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

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

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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    return getResult(fxOption, spreadValue, smileBundle, target, desiredValues, inputs, spec, executionContext);
  }
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    if (security instanceof FXOptionSecurity) {
      final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
      final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, daysFwdOrBackward);
      return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
    } else if (security instanceof FXDigitalOptionSecurity) {
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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    final SmileDeltaTermStructureParametersStrikeInterpolation smiles = (SmileDeltaTermStructureParametersStrikeInterpolation) volatilitySurfaceObject;
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final ValueProperties.Builder properties = getResultProperties(target, desiredValue, baseQuotePair);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.VALUE_THETA, target.toSpecification(), properties.get());
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final SmileDeltaTermStructureDataBundle smileBundle = new SmileDeltaTermStructureDataBundle(curvesWithFX, smiles, Pair.of(ccy1, ccy2));
    final ForexSecurityConverter converter = new ForexSecurityConverter(baseQuotePairs);
    final ForexOptionVanillaDefinition definition = (ForexOptionVanillaDefinition) security.accept(converter);
    final MultipleCurrencyAmount theta = CALCULATOR.getTheta(definition, now, allCurveNames, smileBundle, Integer.parseInt(daysForward));
    return Collections.singleton(new ComputedValue(spec, HorizonUtils.getNonZeroValue(theta)));
  }
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Related Classes of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureDataBundle

  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalCallSpreadMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethodTest
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionVanillaBlackSmileMethodTest
  • com.opengamma.analytics.financial.horizon.ConstantSpreadFXOptionBlackRolldown
  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator
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