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

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

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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.forwardThetaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardThetaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.forwardThetaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardThetaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.forwardVegaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardVegaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.forwardVegaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardVegaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.forwardGammaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardGammaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.forwardGammaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardGammaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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   * @return The implied volatility.
   */
  public double impliedVolatility(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Yield curve bundle should contain Black swaption data");
    final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
    ArgumentChecker.notNull(swaption, "Forex option");
    final double tenor = swaption.getMaturityTime();
    final double volatility = curvesBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    return volatility;
  }
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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.driftlessThetaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackSpotThetaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.driftlessThetaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackSpotThetaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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   * @return The implied volatility.
   */
  public double impliedVolatility(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Yield curve bundle should contain Black swaption data");
    final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
    ArgumentChecker.notNull(swaption, "Forex option");
    final double tenor = swaption.getMaturityTime();
    final double volatility = curvesBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    return volatility;
  }
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Related Classes of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  • com.opengamma.analytics.financial.horizon.ConstantSpreadSwaptionBlackRolldown
  • com.opengamma.analytics.financial.interestrate.DeltaBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueBlackSwaptionSensitivityBlackCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivityBlackCalculator
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackDriftlessThetaCalculator
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackForwardDeltaCalculator
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackForwardGammaCalculator
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionBlackForwardThetaCalculator
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