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

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod$CMSDeltaIntegrant

111
112
113
114
115
116
117
118
119
120
  public Double visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValue(payment, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
108
109
110
111
112
113
114
115
116
117
  public Map<String, List<DoublesPair>> visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
114
115
116
117
118
119
120
121
122
123
  public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueSABRSensitivity(payment, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod$CMSDeltaIntegrant

  • com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed
  • com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption
    • 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.