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

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

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  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
      return method.presentValue(swaption, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");

  }
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  public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
      return method.presentValueCurveSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");

  }
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  public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
      return method.presentValueSABRSensitivity(swaption, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");

  }
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    final DoubleMatrix1D resultCalculator = NODE_CALCULATOR.calculateSensitivities(swaption, pvcsc, null, sabrBundle);
    final DoubleMatrix1D resultFiniteDifference = finiteDiffNodeSensitivitiesYield(swaption, pvc, null, sabrBundle);
    final double notional = Math.abs(swaption.getUnderlyingSwap().getFirstLeg().getNthPayment(0).getNotional());
    assertArrayEquals("Present Value Node Sensitivity", resultFiniteDifference.getData(), resultCalculator.getData(), notional * getTolerance());

    final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
    final InterestRateCurveSensitivity pvcsMethod = method.presentValueCurveSensitivity(swaption, sabrBundle);
    final DoubleMatrix1D resultMethod = NODE_CALCULATOR.curveToNodeSensitivities(pvcsMethod, sabrBundle);
    final DoubleMatrix1D resultMethod2 = NODE_CALCULATOR.curveToNodeSensitivities(pvcsMethod, curves);
    assertArrayEquals("Present Value Node Sensitivity", resultCalculator.getData(), resultMethod.getData(), notional * getTolerance());
    assertArrayEquals("Present Value Node Sensitivity", resultCalculator.getData(), resultMethod2.getData(), notional * getTolerance());
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod

  • com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueNodeSensitivityCalculatorTest
  • 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.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption
  • com.opengamma.financial.convention.daycount.DayCount
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