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

    }
    final YieldCurveBundle yieldCurves = new YieldCurveBundle(allCurveNames, curves);
    final FXMatrix fxMatrix = new FXMatrix(ccy1, ccy2, spot);
    final YieldCurveBundle curvesWithFX = new YieldCurveBundle(fxMatrix, curveCurrency, yieldCurves.getCurvesMap());
    final Pair<Currency, Currency> ccyPair = Pair.of(ccy1, ccy2);
    return new SmileDeltaTermStructureVannaVolgaDataBundle(curvesWithFX, resultSmiles, ccyPair);
  }

    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final String putCurveName = desiredValue.getConstraint(PUT_CURVE);
    final String callCurveName = desiredValue.getConstraint(CALL_CURVE);
    final String deltaName = desiredValue.getConstraint(PROPERTY_OTM_DELTA);
    final String[] allCurveNames = getCurveNames(putCurrency, putCurveName, callCurrency, callCurveName, baseQuotePairs);
    final SmileDeltaTermStructureVannaVolgaDataBundle smiles = getSmiles(putCurrency, callCurrency, allCurveNames, baseQuotePairs, deltaName, inputs);
    final ForexOptionVanilla fxOption = (ForexOptionVanilla) getDerivative(security, allCurveNames, baseQuotePairs, now);
    final MultipleCurrencyAmount pv = CALCULATOR.presentValue(fxOption, smiles);
    ArgumentChecker.isTrue(pv.size() == 1, "result size must be one; have {}", pv.size());
    final CurrencyAmount ca = pv.getCurrencyAmounts()[0];
    final double amount = ca.getAmount();

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

Related Classes of com.opengamma.analytics.financial.model.option.definition.SmileDeltaTermStructureVannaVolgaDataBundle