Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

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    ArgumentChecker.notNull(data, "data");
    final List<ZonedDateTime> payDates = instrument.accept(PAY_DATES, date);
    final List<ZonedDateTime> receiveDates = instrument.accept(RECEIVE_DATES, date);
    final List<MultipleCurrencyAmount> payCashFlows = new ArrayList<>();
    final List<MultipleCurrencyAmount> receiveCashFlows = new ArrayList<>();
    final InstrumentDerivative derivative = instrument.toDerivative(date, yieldCurveNames);
    if (payDates != null) {
      payCashFlows.addAll(derivative.accept(ProjectedPayCashFlowVisitor.getInstance(), data));
      if (payCashFlows.size() != payDates.size()) {
        throw new IllegalStateException("Did not have same number of payments as dates");
      }
    }
    if (receiveDates != null) {
      receiveCashFlows.addAll(derivative.accept(ProjectedReceiveCashFlowVisitor.getInstance(), data));
      if (receiveCashFlows.size() != receiveDates.size()) {
        throw new IllegalStateException("Did not have same number of receive payments as dates");
      }
    }
    return add(payCashFlows, payDates, receiveCashFlows, receiveDates);
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    ArgumentChecker.notNull(data, "data");
    final List<ZonedDateTime> payDates = instrument.accept(PAY_DATES, date);
    final List<ZonedDateTime> receiveDates = instrument.accept(RECEIVE_DATES, date);
    final List<MultipleCurrencyAmount> payCashFlows = new ArrayList<>();
    final List<MultipleCurrencyAmount> receiveCashFlows = new ArrayList<>();
    final InstrumentDerivative derivative = instrument.toDerivative(date);
    if (payDates != null) {
      payCashFlows.addAll(derivative.accept(ProjectedPayCashFlowVisitor.getInstance(), data));
      if (payCashFlows.size() != payDates.size()) {
        throw new IllegalStateException("Did not have same number of payments as dates");
      }
    }
    if (receiveDates != null) {
      receiveCashFlows.addAll(derivative.accept(ProjectedReceiveCashFlowVisitor.getInstance(), data));
      if (receiveCashFlows.size() != receiveDates.size()) {
        throw new IllegalStateException("Did not have same number of receive payments as dates");
      }
    }
    return add(payCashFlows, payDates, receiveCashFlows, receiveDates);
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  }

  public MultipleCurrencyAmount getTheta(final ForexOptionVanillaDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(data);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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  }

  public MultipleCurrencyAmount getTheta(final ForexOptionVanillaDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    _calibrationObjective.setMulticurves(data.getMulticurveProvider());
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
      rootFinder.getRoot(_calibrationObjective, range[0], range[1]);
      if (loopins < nbInstruments - 1) {
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    final int nbInstruments = getBasket().size();
    final SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective objective = (SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective;
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(_calibrationObjective.getFunctionValueAccuracy(), _calibrationObjective.getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      _calibrationObjective.setInstrument(instrument);
      _calibrationObjective.setPrice(getCalibrationPrices().get(loopins));
      objective.setExpiryIndex(_instrumentExpiryIndex.get(loopins + 1));
      objective.setStrikeIndex(_instrumentStrikeIndex.get(loopins + 1));
      final double[] range = bracketer.getBracketedPoints(_calibrationObjective, _calibrationObjective.getMinimumParameter(), _calibrationObjective.getMaximumParameter());
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  }

  public MultipleCurrencyAmount getTheta(final SwapDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames, final YieldCurveBundle data,
      final ZonedDateTimeDoubleTimeSeries[] fixingSeries, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, fixingSeries, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final ZonedDateTimeDoubleTimeSeries[] shiftedFixingSeries = getDateShiftedTimeSeries(fixingSeries, horizonDate);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, shiftedFixingSeries, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swap");
    }
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final Currency currency = paymentToday.getCurrencyAmounts()[0].getCurrency(); //TODO assuming that currencies are all the same
    final PresentValueCalculator pvCalculator = PresentValueCalculator.getInstance();
    final double result = instrumentTomorrow.accept(pvCalculator, tomorrowData) - instrumentToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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  }

  public MultipleCurrencyAmount getTheta(final InterestRateFutureTransactionDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames, final YieldCurveBundle data,
      final Double lastMarginPrice, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, lastMarginPrice, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future");
    }
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final Currency currency = paymentToday.getCurrencyAmounts()[0].getCurrency(); //TODO assuming that currencies are all the same
    final PresentValueCalculator pvCalculator = PresentValueCalculator.getInstance();
    final double result = instrumentTomorrow.accept(pvCalculator, tomorrowData) - instrumentToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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    final double shiftTime = TimeCalculator.getTimeBetween(date, horizon);
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();

    // Compute today's pv
    final Currency currency = definition.getUnderlyingOption().getUnderlyingFuture().getCurrency();
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final double valueToday = instrumentToday.accept(pvCalculator, data);

    // Compute cash flows between today and horizon
    // TODO Confirm choice that no payment is made on expiry
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future option");
    }

    // Compute value at horizon
    final double valueHorizon;
    if (horizon.isBefore(definition.getUnderlyingOption().getExpirationDate())) {
      final InstrumentDerivative instrumentHorizon = definition.toDerivative(horizon, lastMarginPrice, yieldCurveNames);
      final YieldCurveWithBlackCubeBundle tomorrowData = IR_FUTURE_OPTION_ROLLDOWN.rollDown(data, shiftTime);
      valueHorizon = instrumentHorizon.accept(pvCalculator, tomorrowData);
    } else {
      valueHorizon = 0.0;
    }

    final double result = valueHorizon + paymentToday.getAmount(currency) - valueToday;
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  }

  public MultipleCurrencyAmount getTheta(final ForexDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames, final YieldCurveBundle data,
      final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueMCACalculator pvCalculator = PresentValueMCACalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.InstrumentDerivative

  • com.opengamma.analytics.financial.curve.interestrate.building.MultipleYieldCurveFinderGeneratorJacobian
  • com.opengamma.analytics.financial.forex.definition.ForexOptionDigitalDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexOptionVanillaDefinitionTest
  • com.opengamma.analytics.financial.forex.definition.ForexSwapDefinitionTest
  • com.opengamma.analytics.financial.forex.method.ForexDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexNonDeliverableForwardDiscountingMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
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