Examples of BlackSmileCapInflationYearOnYearProvider

com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider
Implementation of a provider of Black smile for year on year inflation options. The volatility is time to expiration/strike/delay dependent. The "delay" is the time between expiration of the option and last trading date of the underlying.

Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

   * Sets the year on year cap/floor curve bundle using the Hull-White parameters and a given set of curves.
   * @param inflation The multi-curves provider.
   */
  @Override
  public void setInflation(final InflationProviderInterface inflation) {
    _inflationCapYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(inflation, new BlackSmileCapInflationYearOnYearParameters(_inflationCapYearOnYearParameters));
  }

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

    // setting the volatility in the volatility matrix
    _inflationCapYearOnYearParameters.setVolatility(x, _expiryIndex, _strikeIndex);
    // creating the new volatility surface using the new volatility matrix
    final Interpolator2D interpolator = _inflationCapYearOnYearProvider.getBlackParameters().getVolatilitySurface().getInterpolator();
    final BlackSmileCapInflationYearOnYearParameters blackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(_inflationCapYearOnYearParameters, interpolator);
    final BlackSmileCapInflationYearOnYearProvider blackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(_inflationCapYearOnYearProvider.getInflationProvider(),
        blackSmileCapInflationYearOnYearParameters);


    return _inflationCapYearOnYearProvider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVIC, blackSmileCapInflationYearOnYearProvider), _ccyInflationcapYearOnYear).getAmount()
        - getPrice();
  }

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
          final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
          final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
              objective.getInflationCapYearOnYearParameters(), interpolator);
          final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
              .getInflationCapYearOnYearProvider().getInflationProvider(),
              CalibratedBlackSmileCapInflationYearOnYearParameters);
          pvCapYearOnYear[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider);
          assertEquals("Inflaiton year on year calibration: cap/floor " + loop1, pvCapYearOnYear[loop1][loop2][loop3].getAmount(CUR), marketPrices[loop1][loop2][loop3], 1E-2);
        }

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {


        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
        for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
          pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {


        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
        for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
          pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
          final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
          final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
              objective.getInflationCapYearOnYearParameters(), interpolator);
          final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
              .getInflationCapYearOnYearProvider().getInflationProvider(),
              CalibratedBlackSmileCapInflationYearOnYearParameters);
          pvCapYearOnYear[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider);
          assertEquals("Inflaiton year on year calibration: cap/floor " + loop1, pvCapYearOnYear[loop1][loop2][loop3].getAmount(CUR), marketPrices[loop1][loop2][loop3], 1E-2);
        }

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {


        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
        for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
          pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]

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Examples of com.opengamma.analytics.financial.provider.description.inflation.BlackSmileCapInflationYearOnYearProvider

      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {


        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
        for (int loop3 = 1; loop3 < CAPS_AVAILABLE[loop1][loop2].getNumberOfPayments(); loop3++) {
          pvCapYearOnYear[loop1][loop2] = pvCapYearOnYear[loop1][loop2]

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