Examples of BlackSmileShiftCapProviderInterface

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

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          if (properties == null) {
            throw new OpenGammaRuntimeException("No entries in desiredValues");
          }
          properties.withoutAny(CURVE).with(CURVE, curveNames);
        }
        final BlackSmileShiftCapProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), properties.get());
        return Collections.singleton(new ComputedValue(spec, sensitivities));
      }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSmileShiftCapProviderInterface

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          iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final DoublesCurve shiftCurve = (DoublesCurve) inputs.getValue(LOGNORMAL_SURFACE_SHIFTS);
      final BlackSmileShiftCapParameters parameters = new BlackSmileShiftCapParameters(volatilitySurface.getSurface(), shiftCurve, iborIndex);
      final BlackSmileShiftCapProviderInterface blackData = new BlackSmileShiftCapProvider(data, parameters);
      return blackData;
    }
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSmileShiftCapProviderInterface

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      @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 BlackSmileShiftCapProviderInterface 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<>();
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSmileShiftCapProviderInterface

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      @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 BlackSmileShiftCapProviderInterface 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);
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