Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded

85
86
87
88
89
90
91
92
93
94
95
96
97
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification,
View Full Code Here
142
143
144
145
146
147
148
149
150
151
152
153
154
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
View Full Code Here
193
194
195
196
197
198
199
200
201
202
203
204
205
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
View Full Code Here
249
250
251
252
253
254
255
256
257
258
259
260
261
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final MulticurveProviderInterface multicurves = blackMulticurves.getMulticurveProvider();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, multicurves);
View Full Code Here
94
95
96
97
98
99
100
101
102
103
104
105
106
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
View Full Code Here
159
160
161
162
163
164
165
166
167
168
169
170
171
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar, curveBlack);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, curveBlack, calendar);
View Full Code Here
208
209
210
211
212
213
214
215
216
217
218
219
220
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      dayCountModification = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, calendar,
        curveBlack);
View Full Code Here
252
253
254
255
256
257
258
259
260
261
262
263
264
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
View Full Code Here
297
298
299
300
301
302
303
304
305
306
307
308
309
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
View Full Code Here
336
337
338
339
340
341
342
343
344
345
346
347
348
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
      final GeneratorSwapFixedCompoundedONCompounded fixedCompoundedON = (GeneratorSwapFixedCompoundedONCompounded) generatorSwap;
      calendar = fixedCompoundedON.getOvernightCalendar();
      fixedLegDayCount = fixedCompoundedON.getFixedLegDayCount();
    } else {
      throw new IllegalArgumentException("Cannot handle swap with underlying generator of type " + generatorSwap.getClass());
    }
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), fixedLegDayCount,
        calendar, curveBlack);
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedCompoundedONCompounded

  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.model.swaption.SwaptionUtils
  • org.threeten.bp.ZonedDateTime
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.