Added a 'SCALED' item in ShiftType.

modules/market/src/main/java/com/opengamma/strata/market/ShiftType.java

@@ -53,6 +53,23 @@ public double applyShift(double value, double shiftAmount) {
     public ValueAdjustment toValueAdjustment(double shiftAmount) {
       return ValueAdjustment.ofDeltaAmount(shiftAmount);
     }
+  },
+
+  /**
+   * An scaled shift where the value is multiplied by the shift.
+   * <p>
+   * {@code shiftedValue = (value * shiftAmount)}
+   */
+  SCALED {
+    @Override
+    public double applyShift(double value, double shiftAmount) {
+      return value * shiftAmount;
+    }
+
+    @Override
+    public ValueAdjustment toValueAdjustment(double shiftAmount) {
+      return ValueAdjustment.ofMultiplier(shiftAmount);
+    }
   };
 
   //-------------------------------------------------------------------------

modules/market/src/test/java/com/opengamma/strata/market/ShiftTypeTest.java

@@ -19,21 +19,25 @@ public class ShiftTypeTest {
   public void test_applyShift() {
     assertEquals(ShiftType.ABSOLUTE.applyShift(2, 0.1), 2.1);
     assertEquals(ShiftType.RELATIVE.applyShift(2, 0.1), 2.2);
+    assertEquals(ShiftType.SCALED.applyShift(2, 1.1), 2.2);
   }
 
   public void test_toValueAdjustment() {
     assertEquals(ShiftType.ABSOLUTE.toValueAdjustment(0.1).adjust(2), 2.1);
     assertEquals(ShiftType.RELATIVE.toValueAdjustment(0.1).adjust(2), 2.2);
+    assertEquals(ShiftType.SCALED.toValueAdjustment(1.1).adjust(2), 2.2);
   }
 
   public void test_name() {
     assertEquals(ShiftType.ABSOLUTE.name(), "ABSOLUTE");
     assertEquals(ShiftType.RELATIVE.name(), "RELATIVE");
+    assertEquals(ShiftType.SCALED.name(), "SCALED");
   }
 
   public void test_toString() {
     assertEquals(ShiftType.ABSOLUTE.toString(), "Absolute");
     assertEquals(ShiftType.RELATIVE.toString(), "Relative");
+    assertEquals(ShiftType.SCALED.toString(), "Scaled");
   }
 
   public void coverage() {

modules/pricer/src/main/java/com/opengamma/strata/pricer/impl/credit/isda/FiniteDifferenceSpreadSensitivityCalculator.java

@@ -795,18 +795,8 @@ private double bumpedSpread(double spread, double amount, ShiftType shiftType) {
   private double[] makeBumpedSpreads(double[] spreads, double amount, ShiftType shiftType) {
     int n = spreads.length;
     double[] res = new double[n];
-
-    if (shiftType == ShiftType.ABSOLUTE) {
-      for (int i = 0; i < n; i++) {
-        res[i] = spreads[i] + amount;
-      }
-    } else if (shiftType == ShiftType.RELATIVE) {
-      double a = 1 + amount;
-      for (int i = 0; i < n; i++) {
-        res[i] = spreads[i] * a;
-      }
-    } else {
-      throw new IllegalArgumentException("ShiftType " + shiftType + " is not supported");
+    for (int i = 0; i < n; i++) {
+      res[i] = shiftType.applyShift(spreads[i], amount);
     }
     return res;
   }
@@ -885,17 +875,8 @@ private double[] makeBumpedSpreads(double[] spreads, double amount, ShiftType sh
     int n = spreads.length;
     double[] res = new double[n];
     System.arraycopy(spreads, 0, res, 0, n);
-
-    switch (shiftType) {
-      case ABSOLUTE:
-        res[index] += amount;
-        break;
-      case RELATIVE:
-        res[index] += res[index] * amount;
-        break;
-      default:
-        throw new IllegalArgumentException("ShiftType " + shiftType + " is not supported");
-    }
+    res[index] = shiftType.applyShift(res[index], amount);
     return res;
   }
+
 }