Examples of BlackFlatSwaptionParameters

Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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  @Override
  public YieldCurveWithBlackSwaptionBundle rollDown(final YieldCurveWithBlackSwaptionBundle data, final double time) {
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, time);
    final Surface<Double, Double, Double> surface = data.getBlackParameters().getVolatilitySurface();
    final Surface<Double, Double, Double> shiftedVolatilitySurface = SURFACE_ROLLDOWN.rollDown(surface, time);
    final BlackFlatSwaptionParameters shiftedParameters = new BlackFlatSwaptionParameters(shiftedVolatilitySurface, data.getBlackParameters().getGeneratorSwap());
    return new YieldCurveWithBlackSwaptionBundle(shiftedParameters, shiftedCurves);
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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  }

  @Override
  public BlackSwaptionFlatProviderInterface copy() {
    final MulticurveProviderInterface curves = _multiCurveProvider.copy();
    final BlackFlatSwaptionParameters black = _blackParameters; //TODO copy these parameters
    return new BlackSwaptionFlatProvider(curves, black);
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final BlackFlatSwaptionParameters blackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
    final BlackSwaptionFlatProvider curvesBlackP = new BlackSwaptionFlatProvider(MULTICURVES, blackP);
    final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters blackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
    final BlackSwaptionFlatProvider curvesBlackM = new BlackSwaptionFlatProvider(MULTICURVES, blackM);
    final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    final Double volatilitySensitivity = pvbvs.getSensitivity().getMap().get(point);
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getCurrencyAmounts()[0].getAmount() - pvM.getCurrencyAmounts()[0].getAmount()) / (2 * shift),
 
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters blackP = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
      final BlackSwaptionFlatProvider curvesBlackP = new BlackSwaptionFlatProvider(MULTICURVES, blackP);
      final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters blackM = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final BlackSwaptionFlatProvider curvesBlackM = new BlackSwaptionFlatProvider(MULTICURVES, blackM);
      final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getCurrencyAmounts()[0].getAmount() - pvM.getCurrencyAmounts()[0].getAmount()) / (2 * shift), pvbns
          .getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(shift);
    final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
    final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(-shift);
    final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
    final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_PV_DELTA);
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters BlackP = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, shift);
      final BlackSwaptionFlatProviderDiscount curvesBlackP = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackP);
      final MultipleCurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = BlackDataSets.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final BlackSwaptionFlatProviderDiscount curvesBlackM = new BlackSwaptionFlatProviderDiscount(MULTICURVES, BlackM);
      final MultipleCurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount(EUR) - pvM.getAmount(EUR)) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_PV_DELTA);
    }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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      0.34, 0.25, 0.30, 0.25, 0.20}, INTERPOLATOR_2D);
  private static final BlackFlatSwaptionParameters BLACK_SWAPTION = new BlackFlatSwaptionParameters(BLACK_SURFACE, EUR1YEURIBOR6M);

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullBlack() {
    new BlackFlatSwaptionParameters(null, EUR1YEURIBOR6M);
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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    new BlackFlatSwaptionParameters(null, EUR1YEURIBOR6M);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullGenerator() {
    new BlackFlatSwaptionParameters(BLACK_SURFACE, null);
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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  /**
   * Tests the object equal and hash code methods.
   */
  public void equalHash() {
    assertTrue("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(BLACK_SWAPTION));
    final BlackFlatSwaptionParameters other = new BlackFlatSwaptionParameters(BLACK_SURFACE, EUR1YEURIBOR6M);
    assertTrue("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(other));
    assertEquals("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.hashCode(), other.hashCode());
    BlackFlatSwaptionParameters modified = new BlackFlatSwaptionParameters(BLACK_SURFACE, GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR3M", CALENDAR));
    assertFalse("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(modified));
    InterpolatedDoublesSurface surface2 = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0}, new double[] {2, 2, 2, 10, 10, 10}, new double[] {0.35, 0.34, 0.25, 0.31, 0.25,
        0.20}, INTERPOLATOR_2D);
    modified = new BlackFlatSwaptionParameters(surface2, EUR1YEURIBOR6M);
    assertFalse("Black Swaption Surface: equal and hash code", BLACK_SWAPTION.equals(modified));
  }
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Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
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