/**
* Calculate the instrument sensitivity from the yield sensitivity, the jacobian matrix and the
* coupon sensitivity.
*
* @param curveSensitivities The sensitivity to points of the yield curve.
* @param curves The curve bundle.
* @param couponSensitivity The sensitivity
* @param jacobian The present value coupon sensitivity.
* @return The instrument quote/rate sensitivity.
*/
public DoubleMatrix1D calculateFromPresentValue(
final Map<String, List<DoublesPair>> curveSensitivities,
final YieldCurveBundle curves,
final DoubleMatrix1D couponSensitivity,
final DoubleMatrix2D jacobian) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : curves.getAllNames()) {
final DoubleMatrix1D nodeSensitivity =
new DoubleMatrix1D(
(_parameterSensitivityCalculator.pointToParameterSensitivity(
curveSensitivities.get(curveName), curves.getCurve(curveName)))
.toArray(new Double[0]));
final int n = nodeSensitivity.getNumberOfElements();
final DoubleMatrix2D inverseJacobian = MATRIX_ALGEBRA.getInverse(jacobian);
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum +=
-couponSensitivity.getEntry(i)
* inverseJacobian.getEntry(j, i)
* nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}
/**
* Compute the market quote sensitivity from an instrument and the Jacobian matrix.
*
* @param instrument The instrument. Not null.
* @param fixedCurves The fixed curves names (for which the parameter sensitivity are not computed
* even if they are necessary for the instrument pricing). The curve in the list may or may
* not be in the bundle. Not null.
* @param bundle The curve bundle with all the curves with respect to which the sensitivity should
* be computed. Not null.
* @param inverseJacobian The inverse Jacobian matrix (derivative of the curve parameters with
* respect to the market quotes).
* @return The market quote sensitivity.
*/
public DoubleMatrix1D fromInstrumentInverseJacobian(
final InstrumentDerivative instrument,
final Set<String> fixedCurves,
final YieldCurveBundle bundle,
final DoubleMatrix2D inverseJacobian) {
final DoubleMatrix1D parameterSensitivity =
_parameterSensitivityCalculator.calculateSensitivity(instrument, fixedCurves, bundle);
return fromParameterSensitivityInverseJacobian(parameterSensitivity, inverseJacobian);
}
public DoubleMatrix1D calculateFromSimpleInterpolatedCurve(
final Map<String, List<DoublesPair>> curveSensitivities,
final YieldCurveBundle interpolatedCurves) {
final DoubleArrayList resultList = new DoubleArrayList();
for (final String curveName : interpolatedCurves.getAllNames()) {
final DoubleMatrix1D nodeSensitivity =
new DoubleMatrix1D(
(_parameterSensitivityCalculator.pointToParameterSensitivity(
curveSensitivities.get(curveName), interpolatedCurves.getCurve(curveName)))
.toArray(new Double[0]));
final int n = nodeSensitivity.getNumberOfElements();
for (int i = 0; i < n; i++) {
double sum = 0;
for (int j = 0; j < n; j++) {
sum += nodeSensitivity.getEntry(j);
}
resultList.add(sum);
}
}
return new DoubleMatrix1D(resultList.toDoubleArray());
}