Examples of SwaptionCashFixedIborDefinition

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

110
111
112
113
114
115
116
117
118
119
120
   * Tests long/short parity.
   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, HW_MULTICURVES);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(EUR), pvScaled.getAmount(EUR), TOLERANCE_PV);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
    final double[] pvPayerIntegration = new double[strikeRel.length];
    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
    }
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

116
117
118
119
120
121
122
123
124
125
126
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle blackData = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final String daysForward = desiredValue.getConstraint(PROPERTY_DAYS_TO_MOVE_FORWARD);
    final ConstantSpreadHorizonThetaCalculator calculator = ConstantSpreadHorizonThetaCalculator.getInstance();
    if (security.isCashSettled()) {
      final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
      final MultipleCurrencyAmount theta = calculator.getTheta(cashSettled, now, curveNames, blackData, Integer.parseInt(daysForward));
      return Collections.singleton(new ComputedValue(getResultSpec(target, curveCalculationConfigName, surfaceName, currency.getCode(), daysForward), theta));
    }
    final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;
    final MultipleCurrencyAmount theta = calculator.getTheta(physicallySettled, now, curveNames, blackData, Integer.parseInt(daysForward));
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

105
106
107
108
109
110
111
112
113
114
115
   * Tests long/short parity.
   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final CurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, BUNDLE_HW);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(), pvScaled.getAmount(), 1E-1);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
    final double[] pvPayerIntegration = new double[strikeRel.length];
    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
    }
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwapFixedIborDefinition swapDefinitionReceiverHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, !FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    final double priceLongPayer = method.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final double priceShortPayer = method.presentValue(swaptionShortPayerHighStrike, sabrBundle);
    final double priceLongReceiver = method.presentValue(swaptionLongReceiverHighStrike, sabrBundle);
    final double priceLongPayerExpected = 557829.033; // Value from previous run
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

163
164
165
166
167
168
169
170
171
172
173
174
175
176
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    InterestRateCurveSensitivity pvsLongPayerExtra = methodExtra.presentValueSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    final InterestRateCurveSensitivity pvsShortPayerExtra = methodExtra.presentValueSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

265
266
267
268
269
270
271
272
273
274
275
276
277
278
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition

32
33
34
35
36
37
38
39
40
41
42
  @SuppressWarnings("unused")
  public InstrumentDerivative convert(final SwaptionSecurity security, final InstrumentDefinition<?> definition, final ZonedDateTime now, final String[] curveNames,
      final HistoricalTimeSeriesSource dataSource) {
    if (definition instanceof SwaptionCashFixedIborDefinition) {
      final SwaptionCashFixedIborDefinition cashSettled = (SwaptionCashFixedIborDefinition) definition;
      final SwapSecurity swapSecurity = null; //TODO
      //final DoubleTimeSeries<ZonedDateTime> swapFixingSeries = _swapConverter.convert(swapSecurity, definition, now, curveNames, dataSource);
      //return cashSettled.toDerivative(now, new DoubleTimeSeries[] {swapFixingTS}, curveNames);
    }
    if (definition instanceof SwaptionPhysicalFixedIborDefinition) {
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.