Package com.opengamma.analytics.financial.provider.calculator.sabrswaption

Examples of com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSwaptionRightExtrapolationCalculator


        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final double strikeCutoff = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
        final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyAmount> calculator =
            new PresentValueSABRSwaptionRightExtrapolationCalculator(strikeCutoff, mu);
        final MultipleCurrencyAmount mca = derivative.accept(calculator, sabrData);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, mca.getAmount(currency)));
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