Examples of YieldCurveWithBlackSwaptionBundle

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

164
165
166
167
168
169
170
171
172
173
174
   * @return The implied volatility.
   */
  public double impliedVolatility(final SwaptionCashFixedIbor swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Yield curve bundle should contain Black swaption data");
    final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
    ArgumentChecker.notNull(swaption, "Forex option");
    final double tenor = swaption.getMaturityTime();
    final double volatility = curvesBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    return volatility;
  }
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
   * @return The implied volatility.
   */
  public double impliedVolatility(final SwaptionPhysicalFixedCompoundedONCompounded swaption, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof YieldCurveWithBlackSwaptionBundle, "Yield curve bundle should contain Black swaption data");
    final YieldCurveWithBlackSwaptionBundle curvesBlack = (YieldCurveWithBlackSwaptionBundle) curves;
    ArgumentChecker.notNull(swaption, "Forex option");
    final double tenor = swaption.getMaturityTime();
    final double volatility = curvesBlack.getBlackParameters().getVolatility(swaption.getTimeToExpiry(), tenor);
    return volatility;
  }
View Full Code Here

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

134
135
136
137
138
139
140
141
142
143
144
145
146
  @Test
  public void presentValueBlackSensitivity() {
    final double shift = 1.0E-6;
    final PresentValueBlackSwaptionSensitivity pvbvs = METHOD_BLACK.presentValueBlackSensitivity(SWAPTION_LONG_REC, CURVES_BLACK);
    final BlackFlatSwaptionParameters BlackP = TestsDataSetsBlack.createBlackSwaptionBRLShift(shift);
    final YieldCurveWithBlackSwaptionBundle curvesBlackP = new YieldCurveWithBlackSwaptionBundle(BlackP, CURVES);
    final CurrencyAmount pvP = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, curvesBlackP);
    final BlackFlatSwaptionParameters BlackM = TestsDataSetsBlack.createBlackSwaptionBRLShift(-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

156
157
158
159
160
161
162
163
164
165
166
167
168
   */
  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

187
188
189
190
191
192
193
194
195
196
197
198
199
200
    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

124
125
126
127
128
129
130
131
    final InstrumentDerivative swaption = definition.toDerivative(now, fullCurveNames);
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, spec);
  }
View Full Code Here

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

136
137
138
139
140
141
142
143
144
145
146
147
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
    if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
      final DoubleMatrix1D sensitivities = CALCULATOR.calculateFromSimpleInterpolatedCurve(swaption, data, NSC);
      return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
    }
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
View Full Code Here

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

127
128
129
130
131
132
133
134
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, curveName, spec, curveCalculationConfigName, curveCalculationMethod, inputs, target);
  }
View Full Code Here

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

125
126
127
128
129
130
131
132
133
134
135
136
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.YIELD_CURVE_NODE_SENSITIVITIES, target.toSpecification(), properties);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final YieldCurveBundle knownCurves = YieldCurveFunctionUtils.getFixedCurves(inputs, curveCalculationConfig, curveCalculationConfigSource);
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    final YieldCurveWithBlackSwaptionBundle knownData = knownCurves == null ? null : new YieldCurveWithBlackSwaptionBundle(parameters, knownCurves);
    if (curveCalculationMethod.equals(InterpolatedDataProperties.CALCULATION_METHOD_NAME)) {
      final DoubleMatrix1D sensitivities = CALCULATOR.calculateFromSimpleInterpolatedCurve(swaption, data, NSC);
      return YieldCurveNodeSensitivitiesHelper.getInstrumentLabelledSensitivitiesForCurve(fullCurveName, data, sensitivities, curveSpec, spec);
    }
    final Object jacobianObject = inputs.getValue(ValueRequirementNames.YIELD_CURVE_JACOBIAN);
View Full Code Here

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

124
125
126
127
128
129
130
131
    final ValueProperties properties = getResultProperties(currency.getCode(), curveCalculationConfigName, surfaceName, curveName);
    final ValueSpecification spec = new ValueSpecification(_valueRequirementName, target.toSpecification(), properties);
    final YieldCurveBundle curves = YieldCurveFunctionUtils.getYieldCurves(inputs, curveCalculationConfig);
    final BlackFlatSwaptionParameters parameters = new BlackFlatSwaptionParameters(volatilitySurface.getSurface(),
        SwaptionUtils.getSwapGenerator(security, definition, securitySource));
    final YieldCurveWithBlackSwaptionBundle data = new YieldCurveWithBlackSwaptionBundle(parameters, curves);
    return getResult(swaption, data, curveName, spec, curveCalculationConfigName, curveCalculationMethod, inputs, target);
  }
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.