Package com.opengamma.analytics.financial.interestrate

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

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   * Test the present value using the method with the direct formula with extrapolation.
   */
  public void presentValueMethodVsCalculator() {
    final SABRInterestRateDataBundle sabrExtraBundle = new SABRInterestRateDataBundle(SABR_PARAMETERS, CURVES);
    final CurrencyAmount pvMethod = METHOD.presentValue(CAP_LONG, SABR_BUNDLE);
    final PresentValueSABRExtrapolationCalculator pvc = new PresentValueSABRExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final double pvCalculator = CAP_LONG.accept(pvc, sabrExtraBundle);
    assertEquals("Cap/floor: SABR with extrapolation pricing - Method vs Calculator", pvMethod.getAmount(), pvCalculator, 1E-2);
  }
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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 PresentValueSABRExtrapolationCalculator calculator = new PresentValueSABRExtrapolationCalculator(cutoff, mu);
    return derivative.accept(calculator, data);
  }
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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 PresentValueCalculator calculator = new PresentValueSABRExtrapolationCalculator(cutoff, mu);
    return derivative.accept(calculator, data);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueSABRExtrapolationCalculator

  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRExtrapolationRightReplicationMethod
  • 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.SABRCMSSpreadRightExtrapolationPresentValueFunction
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