// determine the curve parameter sensitivities, removing the curency
private UnitParameterSensitivities extractSensitivities(
ResolvedTrade trade, RatesProvider provider) {
CalibrationMeasure<ResolvedTrade> measure = getMeasure(trade);
CurrencyParameterSensitivities paramSens = measure.sensitivities(trade, provider);
UnitParameterSensitivities unitSens = UnitParameterSensitivities.empty();
for (CurrencyParameterSensitivity ccySens : paramSens.getSensitivities()) {
unitSens = unitSens.combinedWith(ccySens.toUnitParameterSensitivity());
}
return unitSens;
}
/**
* Calculates the sensitivity with respect to the rates provider.
*
* <p>The result array is composed of the concatenated curve sensitivities from all curves
* currently being processed.
*
* @param trade the trade
* @param provider the rates provider
* @param curveOrder the order of the curves
* @return the sensitivity derivative
*/
public DoubleArray derivative(
ResolvedTrade trade, RatesProvider provider, List<CurveParameterSize> curveOrder) {
UnitParameterSensitivities unitSens = extractSensitivities(trade, provider);
// expand to a concatenated array
DoubleArray result = DoubleArray.EMPTY;
for (CurveParameterSize curveParams : curveOrder) {
DoubleArray sens =
unitSens
.findSensitivity(curveParams.getName())
.map(s -> s.getSensitivity())
.orElseGet(() -> DoubleArray.filled(curveParams.getParameterCount()));
result = result.concat(sens);
}
return result;
}
