Package com.opengamma.analytics.financial.model.option.definition

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public Map<String, List<DoublesPair>> visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCap.presentValueCurveSensitivity(payment, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  public Map<String, List<DoublesPair>> visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
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  @Override
  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 CapFloorIborSABRMethod method = CapFloorIborSABRMethod.getInstance();
      return method.presentValue(cap, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  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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  @Override
  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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  @Override
  public Double visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
      return replication.presentValue(payment, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  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.");
  }
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  @Override
  public Double visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValue(payment, sabrBundle).getAmount();
      }
    }
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  @Override
  public Double visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      return METHOD_OPTIONFUTURESMARGIN_SABR.presentValue(option, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  public Double visitInterestRateFutureOptionPremiumTransaction(final InterestRateFutureOptionPremiumTransaction option, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionPremiumSecurity underlyingOption = option.getUnderlyingOption();
      final InterestRateFutureOptionMarginSecurity underlyingMarginedOption = new InterestRateFutureOptionMarginSecurity(underlyingOption.getUnderlyingFuture(), underlyingOption.getExpirationTime(),
          underlyingOption.getStrike(), underlyingOption.isCall());
      final InterestRateFutureOptionMarginTransaction margined = new InterestRateFutureOptionMarginTransaction(underlyingMarginedOption, option.getQuantity(), option.getTradePrice());
      return METHOD_OPTIONFUTURESMARGIN_SABR.presentValue(margined, sabrBundle).getAmount();
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Related Classes of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.BlackSensitivityFromSABRSensitivityCalculatorTest
  • com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.DeprecatedCouponCMSTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethodTest
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