CrossGammaParameterSensitivity (OpenGamma Strata Market)

java.lang.Object
- com.opengamma.strata.market.param.CrossGammaParameterSensitivity

All Implemented Interfaces:

FxConvertible<CrossGammaParameterSensitivity>, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class CrossGammaParameterSensitivity
extends Object
implements FxConvertible<CrossGammaParameterSensitivity>, org.joda.beans.ImmutableBean, Serializable
```
The second order parameter sensitivity for parameterized market data.
Parameter sensitivity is the sensitivity of a value to the parameters of a parameterized market data object that is used to determine the value. The main application of this class is the parameter sensitivities for curves. Thus ParameterizedData is typically Curve.
The sensitivity is expressed as a matrix. The (i,j) component is the sensitivity of the i-th component of the parameterMetadata delta to the j-th parameter in order.
The sensitivity represents a monetary value in the specified currency.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class CrossGammaParameterSensitivity.Meta
The meta-bean for CrossGammaParameterSensitivity.

Nested Classes
Modifier and Type	Class and Description
`static class`	`CrossGammaParameterSensitivity.Meta` The meta-bean for `CrossGammaParameterSensitivity`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`int`	`compareKey(CrossGammaParameterSensitivity other)` Compares the key of two sensitivity objects, excluding the parameter sensitivity values.
`CrossGammaParameterSensitivity`	`convertedTo(Currency resultCurrency, FxRateProvider rateProvider)` Converts this sensitivity to an equivalent in the specified currency.
`CurrencyParameterSensitivity`	`diagonal()` Returns the diagonal part of the sensitivity as `CurrencyParameterSensitivity`.
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the currency of the sensitivity.
`MarketDataName<?>`	`getMarketDataName()` Gets the market data name.
`ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>>`	`getOrder()` Gets the sensitivity order.
`int`	`getParameterCount()` Gets the number of parameters.
`ImmutableList<ParameterMetadata>`	`getParameterMetadata()` Gets the list of parameter metadata.
`ParameterMetadata`	`getParameterMetadata(int parameterIndex)` Gets the parameter metadata at the specified index.
`DoubleMatrix`	`getSensitivity()` Gets the parameter sensitivity values.
`CrossGammaParameterSensitivity`	`getSensitivity(MarketDataName<?> name)` Returns the sensitivity to the market data specified by `name`.
`int`	`hashCode()`
`CrossGammaParameterSensitivity`	`mapSensitivity(DoubleUnaryOperator operator)` Returns an instance with the specified operation applied to the sensitivity values.
`static CrossGammaParameterSensitivity.Meta`	`meta()` The meta-bean for `CrossGammaParameterSensitivity`.
`CrossGammaParameterSensitivity.Meta`	`metaBean()`
`CrossGammaParameterSensitivity`	`multipliedBy(double factor)` Returns an instance with the sensitivity values multiplied by the specified factor.
`static CrossGammaParameterSensitivity`	`of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, Currency currency, DoubleMatrix sensitivity)` Obtains an instance from the market data name, metadata, currency and sensitivity.
`static CrossGammaParameterSensitivity`	`of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, List<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order, Currency currency, DoubleMatrix sensitivity)` Obtains an instance from the market data names, metadatas, currency and sensitivity.
`static CrossGammaParameterSensitivity`	`of(MarketDataName<?> marketDataName, List<? extends ParameterMetadata> parameterMetadata, MarketDataName<?> marketDataNameOther, List<? extends ParameterMetadata> parameterMetadataOther, Currency currency, DoubleMatrix sensitivity)` Obtains an instance from the market data names, metadatas, currency and sensitivity.
`String`	`toString()`
`CurrencyAmount`	`total()` Returns the total of the sensitivity values.
`CrossGammaParameterSensitivity`	`withSensitivity(DoubleMatrix sensitivity)` Returns an instance with new parameter sensitivity values.

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                Currency currency,
                                                DoubleMatrix sensitivity)
```
    Obtains an instance from the market data name, metadata, currency and sensitivity.
    This creates a sensitivity instance which stores the second order sensitivity values to a single market data, i.e., the block diagonal part of the full second order sensitivity matrix.
    The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter. The size of the parameter metadata list must match the size of the sensitivity array.
    
    Parameters:
    
    marketDataName - the name of the market data that the sensitivity refers to
    
    parameterMetadata - the parameter metadata
    
    currency - the currency of the sensitivity
    
    sensitivity - the sensitivity values, one for each parameter
    
    Returns:
    
    the sensitivity object
  - of
```
public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                MarketDataName<?> marketDataNameOther,
                                                List<? extends ParameterMetadata> parameterMetadataOther,
                                                Currency currency,
                                                DoubleMatrix sensitivity)
```
    Obtains an instance from the market data names, metadatas, currency and sensitivity.
    This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data to another market data. The first market data and the second market data can be the same.
    The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter.
    
    Parameters:
    
    marketDataName - the name of the first market data that the sensitivity refers to
    
    parameterMetadata - the first parameter metadata
    
    marketDataNameOther - the name of the second market data that the sensitivity refers to
    
    parameterMetadataOther - the second parameter metadata
    
    currency - the currency of the sensitivity
    
    sensitivity - the sensitivity values, one for each parameter
    
    Returns:
    
    the sensitivity object
  - of
```
public static CrossGammaParameterSensitivity of(MarketDataName<?> marketDataName,
                                                List<? extends ParameterMetadata> parameterMetadata,
                                                List<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order,
                                                Currency currency,
                                                DoubleMatrix sensitivity)
```
    Obtains an instance from the market data names, metadatas, currency and sensitivity.
    This creates a sensitivity instance which stores the second order sensitivity values: the delta of a market data to a set of other market data. The market data set is represented in terms of List<Pair<MarketDataName<?>, List<? extends ParameterMetadata>>>. which defines the order of the sensitivity values.
    The market data name identifies the ParameterizedData instance that was queried. The parameter metadata provides information on each parameter.
    
