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

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

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    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsFloorShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsFloorShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsFloor, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double[] errorRelative = new double[nbStrikes];
    for (int loopstrike = 0; loopstrike < nbStrikes; loopstrike++) {
      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsFloor, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(date, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(date, yieldCurveNames);
    final String fundingCurveName = yieldCurveNames[0];
    return new CapFloorCMS(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime, _strike, _isCap);
  }
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    }
    // CMS is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime, yieldCurveNames);
    return new CapFloorCMS(getCurrency(), paymentTime, fundingCurveName, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime, _strike, _isCap);
  }
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    // CMS is not fixed yet, all the details are required.
    final double paymentTime = TimeCalculator.getTimeBetween(date, getPaymentDate());
    final double fixingTime = TimeCalculator.getTimeBetween(date, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(date, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(date);
    return new CapFloorCMS(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime, _strike, _isCap);
  }
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    }
    // CMS is not fixed yet, all the details are required.
    final double fixingTime = TimeCalculator.getTimeBetween(dateTime, getFixingDate());
    final double settlementTime = TimeCalculator.getTimeBetween(dateTime, _underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate());
    final SwapFixedCoupon<Coupon> swap = _underlyingSwap.toDerivative(dateTime);
    return new CapFloorCMS(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), fixingTime, swap, settlementTime, _strike, _isCap);
  }
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    CMS_CAP_DEFINITION.toDerivative(FIXING_DATE.plusDays(1), (DoubleTimeSeries<ZonedDateTime>) null);
  }

  @Test
  public void testGetter() {
    final CapFloorCMS cmsCap = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE);
    assertEquals(STRIKE, cmsCap.getStrike(), 1E-10);
    assertEquals(IS_CAP, cmsCap.isCap());
  }
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  }

  @SuppressWarnings("deprecation")
  @Test
  public void testGetterDeprecated() {
    final CapFloorCMS cmsCap = (CapFloorCMS) CMS_CAP_DEFINITION.toDerivative(REFERENCE_DATE, CURVES_NAME);
    assertEquals(STRIKE, cmsCap.getStrike(), 1E-10);
    assertEquals(IS_CAP, cmsCap.isCap());
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS

  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition
  • com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSGenericMethod
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationGenericMethod
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRReplicationMethodTest
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