Examples of PresentValueCurveSensitivitySABRCalculator

  @Test
  /**
   * Tests the present value against the price explicitly computed for constant correlation.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final PresentValueCurveSensitivitySABRCalculator calculator = PresentValueCurveSensitivitySABRCalculator.getInstance();
    final SABRInterestRateCorrelationParameters sabrCorrelation = SABRInterestRateCorrelationParameters.from(SABR_PARAMETERS, CORRELATION_FUNCTION);
    final SABRInterestRateDataBundle sabrBundleCor = new SABRInterestRateDataBundle(sabrCorrelation, CURVES);
    final InterestRateCurveSensitivity pvcsMethod = METHOD_CMS_SPREAD.presentValueCurveSensitivity(CMS_CAP_SPREAD, sabrBundleCor);
    final InterestRateCurveSensitivity pvcsCalculator = new InterestRateCurveSensitivity(CMS_CAP_SPREAD.accept(calculator, sabrBundleCor));
    assertEquals("CMS spread: curve sensitivity Method vs Calculator", pvcsMethod, pvcsCalculator);

  @Test
  /**
   * Tests that the method return the same result as the calculator.
   */
  public void presentValueCurveSensitivityMethodVsCalculator() {
    final PresentValueCurveSensitivitySABRCalculator calculator = PresentValueCurveSensitivitySABRCalculator.getInstance();
    final Map<String, List<DoublesPair>> sensiCalculator = TRANSACTION.accept(calculator, SABR_BUNDLE);
    final InterestRateCurveSensitivity sensiMethod = METHOD.presentValueCurveSensitivity(TRANSACTION, SABR_BUNDLE);
    assertEquals("Future option curve sensitivity: method comparison with present value calculator", sensiCalculator, sensiMethod.getSensitivities());
    final InterestRateFutureOptionMarginSecuritySABRMethod methodSecurity = InterestRateFutureOptionMarginSecuritySABRMethod.getInstance();
    final InterestRateCurveSensitivity sensiSecurity = methodSecurity.priceCurveSensitivity(OPTION_EDU2, SABR_BUNDLE);

Examples of PresentValueCurveSensitivitySABRCalculator

Examples of com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator

Examples of com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator