Examples of BlackSwaptionFlatProvider

com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider
Class containing curve and volatility data sufficient to price swaptions using the Black method. The forward rates are computed using discount factors.

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

   */
  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),
        volatilitySensitivity, TOLERANCE_DELTA);

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

    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.provider.description.interestrate.BlackSwaptionFlatProvider

      @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 Set<ComputedValue> result = new HashSet<>();
        final BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, blackData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));

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


      @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 BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(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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Examples of com.opengamma.analytics.financial.provider.description.interestrate.BlackSwaptionFlatProvider

      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
          SwaptionUtils.getSwapGenerator(security, definition, securitySource));
      final BlackSwaptionFlatProvider blackData = new BlackSwaptionFlatProvider(data, parameters);
      return blackData;
    }

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


      @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 BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueBlackSwaptionSensitivity sensitivities = derivative.accept(CALCULATOR, blackData);
        final HashMap<DoublesPair, Double> result = sensitivities.getSensitivity().getMap();
        if (result.size() != 1) {
          throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
        }

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


      @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 BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final double impliedVol = 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, impliedVol));

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


      @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 BlackSwaptionFlatProvider 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.BlackSwaptionFlatProvider


      @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 BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(IMPLIED_VOLATILITY, target.toSpecification(), properties);
        final Double impliedVolatility = blackData.getBlackParameters().getVolatility(0, 0);
        return Collections.singleton(new ComputedValue(spec, impliedVolatility));
      }


    };
  }

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


      @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 BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueBlackSwaptionSensitivity sensitivities = derivative.accept(CALCULATOR, blackData);
        final double vega = sensitivities.getSensitivity().toSingleValue();
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);

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