Class NotionalEquivalentCalculator
- java.lang.Object
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- com.opengamma.strata.pricer.sensitivity.NotionalEquivalentCalculator
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public class NotionalEquivalentCalculator extends Object
Calculator to obtain the notional equivalent.This needs the
DoubleArray
with present value sensitivity to market quotes obtained during curve calibration to be available.
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Field Summary
Fields Modifier and Type Field Description static NotionalEquivalentCalculator
DEFAULT
The default instance.
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Constructor Summary
Constructors Constructor Description NotionalEquivalentCalculator()
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Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description CurrencyParameterSensitivities
notionalEquivalent(CurrencyParameterSensitivities marketQuoteSensitivities, RatesProvider provider)
Calculates the notional equivalent from the present value market quote sensitivities.
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Field Detail
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DEFAULT
public static final NotionalEquivalentCalculator DEFAULT
The default instance.
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Method Detail
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notionalEquivalent
public CurrencyParameterSensitivities notionalEquivalent(CurrencyParameterSensitivities marketQuoteSensitivities, RatesProvider provider)
Calculates the notional equivalent from the present value market quote sensitivities.The notional equivalent is the notional in each instrument used to calibrate the curves to have the same sensitivity as the one of the portfolio described by the market quote sensitivities.
- Parameters:
marketQuoteSensitivities
- the market quote sensitivitiesprovider
- the rates provider, containing sensitivity information- Returns:
- the notionals
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