Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

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    ZonedDateTime startDate = zonedDateTimeBeanToDateTimeWithZone(bean.getStartDate());
    ZonedDateTime maturityDate = zonedDateTimeBeanToDateTimeWithZone(bean.getMaturityDate());
    ExternalId underlyingIdentifier = externalIdBeanToExternalId(bean.getUnderlyingIdentifier());
    Frequency frequency = frequencyBeanToFrequency(bean.getFrequency());
    Currency currency = currencyBeanToCurrency(bean.getCurrency());
    DayCount dayCount = dayCountBeanToDayCount(bean.getDayCount());
    return new CapFloorSecurity(startDate,
        maturityDate,
        bean.getNotional(),
        underlyingIdentifier,
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  public ForexOptionDataBundle(final YieldCurveBundle curves, final T volatilityModel, final Pair<Currency, Currency> currencyPair) {
    super(curves);
    ArgumentChecker.notNull(volatilityModel, "volatility model");
    ArgumentChecker.notNull(currencyPair, "currency pair");
    final Collection<Currency> currencies = getCurrencyMap().values();
    final Currency firstCurrency = currencyPair.getFirst();
    final Currency secondCurrency = currencyPair.getSecond();
    final FXMatrix fxMatrix = curves.getFxRates();
    ArgumentChecker.isTrue(fxMatrix.containsPair(firstCurrency, secondCurrency), "FX matrix does not contain rates for {} and {}", firstCurrency, secondCurrency);
    ArgumentChecker.isTrue(currencies.contains(firstCurrency), "Curve currency map does not contain currency {}; have {}", firstCurrency, currencies);
    ArgumentChecker.isTrue(currencies.contains(secondCurrency), "Curve currency map does not contain currency {}, have {}", secondCurrency, currencies);
    _volatilityModel = volatilityModel;
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
    final double[] alphaFixed = new double[nbFixed];
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    AssertJUnit.assertNotNull(BloombergSwaptionVolatilityCubeInstrumentProvider.BLOOMBERG);
  }

  @Test
  public void canGetUSDInfo() {
    final Currency usd = Currency.USD;
    final BloombergSwaptionVolatilityCubeInstrumentProvider instrumentProvider = BloombergSwaptionVolatilityCubeInstrumentProvider.BLOOMBERG;

    final Set<VolatilityPoint> allPoints = instrumentProvider.getAllPoints(usd);
    Assert.assertNotSame(0, allPoints.size());
    for (final VolatilityPoint volatilityPoint : allPoints) {
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
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   * @return The sensitivity.
   */
  public double[][] presentValueLMMSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
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   * @return The sensitivity.
   */
  public double[] presentValueDDSensitivity(final SwaptionPhysicalFixedIbor swaption, final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, //CSIGNORE
      final LiborMarketModelDisplacedDiffusionProviderInterface lmmData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(lmmData, "LMM provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = lmmData.getMulticurveProvider();
    final LiborMarketModelDisplacedDiffusionParameters parameters = lmmData.getLMMParameters();
    // 1. Swaption CFE preparation
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCFInit = cfe.getNumberOfPayments();
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   */
  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double nominal = Math.abs(annuityFixed.getNthPayment(0).getNotional());
    final double discountFactorSettle = multicurves.getDiscountFactor(ccy, swaption.getSettlementTime());
    final double annuityPhysical = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), multicurves) / nominal;
    final double strike = swaption.getStrike();
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      final MulticurveSensitivity modifiedpvcs = pvcs.multipliedBy(-pvInflationLeg * intermediateVariable / discountFactor);
      final InflationSensitivity modifiedpvcis = pvcis.multipliedBy(intermediateVariable);

      return InflationSensitivity.of(modifiedpvcs.plus(modifiedpvcis.getMulticurveSensitivity()), modifiedpvcis.getPriceCurveSensitivities());
    }
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyMulticurveSensitivity pvcs = swap.accept(PVCSMC, inflation.getMulticurveProvider());
    final MulticurveSensitivity pvcs1 = pvcs.converted(ccy1, inflation.getFxRates()).getSensitivity(ccy1);
    final MulticurveSensitivity pvmqscs = swap.getFirstLeg().accept(PVMQSCSMC, inflation.getMulticurveProvider());
    final double pvmqs = swap.getFirstLeg().accept(PVMQSMC, inflation.getMulticurveProvider());
    final double pv = inflation.getFxRates().convert(swap.accept(PVMC, inflation.getMulticurveProvider()), ccy1).getAmount();
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