Package com.opengamma.analytics.financial.equity

Examples of com.opengamma.analytics.financial.equity.StaticReplicationDataBundle

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        additiveShift = false;
      }
      volSurfScen = market.getVolatilitySurface().withShift(shiftVol, additiveShift);
    }
   
    final StaticReplicationDataBundle marketScen = new StaticReplicationDataBundle(volSurfScen, market.getDiscountCurve(), fwdCurveScen);
   
    // Compute present value under scenario
    final double pvScen = derivative.accept(s_pvCalculator, marketScen);
   
    // Return with spec
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    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);

    // 3. Create result properties
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties resultProperties = desiredValue.getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
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      final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final YieldCurve discountingCurve = getDiscountingCurve(inputs);
    final ForwardCurve forwardCurve = getForwardCurve(inputs);
    final BlackVolatilitySurface<?> blackVolSurf = getVolatilitySurface(executionContext, inputs, target);
    return new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
  }
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      final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {

    final YieldCurve discountingCurve = getDiscountingCurve(inputs);
    final ForwardCurve forwardCurve = getForwardCurve(inputs);
    final BlackVolatilitySurface<?> blackVolSurf = getVolatilitySurface(executionContext, inputs, target);
    return new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
  }
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        additiveShift = false;
      }
      volSurfScen = market.getVolatilitySurface().withShift(shiftVol, additiveShift);
    }
   
    final StaticReplicationDataBundle marketScen = new StaticReplicationDataBundle(volSurfScen, market.getDiscountCurve(), fwdCurveScen);
   
    // Compute present value under scenario
    final double pvScen = derivative.accept(s_pvCalculator, marketScen);
   
    // present value under current market
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        additiveShift = false;
      }
      volSurfScen = market.getVolatilitySurface().withShift(shiftVol, additiveShift);
    }
   
    final StaticReplicationDataBundle marketScen = new StaticReplicationDataBundle(volSurfScen, market.getDiscountCurve(), fwdCurveScen);
   
    // Compute present value under scenario
    final double pvScen = derivative.accept(s_pvCalculator, marketScen);
   
    // Return with spec
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          bumpedVols[k] = vols[t][k] - SHIFT;
          final Function1D<Double, Double> thisExpirysSmile = strikeInterpolator.getVolatilityFunction(forwards[t], strikes[t], expiries[t], bumpedVols);
          final Function1D<Double, Double>[] scenarioSmileFits = Arrays.copyOf(smileFitsBase, smileFitsBase.length);
          scenarioSmileFits[t] = thisExpirysSmile;
          final BlackVolatilitySurfaceMoneynessFcnBackedByGrid shiftedSurface = surfaceInterpolator.combineIndependentSmileFits(scenarioSmileFits, volGrid);
          final StaticReplicationDataBundle shiftedMarket = market.withShiftedSurface(shiftedSurface);
          // Sensitivities
          for (int v = 0; v < nVanillas; v++) {
            final Double shiftedPV = vanillas[v].accept(PVC, shiftedMarket);
            Validate.notNull(shiftedPV, "Null PV in shifted scenario, T = " + expiries[t] + ", k = " + strikes[t][k]);
            final Double vega = (shiftedPV - basePrices[v]) / -SHIFT;
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        additiveShift = false;
      }
      volSurfScen = market.getVolatilitySurface().withShift(shiftVol, additiveShift);
    }
   
    final StaticReplicationDataBundle marketScen = new StaticReplicationDataBundle(volSurfScen, market.getDiscountCurve(), fwdCurveScen);
   
    // Compute present value under scenario
    final double pvScen = derivative.accept(s_pvCalculator, marketScen);
   
    // Return with spec
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    final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate());
    final double discountFactor = discountCurve.getDiscountFactor(expiry);
    ArgumentChecker.isTrue(Double.doubleToLongBits(discountFactor) != 0, "The discount curve has returned a zero value for a discount bond. Check rates.");
    final ForwardCurve forwardCurve = new ForwardCurve(spot, discountCurve.getCurve()); //TODO change this

    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountCurve, forwardCurve);
    final ValueSpecification resultSpec = getValueSpecification(target, curveName, curveCalculationConfig, surfaceName);
    // 3. Compute and return the value (ComputedValue)
    return computeValues(resultSpec, inputs, deriv, market);
  }
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    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);

    // 3. Create result properties
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties resultProperties = desiredValue.getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
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