Examples of BlackForexSmileProvider

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

52
53
54
55
56
57
58
59
60
61
62
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double forwardDelta = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(FORWARD_DELTA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, forwardDelta));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

55
56
57
58
59
60
61
62
63
64
65
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueForexBlackVolatilityQuoteSensitivityDataBundle vegas = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VEGA_QUOTE_MATRIX, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXQuoteMatrix(vegas)));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

52
53
54
55
56
57
58
59
60
61
62
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double impliedVolatility = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(SECURITY_IMPLIED_VOLATILITY, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, impliedVolatility));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

55
56
57
58
59
60
61
62
63
64
65
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurrencyAmount valueVomma = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final String currency = Iterables.getOnlyElement(properties.getValues(CURRENCY));
        if (!currency.equals(valueVomma.getCurrency().getCode())) {
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

54
55
56
57
58
59
60
61
62
63
64
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueForexBlackVolatilityNodeSensitivityDataBundle vegas = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VEGA_MATRIX, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, VegaMatrixUtils.getVegaFXMatrix(vegas)));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

52
53
54
55
56
57
58
59
60
61
62
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double forwardVega = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(FORWARD_VEGA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, forwardVega));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

54
55
56
57
58
59
60
61
62
63
64
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(FX_PRESENT_VALUE, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, FXUtils.getMultipleCurrencyAmountAsMatrix(mca)));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

52
53
54
55
56
57
58
59
60
61
62
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double valueDelta = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_DELTA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, valueDelta));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

55
56
57
58
59
60
61
62
63
64
65
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = Currency.of(Iterables.getOnlyElement(properties.getValues(CURRENCY)));
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.forex.BlackForexSmileProvider

52
53
54
55
56
57
58
59
60
61
62
      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackForexSmileProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double gamma = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(GAMMA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, gamma));
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.