Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(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 PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
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   * @param cfe The swaption cash flow equiovalent.
   * @param g2Data The G2++ parameters and the curves.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final AnnuityPaymentFixed cfe, final G2ppProviderInterface g2Data) {
    final Currency ccy = swaption.getCurrency();
    final MulticurveProviderInterface multicurves = g2Data.getMulticurveProvider();
    final int nbCf = cfe.getNumberOfPayments();
    final double[] cfa = new double[nbCf];
    final double[] t = new double[nbCf];
    for (int loopcf = 0; loopcf < nbCf; loopcf++) {
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  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strikeModified, swaption.getTimeToExpiry(), swaption.isCall());
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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final Currency ccy = swaption.getCurrency();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, multicurves);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, multicurves);
    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
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  public MultipleCurrencyAmount presentValue(final SwaptionBermudaFixedIbor swaption, final HullWhiteOneFactorProviderInterface hullWhite) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(hullWhite, "Hull-White provider");
    MulticurveProviderInterface multicurves = hullWhite.getMulticurveProvider();
    HullWhiteOneFactorPiecewiseConstantParameters parameters = hullWhite.getHullWhiteParameters();
    Currency ccy = swaption.getCurrency();
    final int nbExpiry = swaption.getExpiryTime().length;
    Validate.isTrue(nbExpiry > 1, "At least two expiry dates required for this method");

    double tmpdb;
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   */
  public MultipleCurrencyAmount presentValue(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);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    // Implementation comment: cash-settled swaptions make sense only for constant strike, the computation of coupon equivalent is not required.
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
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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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   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(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 PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
    final AnnuityCouponFixed annuityFixed = swaption.getUnderlyingSwap().getFixedLeg();
    final double forward = swaption.getUnderlyingSwap().accept(PRDC, multicurves);
    final double pvbp = METHOD_SWAP.getAnnuityCash(swaption.getUnderlyingSwap(), forward);
    final double maturity = annuityFixed.getNthPayment(annuityFixed.getNumberOfPayments() - 1).getPaymentTime() - swaption.getSettlementTime();
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    new CouponIborGearing(CUR, ACCRUAL_END_TIME, ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, null, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testWrongCurrency() {
    final Currency otherCurrency = Currency.USD;
    new CouponIborGearing(otherCurrency, ACCRUAL_END_TIME, ACCRUAL_FACTOR, NOTIONAL, FIXING_TIME, INDEX, FIXING_START_TIME, FIXING_END_TIME, FIXING_ACCRUAL_FACTOR, SPREAD,
        FACTOR);
  }
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    super(ValueRequirementNames.YIELD_CURVE_MARKET_DATA);
  }

  @Override
  YieldCurveKey getKey(ValueSpecification spec) {
    Currency currency = Currency.parse(spec.getTargetSpecification().getUniqueId().getValue());
    String curve = getSingleProperty(spec, ValuePropertyNames.CURVE);
    return new YieldCurveKey(currency, curve);
  }
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