Package com.opengamma.analytics.financial.equity.option

Examples of com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod

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    //FIXME use the type system
    if (derivative instanceof EquityIndexOption) {
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
    }
    final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
    return Collections.singleton(new ComputedValue(resultSpec, model.spotIndexValue(market)));
  }
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      settle = ((EquityIndexOption) derivative).getTimeToSettlement();
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityIndexOption) derivative, market);
    } else {
      settle = ((EquityOption) derivative).getTimeToSettlement();
      final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
      rhoSettle = -1 * settle * model.presentValue((EquityOption) derivative, market);
    }
    //  We use PresentValueNodeSensitivityCalculator to distribute this risk across the curve
    final NodeYieldSensitivityCalculator distributor = PresentValueNodeSensitivityCalculator.getDefaultInstance();
    // What's left is to package up the inputs to the distributor, a YieldCurveBundle and a Map of Sensitivities
    final Map<String, List<DoublesPair>> curveSensMap = new HashMap<>();
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    //FIXME use the type system
    if (derivative instanceof EquityIndexOption) {
      final EquityIndexOptionBlackMethod model = EquityIndexOptionBlackMethod.getInstance();
      return Collections.singleton(new ComputedValue(resultSpec, model.forwardIndexValue((EquityIndexOption) derivative, market)));
    }
    final EquityOptionBlackMethod model = EquityOptionBlackMethod.getInstance();
    return Collections.singleton(new ComputedValue(resultSpec, model.forwardIndexValue((EquityOption) derivative, market)));
  }
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Related Classes of com.opengamma.analytics.financial.equity.option.EquityOptionBlackMethod

  • com.opengamma.financial.analytics.model.equity.option.EquityOptionBlackFundingCurveSensitivitiesFunction
  • com.opengamma.financial.analytics.model.equity.option.EquityOptionForwardValueFunction
  • com.opengamma.financial.analytics.model.equity.option.EquityOptionSpotIndexFunction
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