CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod { public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborAverageFixingDatesCompoundingFlatSpread 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[] forwardAverage = new double[nPeriods]; final double[] cpaSum = new double[nPeriods + 1]; cpaSum[0] = coupon.getRateFixed(); forwardAverage[0] = coupon.getAmountAccrued(); for (int i = 0; i < nPeriods; ++i) { nDates[i] = coupon.getFixingTime()[i].length; for (int j = 0; j < nDates[i]; ++j) { final double forward = multicurve.getSimplyCompoundForwardRate(coupon.getIndex(), coupon.getFixingPeriodStartTime()[i][j], coupon.getFixingPeriodEndTime()[i][j], coupon.getFixingPeriodAccrualFactor()[i][j]); forwardAverage[i] += coupon.getWeight()[i][j] * forward; } cpaSum[i + 1] = cpaSum[i] + (forwardAverage[i] + coupon.getSpread() + cpaSum[i] * forwardAverage[i]) * coupon.getPaymentAccrualFactors()[i]; } double payoff = cpaSum[nPeriods]; final double df = multicurve.getDiscountFactor(coupon.getCurrency(), coupon.getPaymentTime()); final double payoffBar = coupon.getNotional() * df; final double dfBar = coupon.getNotional() * payoff; final double[] cpaSumBar = new double[nPeriods + 1]; final double[] forwardAverageBar = new double[nPeriods]; cpaSumBar[nPeriods] = payoffBar; for (int i = nPeriods - 1; i >= 0; i--) { cpaSumBar[i] += (1 + forwardAverage[i] * coupon.getPaymentAccrualFactors()[i]) * cpaSumBar[i + 1]; forwardAverageBar[i] = (1 + cpaSum[i]) * coupon.getPaymentAccrualFactors()[i] * cpaSumBar[i + 1]; } final double[][] forwardBar = new double[nPeriods][]; for (int i = 0; i < nPeriods; ++i) { forwardBar[i] = new double[nDates[i]]; for (int j = 0; j < nDates[i]; ++j) { forwardBar[i][j] += coupon.getWeight()[i][j] * forwardAverageBar[i]; } } 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], forwardBar[i][j])); } } mapFwd.put(multicurve.getName(coupon.getIndex()), listForward); return MultipleCurrencyMulticurveSensitivity.of(coupon.getCurrency(), MulticurveSensitivity.of(mapDsc, mapFwd)); } private  CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod(); static CouponIborAverageFixingDatesCompoundingFlatSpreadDiscountingMethod getInstance(); MultipleCurrencyAmount presentValue(final CouponIborAverageFixingDatesCompoundingFlatSpread coupon, final MulticurveProviderInterface multicurves); MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponIborAverageFixingDatesCompoundingFlatSpread coupon, final MulticurveProviderInterface multicurve);  }
@Test public void presentValueMarketSensitivityMethodVsCalculator() { final MultipleCurrencyMulticurveSensitivity pvcsMethod1 = METHOD.presentValueCurveSensitivity(DER1, MULTICURVES); final MultipleCurrencyMulticurveSensitivity pvcsCalculator1 = DER1.accept(PVCSDC, MULTICURVES); AssertSensitivityObjects.assertEquals("CouponIborAverageFlatCompoundingSpreadDiscountingMethod", pvcsMethod1, pvcsCalculator1, EPS); final MultipleCurrencyMulticurveSensitivity pvcsMethod2 = METHOD.presentValueCurveSensitivity(DER2, MULTICURVES); final MultipleCurrencyMulticurveSensitivity pvcsCalculator2 = DER2.accept(PVCSDC, MULTICURVES); AssertSensitivityObjects.assertEquals("CouponIborAverageFlatCompoundingSpreadDiscountingMethod", pvcsMethod2, pvcsCalculator2, EPS); }