Examples of YieldCurveWithBlackSwaptionBundle

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

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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.forwardDeltaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardDeltaCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.forwardDeltaTheoretical(swaption, curvesBlack);
    }
    throw new UnsupportedOperationException("The SwaptionBlackForwardDeltaCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  public YieldCurveWithBlackSwaptionBundle rollDown(final YieldCurveWithBlackSwaptionBundle data, final double time) {
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, time);
    final Surface<Double, Double, Double> surface = data.getBlackParameters().getVolatilitySurface();
    final Surface<Double, Double, Double> shiftedVolatilitySurface = SURFACE_ROLLDOWN.rollDown(surface, time);
    final BlackFlatSwaptionParameters shiftedParameters = new BlackFlatSwaptionParameters(shiftedVolatilitySurface, data.getBlackParameters().getGeneratorSwap());
    return new YieldCurveWithBlackSwaptionBundle(shiftedParameters, shiftedCurves);
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public Double visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public Double visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public Double visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return PHYSICAL_COMPOUNDED_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public Double visitSwaptionCashFixedCompoundedONCompounded(final SwaptionCashFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return CASH_COMPOUNDED_SWAPTION.presentValue(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
    final Currency currency = definition.getCurrency();
    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final YieldCurveWithBlackSwaptionBundle tomorrowData = SWAPTION_ROLLDOWN.rollDown(data, shiftTime);
    final double result = swaptionTomorrow.accept(pvCalculator, tomorrowData) - swaptionToday.accept(pvCalculator, data) + paymentToday.getAmount(currency);
    return MultipleCurrencyAmount.of(CurrencyAmount.of(currency, result));
  }
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Examples of com.opengamma.analytics.financial.model.option.definition.YieldCurveWithBlackSwaptionBundle

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  @Override
  public PresentValueBlackSwaptionSensitivity visitSwaptionCashFixedIbor(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return METHOD_SWAPTION_CASH.presentValueBlackSensitivity(swaption, curveBlack);
    }
    throw new UnsupportedOperationException("The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
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