataName<?> marketDataNameOther, List<? extends ParameterMetadata> parameterMetadataOther, Currency currency, DoubleMatrix sensitivity)	Obtains an instance from the market data names, metadatas, currency and sensitivity.
static CrossGammaParameterSensitivity	of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, List<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order, Currency currency, DoubleMatrix sensitivity)	Obtains an instance from the market data names, metadatas, currency and sensitivity.
String	toString()
CurrencyAmount	total()	Returns the total of the sensitivity values.
CrossGammaParameterSensitivity	withSensitivity(DoubleMatrix sensitivity)	Returns an instance with new parameter 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

of

public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                Currency currency,
                                                DoubleMatrix sensitivity)

Obtains an instance from the market data name, metadata, currency and sensitivity.

This creates a sensitivity instance which stores the second order sensitivity values to a single market data, i.e., the block diagonal part of the full second order sensitivity matrix.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter. The size of the parameter metadata list must match the size of the sensitivity array.

Parameters:

marketDataName - the name of the market data that the sensitivity refers to

parameterMetadata - the parameter metadata

currency - the currency of the sensitivity

sensitivity - the sensitivity values, one for each parameter

Returns:

the sensitivity object

of

public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                MarketDataName<?> marketDataNameOther,
                                                List<? extends ParameterMetadata> parameterMetadataOther,
                                                Currency currency,
                                                DoubleMatrix sensitivity)

Obtains an instance from the market data names, metadatas, currency and sensitivity.

This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data to another market data. The first market data and the second market data can be the same.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter.

Parameters:

marketDataName - the name of the first market data that the sensitivity refers to

parameterMetadata - the first parameter metadata

marketDataNameOther - the name of the second market data that the sensitivity refers to

parameterMetadataOther - the second parameter metadata

currency - the currency of the sensitivity

sensitivity - the sensitivity values, one for each parameter

Returns:

the sensitivity object

of

public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                List<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order,
                                                Currency currency,
                                                DoubleMatrix sensitivity)

Obtains an instance from the market data names, metadatas, currency and sensitivity.

This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data to a set of other market data. The market data set is represented in terms of List<Pair<MarketDataName<?>, List<? extends ParameterMetadata>>>. which defines the order of the sensitivity values.

The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter.

Parameters:

marketDataName - the name of the market data that the sensitivity refers to

parameterMetadata - the parameter metadata

order - the order

currency - the currency of the sensitivity

sensitivity - the sensitivity values, one for each parameter

Returns:

the sensitivity object

getParameterCount

public int getParameterCount()

Gets the number of parameters.

This returns the number of parameters in the ParameterizedData instance which is the same size as the sensitivity array.

Returns:

the number of parameters

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Gets the parameter metadata at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the metadata of the parameter

Throws:

IndexOutOfBoundsException - if the index is invalid

compareKey

public int compareKey(CrossGammaParameterSensitivity other)

Compares the key of two sensitivity objects, excluding the parameter sensitivity values.

Parameters:

other - the other sensitivity object

Returns:

positive if greater, zero if equal, negative if less

convertedTo

public CrossGammaParameterSensitivity convertedTo(Currency resultCurrency,
                                                  FxRateProvider rateProvider)

Converts this sensitivity 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<CrossGammaParameterSensitivity>

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

multipliedBy

public CrossGammaParameterSensitivity multipliedBy(double factor)

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

Each value in the sensitivity array will be multiplied by the factor.

Parameters:

factor - the multiplicative factor

Returns:

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

mapSensitivity

public CrossGammaParameterSensitivity mapSensitivity(DoubleUnaryOperator operator)

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

Each value in the sensitivity array will be operated on. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivity(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

withSensitivity

public CrossGammaParameterSensitivity withSensitivity(DoubleMatrix sensitivity)

Returns an instance with new parameter sensitivity values.

Parameters:

sensitivity - the new sensitivity values

Returns:

an instance based on this one, with the specified sensitivity values

total

public CurrencyAmount total()

Returns the total of the sensitivity values.

Returns:

the total sensitivity values

diagonal

public CurrencyParameterSensitivity diagonal()

Returns the diagonal part of the sensitivity as CurrencyParameterSensitivity.

Returns:

the diagonal part

getSensitivity

public CrossGammaParameterSensitivity getSensitivity(MarketDataName<?> name)

Returns the sensitivity to the market data specified by name.

This returns a sensitivity instance which stores the sensitivity of the marketDataName delta to another market data of name.

Parameters:

name - the name

Returns:

the sensitivity

Throws:

IllegalArgumentException - if the name does not match an entry

meta

public static CrossGammaParameterSensitivity.Meta meta()

The meta-bean for CrossGammaParameterSensitivity.

Returns:

the meta-bean, not null

metaBean

public CrossGammaParameterSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getMarketDataName

public MarketDataName<?> getMarketDataName()

Gets the market data name.

This name is used in the market data system to identify the data that the sensitivities refer to.

Returns:

the value of the property, not null

getParameterMetadata

public ImmutableList<ParameterMetadata> getParameterMetadata()

Gets the list of parameter metadata.

There is one entry for each parameter.

Returns:

the value of the property, not null

getOrder

public ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> getOrder()

Gets the sensitivity order.

This defines the order of sensitivity values, which can be used as a key to interpret sensitivity.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Returns:

the value of the property, not null

getSensitivity

public DoubleMatrix getSensitivity()

Gets the parameter sensitivity values.

The curve delta sensitivities to parameterized market data. This is a n x m matrix, where n must agree with the size of parameterMetadata and m must be the sum of parameter count in order.

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