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

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

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   * Sets the year on year cap/floor curve bundle using the Hull-White parameters and a given set of curves.
   * @param inflation The multi-curves provider.
   */
  @Override
  public void setInflation(final InflationProviderInterface inflation) {
    _inflationCapYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(inflation, new BlackSmileCapInflationYearOnYearParameters(_inflationCapYearOnYearParameters));
  }
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    // setting the volatility in the volatility matrix
    _inflationCapYearOnYearParameters.setVolatility(x, _expiryIndex, _strikeIndex);
    // creating the new volatility surface using the new volatility matrix
    final Interpolator2D interpolator = _inflationCapYearOnYearProvider.getBlackParameters().getVolatilitySurface().getInterpolator();
    final BlackSmileCapInflationYearOnYearParameters blackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(_inflationCapYearOnYearParameters, interpolator);
    final BlackSmileCapInflationYearOnYearProvider blackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(_inflationCapYearOnYearProvider.getInflationProvider(),
        blackSmileCapInflationYearOnYearParameters);

    return _inflationCapYearOnYearProvider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVIC, blackSmileCapInflationYearOnYearProvider), _ccyInflationcapYearOnYear).getAmount()
        - getPrice();
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    final MultipleCurrencyAmount[][][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length][30];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
          final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
          final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
              objective.getInflationCapYearOnYearParameters(), interpolator);
          final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
              .getInflationCapYearOnYearProvider().getInflationProvider(),
              CalibratedBlackSmileCapInflationYearOnYearParameters);
          pvCapYearOnYear[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider);
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    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
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    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
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    final MultipleCurrencyAmount[][][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length][30];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        for (int loop3 = 0; loop3 < CAPS[loop1][loop2].getNumberOfPayments(); loop3++) {
          final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
          final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
              objective.getInflationCapYearOnYearParameters(), interpolator);
          final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
              .getInflationCapYearOnYearProvider().getInflationProvider(),
              CalibratedBlackSmileCapInflationYearOnYearParameters);
          pvCapYearOnYear[loop1][loop2][loop3] = METHOD.presentValue(CAPS[loop1][loop2].getNthPayment(loop3), CalibratedBlackSmileCapInflationYearOnYearProvider);
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    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
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    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][availabelTenor.length];
    for (int loop1 = 0; loop1 < strikes.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {

        final Interpolator2D interpolator = objective.getInflationCapYearOnYearProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationYearOnYearParameters CalibratedBlackSmileCapInflationYearOnYearParameters = new BlackSmileCapInflationYearOnYearParameters(
            objective.getInflationCapYearOnYearParameters(), interpolator);
        final BlackSmileCapInflationYearOnYearProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationYearOnYearProvider(objective
            .getInflationCapYearOnYearProvider().getInflationProvider(),
            CalibratedBlackSmileCapInflationYearOnYearParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS_AVAILABLE[loop1][loop2].getNthPayment(0), CalibratedBlackSmileCapInflationYearOnYearProvider);
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Related Classes of com.opengamma.analytics.financial.model.option.parameters.BlackSmileCapInflationYearOnYearParameters

  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorYearOnYearInterpolationCalibrationObjectiveTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationYearOnYearCapFloorCalibrationObjective
  • com.opengamma.analytics.math.interpolation.GridInterpolator2D
  • com.opengamma.analytics.math.interpolation.Interpolator1D
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