Package com.opengamma.analytics.financial.interestrate

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

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  @Test
  public void testPriceSABRSurface() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final PresentValueSABRCalculator pvcSabr = PresentValueSABRCalculator.getInstance();
    // Swaption pricing.
    final double priceLongPayer = SWAPTION_LONG_PAYER.accept(pvcSabr, sabrBundle);
    final double priceShortPayer = SWAPTION_SHORT_PAYER.accept(pvcSabr, sabrBundle);
    final double priceLongReceiver = SWAPTION_LONG_RECEIVER.accept(pvcSabr, sabrBundle);
    final double priceShortReceiver = SWAPTION_SHORT_RECEIVER.accept(pvcSabr, sabrBundle);
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  public void presentValueMethodVsCalculator() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double expectedPv = METHOD.presentValue(CAP_LONG, sabrBundle).getAmount();
    final PresentValueSABRCalculator pvc = PresentValueSABRCalculator.getInstance();
    final double pv = CAP_LONG.accept(pvc, sabrBundle);
    assertEquals("Cap/floor SABR pricing: method and calculator", expectedPv, pv, 1E-2);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator

  • 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.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.derivative.DeprecatedSwaptionCashFixedIborTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod
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