Package com.opengamma.analytics.financial.interestrate

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

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    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final InterestRateCurveSensitivity pvcsMethod = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(CMS_CAP_SPREAD.accept(calculator, sabrBundleCor));
    assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);
    // Extrapolation
    final PresentValueCurveSensitivitySABRExtrapolationCalculator calculatorExtra = new PresentValueCurveSensitivitySABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final InterestRateCurveSensitivity pvcsMethodExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final InterestRateCurveSensitivity pvcsCalculatorExtra = new InterestRateCurveSensitivity(CMS_CAP_SPREAD.accept(calculatorExtra, sabrBundleCor));
    assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethodExtra, pvcsCalculatorExtra);
  }
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  @Override
  protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    final PresentValueCurveSensitivitySABRExtrapolationCalculator calculator = new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu);
    return derivative.accept(calculator, data);
  }
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  @Override
  protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    return PresentValueNodeSensitivityCalculator.using(new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu));
  }
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  @Override
  protected Object getResult(final InstrumentDerivative derivative, final SABRInterestRateDataBundle data, final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    final PresentValueCurveSensitivitySABRExtrapolationCalculator calculator = new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu);
    return derivative.accept(calculator, data);
  }
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  @Override
  protected PresentValueNodeSensitivityCalculator getNodeSensitivityCalculator(final ValueRequirement desiredValue) {
    final Double cutoff = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_CUTOFF_STRIKE));
    final Double mu = Double.parseDouble(desiredValue.getConstraint(SABRRightExtrapolationFunction.PROPERTY_TAIL_THICKNESS_PARAMETER));
    return PresentValueNodeSensitivityCalculator.using(new PresentValueCurveSensitivitySABRExtrapolationCalculator(cutoff, mu));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRExtrapolationCalculator

  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethodTest
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  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle
  • com.opengamma.financial.analytics.model.sabrcube.SABRCMSSpreadRightExtrapolationPVCurveSensitivityFunction
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