Package com.opengamma.analytics.financial.horizon

Examples of com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator

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    }
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle blackData = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    if (security.isCashSettled()) {
      final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
      final MultipleCurrencyAmount theta = calculator.getTheta(cashSettled, now, curveNames, blackData, Integer.parseInt(daysForward));
      return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
    }
    final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;
    final MultipleCurrencyAmount theta = calculator.getTheta(physicallySettled, now, curveNames, blackData, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
  }
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    }
    final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
    final YieldCurveWithBlackCubeBundle data = new YieldCurveWithBlackCubeBundle(volatilitySurface.getSurface(), curves);

    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    final MultipleCurrencyAmount theta = calculator.getTheta((InterestRateFutureOptionMarginTransactionDefinition) irFutureOptionDefinition, now, fullCurveNames, data, lastMarginPrice,
        Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), getValue(theta, currency)));
  }
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    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexDefinition definition = (ForexDefinition) security.accept(converter);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, allCurveNames, yieldCurves, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, theta));
  }
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    final int length = ts.getTimeSeries().size();
    if (length == 0) {
      throw new OpenGammaRuntimeException("Price time series for " + security.getExternalIdBundle() + " was empty between " + startDate + " and " + now.toLocalDate());
    }
    final double lastMarginPrice = ts.getTimeSeries().getLatestValue();
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    final MultipleCurrencyAmount theta = calculator.getTheta(definition, now, curveNamesForSecurity, bundle, lastMarginPrice, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency, daysForward), theta));
  }
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    }
    final ZonedDateTimeDoubleTimeSeries[] fixingSeries = new ZonedDateTimeDoubleTimeSeries[] {FixingTimeSeriesVisitor.convertTimeSeries(
        (HistoricalTimeSeries) inputs.getValue(ValueRequirementNames.HISTORICAL_TIME_SERIES)) };
    final String[] yieldCurveNames = numCurveNames == 1 ? new String[] {fullCurveNames[0], fullCurveNames[0] } : fullCurveNames;
    final String[] curveNamesForSecurity = FixedIncomeInstrumentCurveExposureHelper.getCurveNamesForSecurity(security, yieldCurveNames[0], yieldCurveNames[1]);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    if (definition instanceof SwapDefinition) {
      final MultipleCurrencyAmount theta = calculator.getTheta((SwapDefinition) definition, now, curveNamesForSecurity, bundle, fixingSeries, Integer.parseInt(daysForward));
      return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, currency.getCode(), daysForward), theta));
    }
    throw new OpenGammaRuntimeException("Can only handle fixed / float ibor and ois swaps; have " + definition.getClass());
  }
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