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

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

69
70
71
72
73
74
75
76
77
78
79
80
81
  @Override
  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.");
  }
View Full Code Here
150
151
152
153
154
155
156
157
158
159
160
161
162
  public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
    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.");
  }
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
134
135
  @Override
  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.");
  }
View Full Code Here
102
103
104
105
106
107
108
  @Override
  public InterestRateFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date, yieldCurveNames);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new InterestRateFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
View Full Code Here
110
111
112
113
114
115
116
  @Override
  public InterestRateFutureOptionPremiumSecurity toDerivative(final ZonedDateTime date) {
    ArgumentChecker.isTrue(!date.isAfter(_expirationDate), "Date is after expiration date");
    final InterestRateFutureSecurity underlyingFuture = _underlyingFuture.toDerivative(date);
    final double expirationTime = TimeCalculator.getTimeBetween(date, _expirationDate);
    return new InterestRateFutureOptionPremiumSecurity(underlyingFuture, expirationTime, _strike, _isCall);
  }
View Full Code Here
93
94
95
96
97
98
99
100
101
102
103
   * @deprecated Use the method that does not take yield curve names
   */
  @Deprecated
  @Override
  public InterestRateFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date, final String... yieldCurveNames) {
    final InterestRateFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date, yieldCurveNames);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past.
      // The premium payment is in the past and is represented by a 0 payment today.
      return new InterestRateFutureOptionPremiumTransaction(option, _quantity, 0.0, 0.0);
    }
View Full Code Here
104
105
106
107
108
109
110
111
112
113
114
    return new InterestRateFutureOptionPremiumTransaction(option, _quantity, premiumTime, _tradePrice);
  }

  @Override
  public InterestRateFutureOptionPremiumTransaction toDerivative(final ZonedDateTime date) {
    final InterestRateFutureOptionPremiumSecurity option = _underlyingOption.toDerivative(date);
    final double premiumTime = TimeCalculator.getTimeBetween(date, _premium.getPaymentDate());
    if (premiumTime < 0) { // Premium payment in the past.
      // The premium payment is in the past and is represented by a 0 payment today.
      return new InterestRateFutureOptionPremiumTransaction(option, _quantity, 0.0, 0.0);
    }
View Full Code Here
61
62
63
64
65
66
67
68
69
70
71
72
73
  @Override
  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.");
  }
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
  //TODO check this
  @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();
  }
View Full Code Here
98
99
100
101
102
103
104
105
106
107
  /**
   * Tests the toDerivative method when the reference date is before the premium settlement.
   */
  public void toDerivativeBeforeSettlementDeprecated() {
    final InterestRateFutureOptionPremiumTransaction transactionConverted = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, CURVES);
    final InterestRateFutureOptionPremiumSecurity security = OPTION_EDU2.toDerivative(REFERENCE_DATE, CURVES);
    final double premiumTime = TimeCalculator.getTimeBetween(REFERENCE_DATE, PREMIUM_DATE);
    final InterestRateFutureOptionPremiumTransaction transaction = new InterestRateFutureOptionPremiumTransaction(security, QUANTITY, premiumTime, TRADE_PRICE);
    assertEquals("Option on future: to derivative", transaction, transactionConverted);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionPremiumSecurity

  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumTransactionDefinition
  • com.opengamma.analytics.financial.instrument.future.InterestRateFutureOptionPremiumTransactionDefinitionTest
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackGammaCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackSensitivityBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.