CouponIborAverageFixingDatesCompoundingDiscountingMethod { public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborAverageFixingDatesCompounding coupon, final MulticurveProviderInterface multicurve) { ArgumentChecker.notNull(coupon, "Coupon"); ArgumentChecker.notNull(multicurve, "Curves"); final int nPeriods = coupon.getFixingTime().length; final int[] nDates = new int[nPeriods]; final double[] fctr = new double[nPeriods]; double payOff = coupon.getInvestmentFactor(); for (int i = 0; i < nPeriods; ++i) { double forward = ((i == 0) ? coupon.getAmountAccrued() : 0.0); nDates[i] = coupon.getFixingTime()[i].length; for (int j = 0; j < nDates[i]; ++j) { final double forward1 = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j], coupon.getFixingPeriodAccrualFactor()[i][j]); forward += coupon.getWeight()[i][j] * forward1; } fctr[i] = (1.0 + forward * coupon.getPaymentAccrualFactors()[i]); payOff *= fctr[i]; } final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime()); final double payOffBar = coupon.getNotional() * df; final double dfBar = coupon.getNotional() * (payOff - 1.0); final double[][] forwardBars = new double[nPeriods][]; for (int i = 0; i < nPeriods; ++i) { forwardBars[i] = new double[nDates[i]]; for (int j = 0; j < nDates[i]; ++j) { forwardBars[i][j] = coupon.getWeight()[i][j] * coupon.getPaymentAccrualFactors()[i] * payOff / fctr[i] * payOffBar; } } final Map<String, List<DoublesPair>> mapDsc = new HashMap<>(); final List<DoublesPair> listDiscounting = new ArrayList<>(); listDiscounting.add(DoublesPair.of(coupon.getPaymentTime(), -coupon.getPaymentTime() * df * dfBar)); mapDsc.put(multicurve.getName(coupon.getCurrency()), listDiscounting); final Map<String, List<ForwardSensitivity>> mapFwd = new HashMap<>(); final List<ForwardSensitivity> listForward = new ArrayList<>(); for (int i = 0; i < nPeriods; ++i) { for (int j = 0; j < nDates[i]; ++j) { listForward.add(new SimplyCompoundedForwardSensitivity(coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j], coupon.getFixingPeriodAccrualFactor()[i][j], forwardBars[i][j])); } } mapFwd.put(multicurve.getName(coupon.getIndex()), listForward); return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd)); } private  CouponIborAverageFixingDatesCompoundingDiscountingMethod(); static CouponIborAverageFixingDatesCompoundingDiscountingMethod getInstance(); MultipleCurrencyAmount presentValue(final CouponIborAverageFixingDatesCompounding coupon, final MulticurveProviderInterface multicurves); MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborAverageFixingDatesCompounding coupon, final MulticurveProviderInterface multicurve);  }
@Test public void presentValueCurveSensitivityMethodVsCalculator() { final MultipleCurrencyMulticurveSensitivity pvcsMethod1 = METHOD.presentValueCurveSensitivity(DER1, MULTICURVES); final MultipleCurrencyMulticurveSensitivity pvcsCalculator1 = DER1.accept(PVCSDC, MULTICURVES); AssertSensitivityObjects.assertEquals("CouponIborAverageCompoundingDiscountingMethod", pvcsMethod1, pvcsCalculator1, EPS); final MultipleCurrencyMulticurveSensitivity pvcsMethod2 = METHOD.presentValueCurveSensitivity(DER2, MULTICURVES); final MultipleCurrencyMulticurveSensitivity pvcsCalculator2 = DER2.accept(PVCSDC, MULTICURVES); AssertSensitivityObjects.assertEquals("CouponIborAverageCompoundingDiscountingMethod", pvcsMethod2, pvcsCalculator2, EPS); }