Examples of InflationProviderInterface

Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearInterpolation cap,
      final BlackSmileCapInflationYearOnYearWithConvexityProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor should not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime()[1] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[0]);
    final double priceIndexStart1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[1]);
    final double priceIndexStart = cap.getWeightStart() * priceIndexStart0 + (1 - cap.getWeightStart()) * priceIndexStart1;
    final double priceIndexEnd0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double priceIndexEnd1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double priceIndexEnd = cap.getWeightEnd() * priceIndexEnd0 + (1 - cap.getWeightEnd()) * priceIndexEnd1;
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getYearOnYearConvexityAdjustment(cap, black);
    final double forward = priceIndexEnd / priceIndexStart * convexityAdjustment - 1;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeightEnd() / priceIndexStart * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeightEnd()) / priceIndexStart * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[0], -cap.getWeightStart() * priceIndexEnd / (priceIndexStart * priceIndexStart) * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[1], -(1 - cap.getWeightStart()) * priceIndexEnd / (priceIndexStart * priceIndexStart) * convexityAdjustment));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearWithConvexityProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime());
    final double priceIndexEnd = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime());
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getYearOnYearConvexityAdjustment(cap, black);
    final double forward = priceIndexEnd / priceIndexStart * convexityAdjustment - 1;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / priceIndexStart * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime(), -priceIndexEnd / (priceIndexStart * priceIndexStart) * convexityAdjustment));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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    return new DiscountingInflationCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
        final InflationProviderInterface data = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data);
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final InflationProviderInterface curves = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, curves, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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    return new DiscountingInflationCompiledFunction(getTargetToDefinitionConverter(context), getDefinitionToDerivativeConverter(context), true) {

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative, final FXMatrix fxMatrix) {
        final InflationProviderInterface data = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, data);
        final ValueSpecification spec = new ValueSpecification(INFLATION_NET_AMOUNT, target.toSpecification(), properties);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final InflationProviderInterface data = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, data);
        final Set<ComputedValue> results = new HashSet<>();
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final InflationProviderInterface data = (InflationProviderInterface) inputs.getValue(CURVE_BUNDLE);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final double parSpread = derivative.accept(CALCULATOR, data);
        final ValueSpecification spec = new ValueSpecification(PAR_SPREAD, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, parSpread));
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