Package com.opengamma.strata.market.sensitivity

Class CurveSensitivities

java.lang.Object

com.opengamma.strata.market.sensitivity.CurveSensitivities

All Implemented Interfaces:

CalculationTarget, FxConvertible<CurveSensitivities>, Sensitivities, PortfolioItem, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

Sensitivity to a set of curves, used to pass risk into calculations.

Sometimes it is useful to pass in a representation of risk rather than explicitly listing the current portfolio of trades and/or positions. This target is designed to allow this.

A map of sensitivities is provided, allowing both delta and gamma to be included if desired.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static CurveSensitivitiesBuilder	builder(PortfolioItemInfo info)	Returns a builder that can be used to create an instance of CurveSensitivities.
CurveSensitivities	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts the sensitivities in this instance to an equivalent in the specified currency.
static CurveSensitivities	empty()	Obtains an empty instance.
boolean	equals(Object obj)
Optional<CurrencyParameterSensitivities>	findTypedSensitivity(CurveSensitivitiesType type)	Finds a sensitivity instance by type, returning empty if not found.
PortfolioItemInfo	getInfo()	Gets the additional information.
ImmutableMap<CurveSensitivitiesType,CurrencyParameterSensitivities>	getTypedSensitivities()	Gets the sensitivities, keyed by type.
CurrencyParameterSensitivities	getTypedSensitivity(CurveSensitivitiesType type)	Gets a sensitivity instance by type, throwing an exception if not found.
int	hashCode()
CurveSensitivities	mergedWith(CurveSensitivities other)	Combines this set of sensitivities with another set.
CurveSensitivities	mergedWith(Map<CurveSensitivitiesType,CurrencyParameterSensitivities> other)	Merges this set of sensitivities with another set.
static CurveSensitivities.Meta	meta()	The meta-bean for CurveSensitivities.
CurveSensitivities.Meta	metaBean()
static CurveSensitivities	of(PortfolioItemInfo info, CurveSensitivitiesType type, CurrencyParameterSensitivities sensitivities)	Obtains an instance from a single set of sensitivities.
static CurveSensitivities	of(PortfolioItemInfo info, Map<CurveSensitivitiesType,CurrencyParameterSensitivities> typedSensitivities)	Obtains an instance from a map of sensitivities.
PortfolioItemSummary	summarize()	Summarizes the portfolio item.
static Collector<CurveSensitivities,?,CurveSensitivities>	toMergedSensitivities()	Returns a collector that merges sensitivities.
String	toString()
CurveSensitivities	withInfo(PortfolioItemInfo info)	Returns an instance with the specified info.
CurveSensitivities	withMarketDataNames(Function<MarketDataName<?>,MarketDataName<?>> nameFn)	Checks and adjusts the market data names.
CurveSensitivities	withParameterMetadatas(UnaryOperator<ParameterMetadata> mdFn)	Checks and adjusts the parameter metadata.

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

Methods inherited from interface com.opengamma.strata.product.PortfolioItem

getId

Method Detail

empty

public static CurveSensitivities empty()

Obtains an empty instance.

Returns:

the empty sensitivities instance

builder

public static CurveSensitivitiesBuilder builder(PortfolioItemInfo info)

Returns a builder that can be used to create an instance of CurveSensitivities.

The builder takes into account the parameter metadata when creating the sensitivity map. As such, the parameter metadata added to the builder must not be empty.

Parameters:

info - the additional information

Returns:

the builder

of

public static CurveSensitivities of(PortfolioItemInfo info,
                                    CurveSensitivitiesType type,
                                    CurrencyParameterSensitivities sensitivities)

Obtains an instance from a single set of sensitivities.

Parameters:

info - the additional information

type - the type of the sensitivities

sensitivities - the sensitivities

Returns:

the sensitivities instance

of

public static CurveSensitivities of(PortfolioItemInfo info,
                                    Map<CurveSensitivitiesType,CurrencyParameterSensitivities> typedSensitivities)

Obtains an instance from a map of sensitivities.

Parameters:

info - the additional information

typedSensitivities - the map of sensitivities by type

Returns:

the sensitivities instance

toMergedSensitivities

public static Collector<CurveSensitivities,?,CurveSensitivities> toMergedSensitivities()

Returns a collector that merges sensitivities.

Returns:

a collector that can merge sensitivities

getTypedSensitivity

public CurrencyParameterSensitivities getTypedSensitivity(CurveSensitivitiesType type)

Gets a sensitivity instance by type, throwing an exception if not found.

Parameters:

type - the type to get

Returns:

the sensitivity

Throws:

IllegalArgumentException - if the type is not found

findTypedSensitivity

public Optional<CurrencyParameterSensitivities> findTypedSensitivity(CurveSensitivitiesType type)

Finds a sensitivity instance by type, returning empty if not found.

Parameters:

type - the type to find

Returns:

the sensitivity, empty if not found

mergedWith

public CurveSensitivities mergedWith(Map<CurveSensitivitiesType,CurrencyParameterSensitivities> other)

Merges this set of sensitivities with another set.

This returns a new curve sensitivities with a combined map of typed sensitivities. Any sensitivities of the same type will be combined as though using CurrencyParameterSensitivities.mergedWith(CurrencyParameterSensitivities).

Parameters:

other - the other parameter sensitivities

Returns:

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

mergedWith

public CurveSensitivities mergedWith(CurveSensitivities other)

Combines this set of sensitivities with another set.

This returns a new curve sensitivities with a combined map of typed sensitivities. Any sensitivities of the same type will be combined as though using CurrencyParameterSensitivities.mergedWith(CurrencyParameterSensitivities). The identifier and attributes of this instance will take precedence.

Parameters:

other - the other parameter sensitivities

Returns:

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

withMarketDataNames

public CurveSensitivities withMarketDataNames(Function<MarketDataName<?>,MarketDataName<?>> nameFn)

Checks and adjusts the market data names.

The supplied function is invoked for each market data name in this sensitivities. A typical use case would be to convert index names to curve names valid for an underlying system.

Parameters:

nameFn - the function for checking and adjusting the name

Returns:

the adjusted sensitivity

Throws:

RuntimeException - if the function throws an exception

withParameterMetadatas

public CurveSensitivities withParameterMetadatas(UnaryOperator<ParameterMetadata> mdFn)

Checks and adjusts the parameter metadata.

The supplied function is invoked for each parameter metadata in this sensitivities. If the function returns the same metadata for two different inputs, the sensitivity value will be summed. A typical use case would be to normalize parameter metadata tenors to be valid for an underlying system.

Parameters:

mdFn - the function for checking and adjusting the metadata

Returns:

the adjusted sensitivity

Throws:

RuntimeException - if the function throws an exception

convertedTo

public CurveSensitivities 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<CurveSensitivities>

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

summarize

public PortfolioItemSummary summarize()

Description copied from interface: PortfolioItem

Summarizes the portfolio item.

This provides a summary, including a human readable description.

Specified by:

summarize in interface PortfolioItem

Returns:

the summary of the item

withInfo

public CurveSensitivities withInfo(PortfolioItemInfo info)

Description copied from interface: Sensitivities

Returns an instance with the specified info.

Specified by:

withInfo in interface PortfolioItem

Specified by:

withInfo in interface Sensitivities

Parameters:

info - the new info

Returns:

the instance with the specified info

meta

public static CurveSensitivities.Meta meta()

The meta-bean for CurveSensitivities.

Returns:

the meta-bean, not null

metaBean

public CurveSensitivities.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getInfo

public PortfolioItemInfo getInfo()

Gets the additional information.

This allows additional information to be attached to the sensitivities.

Specified by:

getInfo in interface PortfolioItem

Specified by:

getInfo in interface Sensitivities

Returns:

the value of the property, not null

getTypedSensitivities

public ImmutableMap<CurveSensitivitiesType,CurrencyParameterSensitivities> getTypedSensitivities()

Gets the sensitivities, keyed by type.

The map allows sensitivity to different types to be expressed. For example, there might be both delta and gamma sensitivity.

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