Package com.opengamma.analytics.financial.interestrate

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

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    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);
    // Extrapolation
    final PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculatorExtra = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(CUT_OFF_STRIKE, MU);
    final PresentValueSABRSensitivityDataBundle pvcsMethodExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValueSABRSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final PresentValueSABRSensitivityDataBundle pvcsCalculatorExtra = CMS_CAP_SPREAD.accept(calculatorExtra, sabrBundleCor);
    assertEquals("CMS spread: SABR 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 PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    final PresentValueSABRSensitivityDataBundle result = derivative.accept(calculator, data);
    return getResultAsMatrix(SABRSensitivityNodeCalculator.calculateNodeSensitivities(result, data.getSABRParameter()));
  }
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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 PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    final PresentValueSABRSensitivityDataBundle result = derivative.accept(calculator, data);
    return getResultAsMatrix(SABRSensitivityNodeCalculator.calculateNodeSensitivities(result, data.getSABRParameter()));
  }
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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 PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    return getResultAsMatrix(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 PresentValueSABRSensitivitySABRRightExtrapolationCalculator calculator = new PresentValueSABRSensitivitySABRRightExtrapolationCalculator(cutoff, mu);
    return getResultAsMatrix(derivative.accept(calculator, data));
  }
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  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethodTest
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  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateCorrelationParameters
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