Package com.opengamma.analytics.financial.interestrate

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

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  @Test
  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final PresentValueSABRSensitivityDataBundle pvcsMethod = METHOD_CMS_SPREAD.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final PresentValueSABRSensitivityDataBundle pvcsCalculator = CMS_CAP_SPREAD.accept(calculator, sabrBundleCor);
    assertEquals("CMS spread: SABR sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);
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  /**
   * Tests the present value SABR parameters sensitivity: Method vs Calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivityDataBundle pvssMethod = METHOD.presentValueSABRSensitivity(CAP_LONG, SABR_BUNDLE);
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final PresentValueSABRSensitivityDataBundle pvssCalculator = CAP_LONG.accept(calculator, SABR_BUNDLE);
    assertEquals("Cap/floor SABR: Present value SABR sensitivity: method vs calculator", pvssMethod, pvssCalculator);
  }
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  @Test
  /**
   * Tests that the method return the same result as the calculator.
   */
  public void presentValueSABRSensitivityMethodVsCalculator() {
    final PresentValueSABRSensitivitySABRCalculator calculator = PresentValueSABRSensitivitySABRCalculator.getInstance();
    final PresentValueSABRSensitivityDataBundle sensiCalculator = TRANSACTION.accept(calculator, SABR_BUNDLE);
    final PresentValueSABRSensitivityDataBundle sensiMethod = METHOD.presentValueSABRSensitivity(TRANSACTION, SABR_BUNDLE);
    assertEquals("Future option curve sensitivity: method comparison with present value calculator", sensiCalculator, sensiMethod);
    final InterestRateFutureOptionMarginSecuritySABRMethod methodSecurity = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
    PresentValueSABRSensitivityDataBundle sensiSecurity = methodSecurity.priceSABRSensitivity(OPTION_EDU2, SABR_BUNDLE);
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator

  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters
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