Package com.opengamma.analytics.financial.interestrate

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

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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 SwapFixedInflationZeroCouponDefinition) {
          final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
          final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
          ird = new Swap<>(ird1, ird2);
        }
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
      final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
      final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
      ird = new Swap<>(ird1, ird2);
    }
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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, unit));
        } else {
          if (instrument instanceof SwapFixedIborDefinition) {
            ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument, final int unit, final boolean withToday) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedONDefinition) {
      ird = ((SwapFixedONDefinition) instrument).toDerivative(NOW, getTSSwapFixedON(withToday, unit));
    } else {
      if (instrument instanceof SwapFixedIborDefinition) {
        ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
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  @Test
  /**
   * Tests that the present value given by the method for a generic ForexDerivatrive is the same as for a specific ForexOptionSingleBarrier.
   */
  public void methodForexBarrier() {
    final InstrumentDerivative fx = OPTION_BARRIER;
    final YieldCurveBundle curves = SMILE_BUNDLE;
    final MultipleCurrencyAmount priceGeneric = METHOD_BARRIER.presentValue(fx, curves);
    final MultipleCurrencyAmount priceSpecific = METHOD_BARRIER.presentValue(OPTION_BARRIER, SMILE_BUNDLE);
    assertEquals("Barrier price: generic vs specific", priceSpecific, priceGeneric);
  }
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  @Test
  /**
   * Tests that the currency exposure given by the method for a generic ForexDerivatrive is the same as for a specific ForexOptionSingleBarrier.
   */
  public void currencyExposureDerivative() {
    final InstrumentDerivative fx = OPTION_BARRIER;
    final YieldCurveBundle curves = SMILE_BUNDLE;
    final MultipleCurrencyAmount ceGeneric = METHOD_BARRIER.currencyExposure(fx, curves);
    final MultipleCurrencyAmount ceSpecific = METHOD_BARRIER.currencyExposure(OPTION_BARRIER, SMILE_BUNDLE);
    assertEquals("Barrier price: generic vs specific", ceSpecific, ceGeneric);
  }
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    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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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 SwapFixedInflationZeroCouponDefinition) {
          final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
          final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
          ird = new Swap<>(ird1, ird2);
        }
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    }
    return instruments;
  }

  private static InstrumentDerivative convert(final InstrumentDefinition<?> instrument) {
    InstrumentDerivative ird;
    if (instrument instanceof SwapFixedInflationZeroCouponDefinition) {
      final Annuity<? extends Payment> ird1 = ((SwapFixedInflationZeroCouponDefinition) instrument).getFirstLeg().toDerivative(NOW);
      final Annuity<? extends Payment> ird2 = ((SwapFixedInflationZeroCouponDefinition) instrument).getSecondLeg().toDerivative(NOW, TS_PRICE_INDEX_USD_WITH_TODAY);
      ird = new Swap<>(ird1, ird2);
    }
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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, unit));
        } else {
          if (instrument instanceof SwapFixedIborDefinition) {
            ird = ((SwapFixedIborDefinition) instrument).toDerivative(NOW, getTSSwapFixedIbor(withToday, unit));
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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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