com.opengamma.strata.pricer.sensitivity

Class NotionalEquivalentCalculator

java.lang.Object

com.opengamma.strata.pricer.sensitivity.NotionalEquivalentCalculator

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.

Field Summary

Fields

Modifier and Type	Field and Description
static NotionalEquivalentCalculator	DEFAULT The default instance.

Constructor Summary

Constructors

Constructor and Description
NotionalEquivalentCalculator()

Method Summary

Modifier and Type	Method and Description
CurrencyParameterSensitivities	notionalEquivalent(CurrencyParameterSensitivities marketQuoteSensitivities, RatesProvider provider) Calculates the notional equivalent from the present value market quote sensitivities.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final NotionalEquivalentCalculator DEFAULT

The default instance.

Constructor Detail

NotionalEquivalentCalculator

public NotionalEquivalentCalculator()

Method Detail

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 sensitivities

provider - the rates provider, containing sensitivity information

Returns:

the notionals