Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final double expiryTime = swaption.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    final double[] alpha = new double[cfe.getNumberOfPayments()];
    final double[] df = new double[cfe.getNumberOfPayments()];
    final double[] discountedCashFlow = new double[cfe.getNumberOfPayments()];
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    final Currency ccy = swaption.getCurrency();
    final int nbSigma = hullWhite.getHullWhiteParameters().getVolatility().length;
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    //Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final double[] alpha = new double[cfe.getNumberOfPayments()];
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
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  }

  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
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  public Triple<MultipleCurrencyAmount, PresentValueSABRSensitivityDataBundle, MultipleCurrencyMulticurveSensitivity> presentValueAndSensitivity(final SwaptionPhysicalFixedIbor swaption,
      final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final int nbStrikes = _strikeMoneyness.length;
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = _parametersInit.copy();
    final SuccessiveLeastSquareLMMDDCalibrationObjective objective = new SuccessiveLeastSquareLMMDDCalibrationObjective(lmmParameters, ccy);
    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
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   * The swap method.
   */
  private static final SwapFixedCouponDiscountingMethod METHOD_SWAP = SwapFixedCouponDiscountingMethod.getInstance();

  public MultipleCurrencyAmount presentValue(final SwaptionCashFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final double notional = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getNotional();
    final double strike = swaption.getUnderlyingSwap().getFixedLeg().getNthPayment(0).getFixedRate();
    final AnnuityPaymentFixed cfeIbor = swaption.getUnderlyingSwap().getSecondLeg().accept(CFEC, g2Data.getMulticurveProvider());
    final double theta = swaption.getTimeToExpiry();
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  public void testEqualHash() {
    final CapFloorCMSSpread newCMSSpread = new CapFloorCMSSpread(CUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME, STRIKE,
        IS_CAP, FUNDING_CURVE_NAME);
    assertEquals(newCMSSpread.equals(CMS_SPREAD), true);
    assertEquals(newCMSSpread.hashCode() == CMS_SPREAD.hashCode(), true);
    final Currency newCur = Currency.USD;
    CapFloorCMSSpread modifiedCMSSpread;
    modifiedCMSSpread = new CapFloorCMSSpread(newCur, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME, STRIKE, IS_CAP,
        FUNDING_CURVE_NAME);
    assertEquals(modifiedCMSSpread.equals(CMS_SPREAD), false);
    modifiedCMSSpread = new CapFloorCMSSpread(CUR, PAYMENT_TIME + 1.0, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, SWAP_1, CMS_INDEX_1, SWAP_2, CMS_INDEX_2, SETTLEMENT_TIME, STRIKE, IS_CAP,
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   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
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   * @return The present value SABR parameters sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
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   * @return The present value curve sensitivities.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    //TODO: Create a way to chose the LMM base parameters (displacement, mean reversion, volatility).
    final LiborMarketModelDisplacedDiffusionParameters lmmParameters = LiborMarketModelDisplacedDiffusionParameters.from(swaption, DEFAULT_DISPLACEMENT, DEFAULT_MEAN_REVERSION, new VolatilityLMMAngle(
        DEFAULT_ANGLE, DEFAULT_DISPLACEMENT));
    final SuccessiveRootFinderLMMDDCalibrationObjective objective = new SuccessiveRootFinderLMMDDCalibrationObjective(lmmParameters, ccy);
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