Examples of BlackSTIRFuturesSmileProviderInterface

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

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 BlackSTIRFuturesSmileProviderInterface 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 = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double positionDelta = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(POSITION_DELTA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, positionDelta));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final SurfaceValue sensitivities = derivative.accept(CALCULATOR, blackData);
        final double vega = sensitivities.toSingleValue();
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double positionVega = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(POSITION_VEGA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, positionVega));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double delta = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(DELTA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, delta));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

53
54
55
56
57
58
59
60
61
62
63
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double forward = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(FORWARD, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, forward));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

59
60
61
62
63
64
65
66
67
68
69
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, blackData);
        final Set<ComputedValue> results = new HashSet<>();
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface 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.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double positionGamma = derivative.accept(CALCULATOR, blackData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(POSITION_GAMMA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, positionGamma));
View Full Code Here

Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSTIRFuturesSmileProviderInterface

51
52
53
54
55
56
57
58
59
60
61
      @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 BlackSTIRFuturesSmileProviderInterface 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.