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

Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod

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  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
      return method.presentValue(swaption, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
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  public Map<String, List<DoublesPair>> visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
      return method.presentValueSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
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  public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(swaption, "swaption");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRMethod method = SwaptionCashFixedIborSABRMethod.getInstance();
      return method.presentValueSABRSensitivity(swaption, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod

  • 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.pricing.analytic.formula.BlackFunctionData
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackPriceFunction
  • com.opengamma.util.tuple.DoublesPair
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