Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition

  public void persentValueSABRExtrapolationParity() {
    final MultipleCurrencyAmount priceCapLong = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceCapShort = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_SHORT, SABR_MULTICURVES);
    assertEquals("Cap/floor IA - SABR pricing: long-short parity", priceCapLong.getAmount(EUR), -priceCapShort.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount priceIbor = METHOD_SABREXTRA_COUPON_IA.presentValue(COUPON_IBOR, SABR_MULTICURVES);
    final CapFloorIborDefinition cap0Definition = new CapFloorIborDefinition(EUR, END_ACCRUAL_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, EURIBOR6M, 0.0, IS_CAP, CALENDAR);
    final CapFloorIbor cap0 = (CapFloorIbor) cap0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceCap0 = METHOD_SABREXTRA_CAP_IA.presentValue(cap0, SABR_MULTICURVES);
    assertEquals("Coupon IA - SABR pricing: coupon = cap with strike 0", priceCap0.getAmount(EUR), priceIbor.getAmount(EUR), TOLERANCE_PV);
    final MultipleCurrencyAmount priceFloorShort = METHOD_SABREXTRA_CAP_IA.presentValue(FLOOR_SHORT, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceStrike = COUPON_STRIKE.accept(PVDC, MULTICURVES);
    assertEquals("Cap/floor IA - SABR pricing: cap/floor parity", priceIbor.getAmount(EUR) - priceStrike.getAmount(EUR), priceCapLong.getAmount(EUR) + priceFloorShort.getAmount(EUR), 5.0E+4);

  public void persentValueSABRExtrapolationParity() {
    final CurrencyAmount priceCapLong = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_LONG, SABR_BUNDLE);
    final CurrencyAmount priceCapShort = METHOD_SABREXTRA_CAP_IA.presentValue(CAP_SHORT, SABR_BUNDLE);
    assertEquals("Cap/floor - SABR pricing: long-short parity", priceCapLong.getAmount(), -priceCapShort.getAmount(), 1E-2);
    final CurrencyAmount priceIbor = METHOD_SABREXTRA_COUPON_IA.presentValue(COUPON_IBOR, SABR_BUNDLE);
    final CapFloorIborDefinition cap0Definition = new CapFloorIborDefinition(CUR, END_ACCRUAL_DATE, START_ACCRUAL_DATE, END_ACCRUAL_DATE, ACCRUAL_FACTOR, NOTIONAL, FIXING_DATE, INDEX, 0.0, IS_CAP, CALENDAR);
    final CapFloorIbor cap0 = (CapFloorIbor) cap0Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount priceCap0 = METHOD_SABREXTRA_CAP_IA.presentValue(cap0, SABR_BUNDLE);
    assertEquals("Coupon IA - SABR pricing: coupon = cap with strike 0", priceCap0.getAmount(), priceIbor.getAmount(), 1E-2);
    final CurrencyAmount priceFloorShort = METHOD_SABREXTRA_CAP_IA.presentValue(FLOOR_SHORT, SABR_BUNDLE);
    final double priceStrike = COUPON_STRIKE.accept(PVC, CURVES);
    assertEquals("Cap/floor IA - SABR pricing: cap/floor parity", priceIbor.getAmount() - priceStrike, priceCapLong.getAmount() + priceFloorShort.getAmount(), 2.0E+4);

Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition

Related Classes of com.opengamma.analytics.financial.instrument.payment.CapFloorIborDefinition