com.opengamma.strata.pricer.sensitivity

Class RatesFiniteDifferenceSensitivityCalculator

java.lang.Object

com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator

public class RatesFiniteDifferenceSensitivityCalculator
extends Object

Computes the curve parameter sensitivity by finite difference.

This is based on an ImmutableRatesProvider, LegalEntityDiscountingProvider or CreditRatesProvider. The sensitivities are calculated by finite difference.

Field Summary

Fields

Modifier and Type	Field and Description
static RatesFiniteDifferenceSensitivityCalculator	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
RatesFiniteDifferenceSensitivityCalculator(double shift) Create an instance of the finite difference calculator.

Method Summary

Modifier and Type	Method and Description
CurrencyParameterSensitivities	sensitivity(CreditRatesProvider provider, Function<ImmutableCreditRatesProvider,CurrencyAmount> valueFn) Computes the first order sensitivities of a function of a CreditRatesProvider to a double by finite difference.
CurrencyParameterSensitivities	sensitivity(LegalEntityDiscountingProvider provider, Function<ImmutableLegalEntityDiscountingProvider,CurrencyAmount> valueFn) Computes the first order sensitivities of a function of a LegalEntityDiscountingProvider to a double by finite difference.
CurrencyParameterSensitivities	sensitivity(RatesProvider provider, Function<ImmutableRatesProvider,CurrencyAmount> valueFn) Computes the first order sensitivities of a function of a RatesProvider to a double by finite difference.

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final RatesFiniteDifferenceSensitivityCalculator DEFAULT

Default implementation. The shift is one basis point (0.0001).

Constructor Detail

RatesFiniteDifferenceSensitivityCalculator

public RatesFiniteDifferenceSensitivityCalculator(double shift)

Create an instance of the finite difference calculator.

Parameters:

shift - the shift used in the finite difference computation

Method Detail

sensitivity

public CurrencyParameterSensitivities sensitivity(RatesProvider provider,
                                                  Function<ImmutableRatesProvider,CurrencyAmount> valueFn)

Computes the first order sensitivities of a function of a RatesProvider to a double by finite difference.

The finite difference is computed by forward type. The function should return a value in the same currency for any rate provider.

Parameters:

provider - the rates provider

valueFn - the function from a rate provider to a currency amount for which the sensitivity should be computed

Returns:

the curve sensitivity

sensitivity

public CurrencyParameterSensitivities sensitivity(LegalEntityDiscountingProvider provider,
                                                  Function<ImmutableLegalEntityDiscountingProvider,CurrencyAmount> valueFn)

Computes the first order sensitivities of a function of a LegalEntityDiscountingProvider to a double by finite difference.

The finite difference is computed by forward type. The function should return a value in the same currency for any rates provider of LegalEntityDiscountingProvider.

Parameters:

provider - the rates provider

valueFn - the function from a rate provider to a currency amount for which the sensitivity should be computed

Returns:

the curve sensitivity

sensitivity

public CurrencyParameterSensitivities sensitivity(CreditRatesProvider provider,
                                                  Function<ImmutableCreditRatesProvider,CurrencyAmount> valueFn)

Computes the first order sensitivities of a function of a CreditRatesProvider to a double by finite difference.

The finite difference is computed by forward type. The function should return a value in the same currency for any rates provider of CreditRatesProvider.

Parameters:

provider - the rates provider

valueFn - the function from a rate provider to a currency amount for which the sensitivity should be computed

Returns:

the curve sensitivity