Examples of SABRInterestRateDataBundle

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(cap, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(swaption, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(swaption, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCpn.presentValueSABRSensitivity(payment, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCap.presentValueSABRSensitivity(payment, sabr);

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public PresentValueSABRSensitivityDataBundle visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException(
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public Map<String, List<DoublesPair>> visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public Map<String, List<DoublesPair>> visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueCurveSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");
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Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateDataBundle

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  @Override
  public Map<String, List<DoublesPair>> visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      return _methodExtraCMSCpn.presentValueCurveSensitivity(payment, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }
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