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

Examples of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
      final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
      final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
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   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionBRLShift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, BRLCDI);
  }
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   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle blackData = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    if (security.isCashSettled()) {
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  @Test
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionBRLShift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionBRLShift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
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   * @param shift The shift.
   * @return The surface.
   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final double shift) {
    final InterpolatedDoublesSurface surfaceShift = createBlackSurfaceExpiryTenorShift(shift);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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   */
  public static BlackFlatSwaptionParameters createBlackSwaptionEUR6Shift(final int index, final double shift) {
    final double[] vol = new double[] {0.35, 0.34, 0.25, 0.30, 0.25, 0.20 };
    vol[index] += shift;
    final InterpolatedDoublesSurface surfaceShift = InterpolatedDoublesSurface.from(new double[] {0.5, 1.0, 5.0, 0.5, 1.0, 5.0 }, new double[] {2, 2, 2, 10, 10, 10 }, vol, INTERPOLATOR_LINEAR_2D);
    return new BlackFlatSwaptionParameters(surfaceShift, EUR1YEURIBOR6M);
  }
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Related Classes of com.opengamma.analytics.financial.model.option.parameters.BlackFlatSwaptionParameters

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  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.TestsDataSetsBlack
  • com.opengamma.analytics.financial.interestrate.TestsDataSetsInflation
  • com.opengamma.analytics.financial.model.option.definition.BlackSwaptionParametersTest
  • com.opengamma.analytics.financial.provider.description.BlackDataSets
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