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

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

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   * Tests the Black volatility sensitivity (vega).
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(-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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    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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    final VolatilitySurface volatilitySurface = new VolatilitySurface(ConstantDoublesSurface.from(volatility));
    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, spec);
  }
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      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final VolatilitySurface volatilitySurface = (VolatilitySurface) inputs.getValue(INTERPOLATED_VOLATILITY_SURFACE);
      final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
          SwaptionUtils.getSwapGenerator(security, definition, securitySource));
      final BlackSwaptionFlatProvider blackData = new BlackSwaptionFlatProvider(data, parameters);
      return blackData;
    }
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      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
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    }
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, curveName, spec, curveCalculationConfigName, curveCalculationMethod, inputs, target);
  }
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      throw new OpenGammaRuntimeException("Could not get " + curveSpecRequirement);
    }
    final InterpolatedYieldCurveSpecificationWithSecurities curveSpec = (InterpolatedYieldCurveSpecificationWithSecurities) curveSpecObject;
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
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    }
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames); //TODO
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, curveName, spec, curveCalculationConfigName, curveCalculationMethod, inputs, target);
  }
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      final SecuritySource securitySource = OpenGammaExecutionContext.getSecuritySource(executionContext);
      final SwaptionSecurity security = (SwaptionSecurity) target.getTrade().getSecurity();
      final InstrumentDefinition<?> definition = getDefinitionFromTarget(target);
      final MulticurveProviderInterface data = getMergedProviders(inputs, fxMatrix);
      final double volatility = (Double) inputs.getValue(MarketDataRequirementNames.IMPLIED_VOLATILITY);
      final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(ConstantDoublesSurface.from(volatility),
          SwaptionUtils.getSwapGenerator(security, definition, securitySource));
      final BlackSwaptionFlatProvider blackData = new BlackSwaptionFlatProvider(data, parameters);
      return blackData;
    }
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    final InstrumentDefinition<?> definition = security.accept(_visitor);
    final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
    final InstrumentDerivative swaption = _definitionConverter.convert(security, definition, now, fullCurveNames, timeSeries);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, spec);
  }
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