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

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

65
66
67
68
69
70
71
72
73
74
75
  @Override
  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.");
View Full Code Here
78
79
80
81
82
83
84
85
86
87
88
  @Override
  public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(swaption, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
View Full Code Here
91
92
93
94
95
96
97
98
99
100
101
  @Override
  public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(swaption, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
View Full Code Here
105
106
107
108
109
110
111
112
113
114
115
  @Override
  public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCpn.presentValueSABRSensitivity(payment, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
117
118
119
120
121
122
123
124
125
126
127
  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCap.presentValueSABRSensitivity(payment, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
140
141
  @Override
  public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException(
View Full Code Here
63
64
65
66
67
68
69
70
71
72
73
  @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 CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
75
76
77
78
79
80
81
82
83
84
85
  @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 SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
87
88
89
90
91
92
93
94
95
96
97
  @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 SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueCurveSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
View Full Code Here
100
101
102
103
104
105
106
107
108
109
  @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 sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCpn.presentValueCurveSensitivity(payment, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
View Full Code Here
TOP

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
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.