Package com.opengamma.analytics.financial.equity.variance.pricing

Examples of com.opengamma.analytics.financial.equity.variance.pricing.VarianceSwapStaticReplication.presentValue()


  public Double calcDiscountRateSensitivity(final VarianceSwap swap, final StaticReplicationDataBundle market, final double shift) {
    ArgumentChecker.notNull(market, "market");
    ArgumentChecker.notNull(swap, "swap");
    // Sensitivity from the discounting
    final VarianceSwapStaticReplication pricer = new VarianceSwapStaticReplication();
    final double pv = pricer.presentValue(swap, market);
    final double timeToSettlement = swap.getTimeToSettlement();

    // Sensitivity from forward projection
    final double fwdSens = calcForwardSensitivity(swap, market, shift);
    final double fwd = market.getForwardCurve().getForward(timeToSettlement);
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