Examples of accept()

Examples of com.opengamma.analytics.financial.commodity.derivative.MetalFutureOption.accept()

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    final MetalFutureDefinition definition = new MetalFutureDefinition(EXPIRY_DATE, AN_UNDERLYING, UNIT_AMOUNT, null, null, AMOUNT, "tonnes", SettlementType.CASH, 0,
        Currency.GBP, SETTLEMENT_DATE);
    final MetalFuture future = definition.toDerivative(A_DATE);
    final MetalFutureOption option = new MetalFutureOption(EXPIRY, future, STRIKE, EXERCISE, true);
    final double pv = option.accept(PRICER, MARKET);
    assertEquals(answer, pv * option.getUnderlying().getUnitAmount(), TOLERANCE);
  }
}
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Examples of com.opengamma.analytics.financial.equity.future.derivative.EquityIndexDividendFuture.accept()

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    final EquityIndexDividendFuture eidf = new EquityIndexDividendFuture(fixing, settlement, 95., Currency.JPY, 10);

    final double currentPrice = 100.0;
    final SimpleFutureDataBundle dataBundle = new SimpleFutureDataBundle(null, currentPrice, null, null, null);
    // FIXME Case - presentValue needs discounting..
    final double pv = eidf.accept(PVC, dataBundle);
    assertEquals(50.0, pv, 1e-12);

  }
}
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Examples of com.opengamma.analytics.financial.equity.option.EquityIndexOption.accept()

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      final double[][] vols = volGrid.getVolatilities();
      final VolatilitySurfaceInterpolator surfaceInterpolator = surfaceBundle.getInterpolator();
      final GeneralSmileInterpolator strikeInterpolator = surfaceInterpolator.getSmileInterpolator();

      // Base price and set of independent smile fits (one function vol(k) for each expiry)
      final Double pvBase = option.accept(_pricer, market);
      final Function1D<Double, Double>[] smileFitsBase = surfaceInterpolator.getIndependentSmileFits(volGrid);

      // Bump and reprice - loop over expiry and strike
      final List<Triple<Double, Double, Double>> triplesExpiryStrikeVega = new ArrayList<>();
      // TODO: REVIEW: We can drastically reduce the time it takes to compute this if we are sensible about avoiding points which almost certainly won't have any sensitivity
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Examples of com.opengamma.analytics.financial.forex.derivative.Forex.accept()

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    final List<Double> ptsDiff = new ArrayList<>();
    final List<Double> payTime = new ArrayList<>();
    while (!loopdate.isAfter(endDate)) {
      final ForexDefinition fxSwapDefinition = new ForexDefinition(EUR, USD, loopdate, notionalEUR, fxEURUSDFwdInit);
      final Forex fxSwap = fxSwapDefinition.toDerivative(NOW);
      final MultipleCurrencyAmount pvFxSwap = fxSwap.accept(PVDC, multicurves);
      final double pvUSDCurved = FX_MATRIX.convert(pvFxSwap, USD).getAmount();
      pvUSDCurve.add(pvUSDCurved);
      final double pvUSDPtsd = -(fxEURUSDFwdInit - FX_EURUSD - pointsCurve.getYValue(fxSwap.getPaymentTime()))
          * multicurves.getDiscountFactor(USD, fxSwap.getPaymentTime()) * notionalEUR;
      pvUSDPts.add(pvUSDPtsd);
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Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionDigital.accept()

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionDigitalDefinition forexOptionDefinition = new ForexOptionDigitalDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionDigital forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvMethod = METHOD_BLACK_DIGITAL.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex Digital option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), TOLERANCE_PV);
  }

  @Test
  /**
 
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Examples of com.opengamma.analytics.financial.forex.derivative.ForexOptionVanilla.accept()

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    final ZonedDateTime expDate = ScheduleCalculator.getAdjustedDate(payDate, -SETTLEMENT_DAYS, CALENDAR);
    final ForexDefinition forexUnderlyingDefinition = new ForexDefinition(EUR, USD, payDate, notional, strike);
    final ForexOptionVanillaDefinition forexOptionDefinition = new ForexOptionVanillaDefinition(forexUnderlyingDefinition, expDate, isCall, isLong);
    final ForexOptionVanilla forexOption = forexOptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvMethod = METHOD_OPTION.presentValue(forexOption, SMILE_MULTICURVES);
    final MultipleCurrencyAmount pvCalculator = forexOption.accept(PVFBC, SMILE_MULTICURVES);
    assertEquals("Forex vanilla option: present value Method vs Calculator", pvMethod.getAmount(USD), pvCalculator.getAmount(USD), TOLERANCE_PV);
  }

  @Test
  /**
 
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Examples of com.opengamma.analytics.financial.forex.derivative.ForexSwap.accept()

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      result[loopnode] = (psBumped - ps) / deltaShift;
      final DoublesPair pairPv = sensi2.get(loopnode);
      assertEquals("Sensitivity par spread to curve: Node " + loopnode, nodeTimesExtended[loopnode + 1], pairPv.getFirst(), TOLERANCE_TIME);
    }
    CURVES_FX.replaceCurve(CURVES_NAME[1], curveToBump);
    InterestRateCurveSensitivity prcsCalculator = fxSwap.accept(PSCSC, CURVES_FX);
    prcsCalculator = prcsCalculator.cleaned(0.0, 1.0E-4);
    AssertSensivityObjects.assertEquals("Forex swap: par rate curve sensitivity", pscsMethod, prcsCalculator, TOLERANCE_SPREAD_DELTA);
  }

}
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Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative.accept()

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    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(shiftedCurves);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }

  private MultipleCurrencyAmount subtract(final MultipleCurrencyAmount a, final MultipleCurrencyAmount b) {
    return a.plus(b.multipliedBy(-1));
  }
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Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed.accept()

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  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_DE_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = BOND_DE_SECURITY_DEFINITION.getCoupons().trimBefore(SPOT_DATE_DE_1).toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_DE_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }

  @Test
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Examples of com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed.accept()

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  @Test
  public void presentValueFixedMiddle() {
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) BOND_DE_SECURITY_DEFINITION.getNominal().toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = BOND_DE_SECURITY_DEFINITION.getCoupons().trimBefore(SPOT_DATE_DE_1).toDerivative(REFERENCE_DATE_DE_1, CURVES_NAME);
    final double pvNominal = nominal.accept(PVC, CURVES);
    final double pvCoupon = coupon.accept(PVC, CURVES);
    final double pv = METHOD.presentValue(BOND_DE_SECURITY_1, CURVES);
    assertEquals("Fixed coupon bond security: present value", pvNominal + pvCoupon, pv);
  }
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