Package com.opengamma.util.money

Examples of com.opengamma.util.money.MultipleCurrencyAmount

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  // -----     Annuity     ------

  @Override
  public MultipleCurrencyAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final SABRCapProviderInterface sabr) {
    ArgumentChecker.notNull(annuity, "Annuity");
    MultipleCurrencyAmount pv = visit(annuity.getNthPayment(0), sabr);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pv = pv.plus(visit(annuity.getNthPayment(loopp), sabr));
    }
    return pv;
  }
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      BOND_SECURITY_TIPS_1_DEFINITION, QUANTITY_TIPS_1, SETTLE_DATE_TIPS_1, PRICE_TIPS_1);
  private static final BondCapitalIndexedTransaction<Coupon> BOND_TIPS_1_TRANSACTION = BOND_TIPS_1_TRANSACTION_DEFINITION.toDerivative(PRICING_DATE, US_CPI);

  @Test
  public void presentValueTips1() {
    final MultipleCurrencyAmount pv = METHOD_BOND_TRANSACTION.presentValue(BOND_TIPS_1_TRANSACTION, MARKET);
    final MultipleCurrencyAmount pvSecurity = METHOD_BOND_SECURITY.presentValue(BOND_SECURITY_TIPS_1, MARKET);
    final MultipleCurrencyAmount pvSettlement = BOND_TIPS_1_TRANSACTION.getBondTransaction().getSettlement().accept(PVDIC, MARKET.getInflationProvider()).multipliedBy(
        BOND_TIPS_1_TRANSACTION.getQuantity() * BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon().getNthPayment(0).getNotional());
    assertEquals("Inflation Capital Indexed bond transaction: present value", pvSecurity.multipliedBy(QUANTITY_TIPS_1).plus(pvSettlement).getAmount(BOND_SECURITY_TIPS_1.getCurrency()),
        pv.getAmount(BOND_SECURITY_TIPS_1.getCurrency()), 1.0E-2);
  }
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  @Test
  /**
   * Tests the present value Method vs Calculator.
   */
  public void presentValueMethodVsCalculator() {
    final MultipleCurrencyAmount pvMethod = METHOD_BOND_TRANSACTION.presentValue(BOND_TIPS_1_TRANSACTION, MARKET);
    final MultipleCurrencyAmount pvCalculator = BOND_TIPS_1_TRANSACTION.accept(PVDIIC, MARKET);
    assertEquals("Inflation Capital Indexed bond transaction: Method vs Calculator", pvMethod, pvCalculator);
  }
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    // Implementation note: option required to pass the strike (in case the swap has non-constant coupon).
    final BlackPriceFunction blackFunction = new BlackPriceFunction();
    final double[] volatilityAdjoint = sabrData.getSABRParameter().getVolatilityAdjoint(swaption.getTimeToExpiry(), maturity, strikeModified, forwardModified);
    final BlackFunctionData dataBlack = new BlackFunctionData(forwardModified, 1.0, volatilityAdjoint[0]);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final MultipleCurrencyAmount pv = MultipleCurrencyAmount.of(swaption.getCurrency(), pvbpModified * func.evaluate(dataBlack) * (swaption.isLong() ? 1.0 : -1.0));
    // Curve sensitivity
    final MulticurveSensitivity pvbpModifiedDr = METHOD_SWAP.presentValueBasisPointCurveSensitivity(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final MulticurveSensitivity forwardModifiedDr = PRCSDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double[] bsAdjoint = blackFunction.getPriceAdjoint(option, dataBlack);
    MulticurveSensitivity result = pvbpModifiedDr.multipliedBy(bsAdjoint[0]);
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  @Override
  public MultipleCurrencyAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final InflationProviderInterface market) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(market, "market");
    MultipleCurrencyAmount pv = annuity.getNthPayment(0).accept(this, market);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pv = pv.plus(annuity.getNthPayment(loopp).accept(this, market));
    }
    return pv;
  }
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  // -----     Swap     ------

  @Override
  public MultipleCurrencyAmount visitSwap(final Swap<?, ?> swap, final InflationProviderInterface market) {
    final MultipleCurrencyAmount pv1 = swap.getFirstLeg().accept(this, market);
    final MultipleCurrencyAmount pv2 = swap.getSecondLeg().accept(this, market);
    return pv1.plus(pv2);
  }
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  @Override
  public MultipleCurrencyAmount visitGenericAnnuity(final Annuity<? extends Payment> annuity, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(annuity, "Annuity");
    ArgumentChecker.notNull(black, "multicurve");
    MultipleCurrencyAmount pv = annuity.getNthPayment(0).accept(this, black);
    for (int loopp = 1; loopp < annuity.getNumberOfPayments(); loopp++) {
      pv = pv.plus(annuity.getNthPayment(loopp).accept(this, black));
    }
    return pv;
  }
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    final SuccessiveLeastSquareLMMDDCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveLeastSquareLMMDDCalibrationEngine<>(objective, nbStrikes);
    final SwaptionPhysicalFixedIbor[] swaptionCalibration = METHOD_BASKET.calibrationBasketFixedLegPeriod(swaption, _strikeMoneyness);
    calibrationEngine.addInstrument(swaptionCalibration, PVSSC);
    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);
    final MultipleCurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmm);
    return pv;
  }
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    calibrationEngine.calibrate(sabrData);
    final LiborMarketModelDisplacedDiffusionProvider lmm = new LiborMarketModelDisplacedDiffusionProvider(multicurves, lmmParameters, ccy);

    // 1. PV

    final MultipleCurrencyAmount pv = METHOD_SWAPTION_LMM.presentValue(swaption, lmm);

    final int nbCalibrations = swaptionCalibration.length;
    final int nbPeriods = nbCalibrations / nbStrikes;
    final int nbFact = lmmParameters.getNbFactor();
    final List<Integer> instrumentIndex = calibrationEngine.getInstrumentIndex();
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   */
  public void presentValueGilt1() {
    final InflationProviderDiscount marketUKGovt = new InflationProviderDiscount();
    marketUKGovt.setCurve(BOND_SECURITY_GILT_1.getCurrency(), MARKET.getCurve(BOND_SECURITY_GILT_1.getIssuerCurrency()));
    marketUKGovt.setCurve(PRICE_INDEX_UKRPI, MARKET.getCurve(PRICE_INDEX_UKRPI));
    final MultipleCurrencyAmount pvNominal = METHOD_INFLATION_ZC_MONTHLY.presentValue((CouponInflationZeroCouponMonthlyGearing) BOND_SECURITY_GILT_1.getNominal().getNthPayment(0), marketUKGovt);
    MultipleCurrencyAmount pvCoupon = MultipleCurrencyAmount.of(BOND_SECURITY_GILT_1.getCurrency(), 0.0);
    for (int loopcpn = 0; loopcpn < BOND_SECURITY_GILT_1.getCoupon().getNumberOfPayments(); loopcpn++) {
      pvCoupon = pvCoupon.plus(BOND_SECURITY_GILT_1.getCoupon().getNthPayment(loopcpn).accept(PVDIC, marketUKGovt));
    }
    final MultipleCurrencyAmount pvExpectd = pvNominal.plus(pvCoupon);
    final MultipleCurrencyAmount pv = METHOD_BOND_INFLATION.presentValue(BOND_SECURITY_GILT_1, MARKET);
    assertEquals("Inflation Capital Indexed bond: present value", pvExpectd.getAmount(BOND_SECURITY_GILT_1.getCurrency()), pv.getAmount(BOND_SECURITY_GILT_1.getCurrency()), 1.0E-2);
  }
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