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>> 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.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  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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  @Override
  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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  @Override
  public Map<String, List<DoublesPair>> 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.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
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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 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.");
  }
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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(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
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  @Override
  public Map<String, List<DoublesPair>> visitInterestRateFutureOptionMarginTransaction(final InterestRateFutureOptionMarginTransaction option, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
      return method.presentValueCurveSensitivity(option, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(cap, "cap");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return METHOD_IBOR_CAP.presentValueSABRSensitivity(cap, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  @Override
  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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  @Override
  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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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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