Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

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   * @return The results (returned as a list of objects) [0] the present value, [1] the present curve sensitivity, [2] the present value SABR sensitivity.
   */
  public List<Object> presentValueCurveSABRSensitivity(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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  @Override
  public InterestRateCurveSensitivity visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.notNull(swap, "Swap");
    final Currency ccy1 = swap.getFirstLeg().getCurrency();
    final MultipleCurrencyInterestRateCurveSensitivity pvcsmc = swap.accept(PVCSMCC, curves);
    final InterestRateCurveSensitivity pvcs = pvcsmc.converted(ccy1, curves.getFxRates()).getSensitivity(ccy1);
    final InterestRateCurveSensitivity pvbpcs = swap.getFirstLeg().accept(PVBPCSC, curves);
    final double pvbp = swap.getFirstLeg().accept(PVBPC, curves);
    final double pv = curves.getFxRates().convert(swap.accept(PVMCC, curves), ccy1).getAmount();
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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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   * @return The present value HullWhite parameters sensitivity.
   */
  public double[] presentValueHullWhiteSensitivity(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();
    // Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(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();
    // Forward sweep
    final double expiryTime = swaption.getTimeToExpiry();
    final int nbFixed = swaption.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();
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   * @param swaption The swaption.
   * @param g2Data The G2++ parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, g2Data.getMulticurveProvider());
    final double theta = swaption.getTimeToExpiry();
    final int nbCf = cfe.getNumberOfPayments();
    final double[] t = new double[nbCf];
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   * @param payments The payments, not null or empty
   */
  public Annuity(final P[] payments) {
    ArgumentChecker.noNulls(payments, "payments");
    ArgumentChecker.isTrue(payments.length > 0, "Have no payments in annuity");
    final Currency currency0 = payments[0].getCurrency();
    double amount = payments[0].getReferenceAmount();
    for (int loopcpn = 1; loopcpn < payments.length; loopcpn++) {
      ArgumentChecker.isTrue(currency0.equals(payments[loopcpn].getCurrency()), "currency not the same for all payments");
      amount = (amount == 0) ? payments[loopcpn].getReferenceAmount() : amount;
    }
    _payments = payments;
    _isPayer = (amount < 0);
  }
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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 expiry = swaption.getTimeToExpiry();
    final AnnuityPaymentFixed cfe = swaption.getUnderlyingSwap().accept(CFEC, hullWhite.getMulticurveProvider());
    final int nbCf = cfe.getNumberOfPayments();
    final double a = hullWhite.getHullWhiteParameters().getMeanReversion();
    final double[] sigma = hullWhite.getHullWhiteParameters().getVolatility();
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  static CombinedInterpolatorExtrapolator interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator("NaturalCubicSpline", "LinearExtrapolator",
      "FlatExtrapolator");

  @SuppressWarnings({"unused", "rawtypes" })
  public static void yieldPoints(final PrintStream out) {
    final Currency currency = Currency.EUR;
    final String curveName = "onlyThis";
    final int nMats = 10;
    final double[] rates = {0.025, 0.02, 0.0225, 0.025, 0.03, 0.035, 0.04, 0.045, 0.04, 0.045 };

    final SwapFixedCoupon[] marketInstruments;
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   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionCashFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    // Derivative of the forward with respect to the rates.
    final MulticurveSensitivity forwardDr = swaption.getUnderlyingSwap().accept(PRCSDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
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