Package com.opengamma.analytics.financial.interestrate.future.derivative

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity

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  public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return MARGINED_IR_FUTURE_OPTION_TXN.presentValueGamma(margined, (YieldCurveWithBlackCubeBundle) curves);
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
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    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return METHOD_OPTIONFUTURESMARGIN_SABR.presentValue(margined, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a SABRInterestRateDataBundle as data.");
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  public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return MARGINNED_IR_FUTURE_OPTION.presentValue(margined, curves).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
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    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    final LocalDate date = dateTime.toLocalDate();
    ArgumentChecker.isTrue(!date.isAfter(_underlyingOption.getUnderlyingFuture().getFixingPeriodStartDate().toLocalDate()), "Date is after last margin date");
    final LocalDate tradeDateLocal = _tradeDate.toLocalDate();
    ArgumentChecker.isTrue(!date.isBefore(tradeDateLocal), "Valuation date {} is before the trade date {} ", date, tradeDateLocal);
    final InterestRateFutureOptionMarginSecurity underlyingOption = _underlyingOption.toDerivative(dateTime, yieldCurveNames);
    double referencePrice;
    if (tradeDateLocal.isBefore(dateTime.toLocalDate())) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
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    ArgumentChecker.notNull(dateTime, "date");
    final LocalDate date = dateTime.toLocalDate();
    ArgumentChecker.isTrue(!date.isAfter(_underlyingOption.getUnderlyingFuture().getFixingPeriodStartDate().toLocalDate()), "Date is after last margin date");
    final LocalDate tradeDateLocal = _tradeDate.toLocalDate();
    ArgumentChecker.isTrue(!date.isBefore(tradeDateLocal), "Valuation date {} is before the trade date {} ", date, tradeDateLocal);
    final InterestRateFutureOptionMarginSecurity underlyingOption = _underlyingOption.toDerivative(dateTime);
    double referencePrice;
    if (tradeDateLocal.isBefore(dateTime.toLocalDate())) { // Transaction was before last margining.
      referencePrice = lastMarginPrice;
    } else { // Transaction is today
      referencePrice = _tradePrice;
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  public InterestRateFutureOptionMarginSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.notNull(date, "date");
    ArgumentChecker.notNull(yieldCurveNames, "yield curve names");
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date, yieldCurveNames);
    final InterestRateFutureOptionMarginSecurity option = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    return option;
  }
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  @Override
  public InterestRateFutureOptionMarginSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.notNull(date, "date");
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date);
    final InterestRateFutureOptionMarginSecurity option = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, _strike, _isCall);
    return option;
  }
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  public SurfaceValue visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(option, "option");
    if (curves instanceof YieldCurveWithBlackCubeBundle) {
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return METHOD_OPTIONFUTURESMARGIN_BLACK.presentValueBlackSensitivity(margined, (YieldCurveWithBlackCubeBundle) curves);
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitInterestRateFutureOptionPremiumTransaction requires a YieldCurveWithBlackCubeBundle as data.");
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  @Override
  public Map<String, List<DoublesPair>> visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction transaction, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(transaction, "transaction");
    ArgumentChecker.notNull(curves, "curves");
    final InterestRateFutureOptionPremiumSecurity premiumUnderlying = transaction.getUnderlyingOption();
    final InterestRateFutureOptionMarginSecurity underlyingOption = new InterestRateFutureOptionMarginSecurity(premiumUnderlying.getUnderlyingFuture(),
        premiumUnderlying.getExpirationTime(), premiumUnderlying.getStrike(), premiumUnderlying.isCall());
    final InterestRateFutureOptionMarginTransaction marginTransaction = new InterestRateFutureOptionMarginTransaction(underlyingOption, transaction.getQuantity(), transaction.getTradePrice());
    return MARGINED_IR_FUTURE_OPTION.presentValueCurveSensitivity(marginTransaction, curves).getSensitivities();
  }
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  @Test
  public void toDerivative() {
    final double expirationTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, EXPIRATION_DATE);
    final InterestRateFutureSecurity underlyingFuture = ERU2.toDerivative(REFERENCE_DATE);
    final InterestRateFutureOptionMarginSecurity security = new InterestRateFutureOptionMarginSecurity(underlyingFuture, expirationTime, STRIKE, IS_CALL);
    final InterestRateFutureOptionMarginSecurity convertedSecurity = OPTION_ERU2.toDerivative(REFERENCE_DATE);
    assertTrue("Rate future option with margining security converter", security.equals(convertedSecurity));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginSecurity

  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionMarginTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginSecuritySABRMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.future.provider.InterestRateFutureOptionMarginSecuritySABRMethodTest
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackGammaCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackSensitivityBlackCalculator
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