    Parameters:
    
    marketDataName - the name of the market data that the sensitivity refers to
    
    parameterMetadata - the parameter metadata
    
    order - the order
    
    currency - the currency of the sensitivity
    
    sensitivity - the sensitivity values, one for each parameter
    
    Returns:
    
    the sensitivity object
  - getParameterCount
```
public int getParameterCount()
```
    Gets the number of parameters.
    This returns the number of parameters in the ParameterizedData instance which is the same size as the sensitivity array.
    
    Returns:
    
    the number of parameters
  - getParameterMetadata
```
public ParameterMetadata getParameterMetadata(int parameterIndex)
```
    Gets the parameter metadata at the specified index.
    If there is no specific parameter metadata, an empty instance will be returned.
    
    Parameters:
    
    parameterIndex - the zero-based index of the parameter to get
    
    Returns:
    
    the metadata of the parameter
    
    Throws:
    
    IndexOutOfBoundsException - if the index is invalid
  - compareKey
```
public int compareKey(CrossGammaParameterSensitivity other)
```
    Compares the key of two sensitivity objects, excluding the parameter sensitivity values.
    
    Parameters:
    
    other - the other sensitivity object
    
    Returns:
    
    positive if greater, zero if equal, negative if less
  - convertedTo
```
public CrossGammaParameterSensitivity convertedTo(Currency resultCurrency,
                                                  FxRateProvider rateProvider)
```
    Converts this sensitivity to an equivalent in the specified currency.
    Any FX conversion that is required will use rates from the provider.
    
    Specified by:
    
    convertedTo in interface FxConvertible<CrossGammaParameterSensitivity>
    
    Parameters:
    
    resultCurrency - the currency of the result
    
    rateProvider - the provider of FX rates
    
    Returns:
    
    the sensitivity object expressed in terms of the result currency
    
    Throws:
    
    RuntimeException - if no FX rate could be found
  - multipliedBy
```
public CrossGammaParameterSensitivity multipliedBy(double factor)
```
    Returns an instance with the sensitivity values multiplied by the specified factor.
    Each value in the sensitivity array will be multiplied by the factor.
    
    Parameters:
    
    factor - the multiplicative factor
    
    Returns:
    
    an instance based on this one, with each sensitivity multiplied by the factor
  - mapSensitivity
```
public CrossGammaParameterSensitivity mapSensitivity(DoubleUnaryOperator operator)
```
    Returns an instance with the specified operation applied to the sensitivity values.
    Each value in the sensitivity array will be operated on. For example, the operator could multiply the sensitivities by a constant, or take the inverse.
```
   inverse = base.mapSensitivity(value -> 1 / value);
 
```
    Parameters:
    
    operator - the operator to be applied to the sensitivities
    
    Returns:
    
    an instance based on this one, with the operator applied to the sensitivity values
  - withSensitivity
```
public CrossGammaParameterSensitivity withSensitivity(DoubleMatrix sensitivity)
```
    Returns an instance with new parameter sensitivity values.
    
    Parameters:
    
    sensitivity - the new sensitivity values
    
    Returns:
    
    an instance based on this one, with the specified sensitivity values
  - total
```
public CurrencyAmount total()
```
    Returns the total of the sensitivity values.
    
    Returns:
    
    the total sensitivity values
  - diagonal
```
public CurrencyParameterSensitivity diagonal()
```
    Returns the diagonal part of the sensitivity as CurrencyParameterSensitivity.
    
    Returns:
    
    the diagonal part
  - getSensitivity
```
public CrossGammaParameterSensitivity getSensitivity(MarketDataName<?> name)
```
    Returns the sensitivity to the market data specified by name.
    This returns a sensitivity instance which stores the sensitivity of the marketDataName delta to another market data of name.
    
    Parameters:
    
    name - the name
    
    Returns:
    
    the sensitivity
    
    Throws:
    
    IllegalArgumentException - if the name does not match an entry
  - meta
```
public static CrossGammaParameterSensitivity.Meta meta()
```
    The meta-bean for CrossGammaParameterSensitivity.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public CrossGammaParameterSensitivity.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getMarketDataName
```
public MarketDataName<?> getMarketDataName()
```
    Gets the market data name.
    This name is used in the market data system to identify the data that the sensitivities refer to.
    
    Returns:
    
    the value of the property, not null
  - getParameterMetadata
```
public ImmutableList<ParameterMetadata> getParameterMetadata()
```
    Gets the list of parameter metadata.
    There is one entry for each parameter.
    
    Returns:
    
    the value of the property, not null
  - getOrder
```
public ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> getOrder()
```
    Gets the sensitivity order.
    This defines the order of sensitivity values, which can be used as a key to interpret sensitivity.
    
    Returns:
    
    the value of the property, not null
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency of the sensitivity.
    
    Returns:
    
    the value of the property, not null
  - getSensitivity
```
public DoubleMatrix getSensitivity()
```
    Gets the parameter sensitivity values.
    The curve delta sensitivities to parameterized market data. This is a n x m matrix, where n must agree with the size of parameterMetadata and m must be the sum of parameter count in order.
    
    Returns:
    
    the value of the property, not null
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class CrossGammaParameterSensitivity

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

of

getParameterCount

getParameterMetadata

compareKey

convertedTo

multipliedBy

mapSensitivity

withSensitivity

total

diagonal

getSensitivity

meta

metaBean

getMarketDataName

getParameterMetadata

getOrder

getCurrency

getSensitivity

equals

hashCode

toString