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

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod


  public PresentValueSABRSensitivityDataBundle visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(cap, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  public Map<String, List<DoublesPair>> visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  public Double visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValue(cap, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRExtrapolationCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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