Package com.opengamma.analytics.financial.interestrate

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

92
93
94
95
96
97
98
99
100
101
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
View Full Code Here
111
112
113
114
115
116
117
118
119
120
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
View Full Code Here
143
144
145
146
147
148
149
150
151
152
153
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final ZonedDateTime expiry = definition.getUnderlyingOption().getExpirationDate();
    Validate.isTrue(!date.isAfter(expiry), "Attempted to compute theta on expiry ir future option. date = " + date + ", expiry = " + expiry);
    final ZonedDateTime horizon = date.plusDays(daysForward);
    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);
View Full Code Here
88
89
90
91
92
93
94
95
96
97
98
   */
  public void thetaIRFOReferencePrice() {
    final MultipleCurrencyAmount theta1_0 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ZERO, ONE_DAY_FWD);
    final MultipleCurrencyAmount theta1_1 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ONE, ONE_DAY_FWD);

    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final InterestRateFutureOptionMarginTransaction derivative = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, PRICE_ONE, CURVE_NAMES);
    final double pvToday = derivative.accept(pvCalculator, BLACK_BUNDLE);

    assertEquals("InterestRateFutureOption Theta - sensitive to reference rate: ", 0.0, (theta1_0.getAmount(CUR) - theta1_1.getAmount(CUR)) / pvToday, 1e-15);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueBlackCalculator

  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator
  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculatorIRFutureOptionTest
  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity
  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction
  • com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity
  • com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle
    • 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.