Examples of YieldCurveWithBlackSwaptionBundle

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

63
64
65
66
67
68
69
70
71
72
73
  @Override
  public PresentValueBlackSwaptionSensitivity visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return METHOD_SWAPTION_PHYSICAL.presentValueBlackSensitivity(swaption, curveBlack);
    }
    throw new UnsupportedOperationException(
        "The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

75
76
77
78
79
80
81
82
83
84
85
  @Override
  public PresentValueBlackSwaptionSensitivity visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return METHOD_SWAPTION_PHYSICAL_COMPOUNDED.presentValueBlackSensitivity(swaption, curveBlack);
    }
    throw new UnsupportedOperationException(
        "The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

64
65
66
67
68
69
70
71
72
73
  @Override
  public Map<String, List<DoublesPair>> 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.presentValueCurveSensitivity(swaption, curvesBlack).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

75
76
77
78
79
80
81
82
83
84
  @Override
  public Map<String, List<DoublesPair>> 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.presentValueCurveSensitivity(swaption, curvesBlack).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

86
87
88
89
90
91
92
93
94
95
96
  @Override
  public Map<String, List<DoublesPair>> visitSwaptionPhysicalFixedCompoundedONCompounded(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof YieldCurveWithBlackSwaptionBundle) {
      final YieldCurveWithBlackSwaptionBundle curveBlack = (YieldCurveWithBlackSwaptionBundle) curves;
      return METHOD_SWAPTION_PHYSICAL_COMPOUNDED.presentValueCurveSensitivity(swaption, curveBlack).getSensitivities();
    }
    throw new UnsupportedOperationException(
        "The PresentValueBlackSwaptionSensitivityBlackSwaptionCalculator visitor visitSwaptionPhysicalFixedCompoundedONCompounded requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

46
47
48
49
50
51
52
53
54
55
  @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.delta(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The DeltaBlackCalculator visitor visitSwaptionCashFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

57
58
59
60
61
62
63
64
65
66
  @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.delta(swaption, curvesBlack).getAmount();
    }
    throw new UnsupportedOperationException("The DeltaBlackCalculator visitor visitSwaptionPhysicalFixedIbor requires a YieldCurveWithBlackSwaptionBundle as data.");
  }
View Full Code Here

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

178
179
180
181
182
183
184
185
186
187
188
189
190
   */
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(-shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
    final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
    final DoublesPair point = new DoublesPair(SWAPTION_LONG_REC.getTimeToExpiry(), SWAPTION_LONG_REC.getMaturityTime());
    assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift), pvbvs.getSensitivity().getMap().get(point), TOLERANCE_DELTA);
  }
View Full Code Here

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

209
210
211
212
213
214
215
216
217
218
219
220
221
222
    final PresentValueBlackSwaptionSensitivity pvbns = BSSNC.calculateNodeSensitivities(pvbvs, BLACK);
    final double[] x = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getXDataAsPrimitive();
    final double[] y = ((InterpolatedDoublesSurface) BLACK.getVolatilitySurface()).getYDataAsPrimitive();
    for (int loopindex = 0; loopindex < x.length; loopindex++) {
      final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
      final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
      final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionEUR6Shift(loopindex, -shift);
      final YieldCurveWithBlackSwaptionBundle curvesBlackM = new YieldCurveWithBlackSwaptionBundle(BlackM, CURVES);
      final CurrencyAmount pvM = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackM);
      assertEquals("Swaption Black method: present value volatility sensitivity", (pvP.getAmount() - pvM.getAmount()) / (2 * shift),
          pvbns.getSensitivity().getMap().get(new DoublesPair(x[loopindex], y[loopindex])), TOLERANCE_DELTA);
    }
  }
View Full Code Here

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

112
113
114
115
116
117
118
119
120
121
122
    if (definition == null) {
      throw new OpenGammaRuntimeException("Definition for security " + security + " was null");
    }
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        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));
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.