Package com.opengamma.analytics.financial.interestrate

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

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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");
    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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  }

  public MultipleCurrencyAmount getTheta(final ForexOptionDigitalDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames, final SmileDeltaTermStructureDataBundle data,
      final PresentValueMCACalculator pvCalculator, 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 SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }
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    getCalibrationObjective().setCurves(curves);
    final int nbInstruments = getBasket().size();
    final RidderSingleRootFinder rootFinder = new RidderSingleRootFinder(getCalibrationObjective().getFunctionValueAccuracy(), getCalibrationObjective().getVariableAbsoluteAccuracy());
    final BracketRoot bracketer = new BracketRoot();
    for (int loopins = 0; loopins < nbInstruments; loopins++) {
      final InstrumentDerivative instrument = getBasket().get(loopins);
      getCalibrationObjective().setInstrument(instrument);
      getCalibrationObjective().setPrice(getCalibrationPrice().get(loopins));
      final double[] range = bracketer.getBracketedPoints(getCalibrationObjective(), getCalibrationObjective().getMinimumParameter(), getCalibrationObjective().getMaximumParameter());
      rootFinder.getRoot(getCalibrationObjective(), range[0], range[1]);
      if (loopins < nbInstruments - 1) {
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    provider.setAll(newCurves);
    Set<String> curvesSet = _data.getGeneratorMarket().getCurvesList();
    final int nbParameters = _data.getNumberOfInstruments();
    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
      InstrumentDerivative deriv = _data.getInstrument(loopinstrument);
      res[loopinstrument] = _parameterSensitivityCalculator.calculateSensitivity(deriv, provider, curvesSet).getData();
    }
    return new DoubleMatrix2D(res);
  }
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    bundle.setAll(newCurves);
    Set<String> curvesSet = _data.getGeneratorMarket().getInflationCurvesList();
    final int nbParameters = _data.getNumberOfInstruments();
    final double[][] res = new double[nbParameters][nbParameters];
    for (int loopinstrument = 0; loopinstrument < _data.getNumberOfInstruments(); loopinstrument++) {
      InstrumentDerivative deriv = _data.getInstrument(loopinstrument);
      res[loopinstrument] = _parameterSensitivityCalculator.calculateSensitivity(deriv, bundle, curvesSet).getData();
    }
    return new DoubleMatrix2D(res);
  }
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   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
    assertEquals("Swaption Black method: present value", pvSwap.getAmount(EUR), pvLR.getAmount(EUR) + pvSP.getAmount(EUR), TOLERANCE_PV);
  }
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      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
      ccy1 = callCurrency;
      ccy2 = putCurrency;
      spot = 1. / (Double) spotObject;
    }
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final ValueRequirement fxVolatilitySurfaceRequirement = getSurfaceRequirement(surfaceName, putCurrency, callCurrency, interpolatorName, leftExtrapolatorName, rightExtrapolatorName);
    final Object volatilitySurfaceObject = inputs.getValue(fxVolatilitySurfaceRequirement);
    if (volatilitySurfaceObject == null) {
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    } else {
      allCurveNames = new String[] {fullCallCurveName, fullPutCurveName };
    }
    final InstrumentDefinition<?> definition = security.accept(new ForexSecurityConverter(baseQuotePairs));
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final InstrumentDerivative fxOption = definition.toDerivative(now, allCurveNames);

    // Get market data
    final ForexOptionDataBundle<?> marketData = FXOptionFunctionUtils.buildMarketBundle(now, inputs, target, desiredValues);
    // Create the result specification
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
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    final InstrumentDerivative[][] instruments = new InstrumentDerivative[definitions.length][];
    for (int loopcurve = 0; loopcurve < definitions.length; loopcurve++) {
      instruments[loopcurve] = new InstrumentDerivative[definitions[loopcurve].length];
      int loopins = 0;
      for (final InstrumentDefinition<?> instrument : definitions[loopcurve]) {
        InstrumentDerivative ird;
        if (instrument instanceof SwapFixedONDefinition) {
          ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
        } else {
          if (instrument instanceof SwapFixedIborDefinition) {
            ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday));
    } else {
      if (instrument instanceof SwapFixedIborDefinition) {
        ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday));
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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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