Package com.opengamma.analytics.financial.interestrate.future.derivative

Examples of com.opengamma.analytics.financial.interestrate.future.derivative.InterestRateFutureOptionMarginTransaction.accept()

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    final MultipleCurrencyAmount theta1_0 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ZERO, ONE_DAY_FWD);
    final MultipleCurrencyAmount theta1_1 = CALC.getTheta(OPTION_TRANSACTION, REFERENCE_DATE, CURVE_NAMES, BLACK_BUNDLE, PRICE_ONE, ONE_DAY_FWD);

    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();
    final InterestRateFutureOptionMarginTransaction derivative = OPTION_TRANSACTION.toDerivative(REFERENCE_DATE, PRICE_ONE, CURVE_NAMES);
    final double pvToday = derivative.accept(pvCalculator, BLACK_BUNDLE);

    assertEquals("InterestRateFutureOption Theta - sensitive to reference rate: ", 0.0, (theta1_0.getAmount(CUR) - theta1_1.getAmount(CUR)) / pvToday, 1e-15);
  }

  @Test(enabled = false)
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   * TODO - Review this choice, and behaviour of TodayPaymentCalculator
   */
  public void thetaIRFOAcrossExpiry() {
    final MultipleCurrencyAmount theta = CALC.getTheta(OPTION_TRANSACTION, EXPIRATION_DATE, CURVE_NAMES, BLACK_BUNDLE, TRADE_PRICE, ONE_DAY_FWD);
    final InterestRateFutureOptionMarginTransaction derivAtExpiry = OPTION_TRANSACTION.toDerivative(EXPIRATION_DATE, TRADE_PRICE, CURVE_NAMES);
    final double valueAtExpiry = derivAtExpiry.accept(PresentValueBlackCalculator.getInstance(), BLACK_BUNDLE);
    assertEquals("InterestRateFutureOption Theta - Across Expiry: ", -1 * valueAtExpiry, theta.getAmount(CUR), 0);
  }
}
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   * Test the present value from the method and from the calculator.
   */
  public void presentValueMethodVsCalculator() {
    final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, 0.0);
    final MultipleCurrencyAmount pvNoPremiumMethod = METHOD_SABR_TRA.presentValue(transactionNoPremium, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvNoPremiumCalculator = transactionNoPremium.accept(PVSFC, SABR_MULTICURVES);
    assertEquals("Future option: present value: Method vs Calculator", pvNoPremiumMethod.getAmount(EUR), pvNoPremiumCalculator.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
  /**
 
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   * Test the present value from the method and from the calculator.
   */
  public void presentValueMethodVsCalculator() {
    final InterestRateFutureOptionMarginTransaction transactionNoPremium = new InterestRateFutureOptionMarginTransaction(OPTION_EDU2, QUANTITY, 0.0);
    final double pvNoPremiumMethod = METHOD.presentValue(transactionNoPremium, SABR_BUNDLE).getAmount();
    final double pvNoPremiumCalculator = transactionNoPremium.accept(PVC, SABR_BUNDLE);
    assertEquals("Future option: present value: Method vs Calculator", pvNoPremiumMethod, pvNoPremiumCalculator);
  }

  @Test
  /**
 
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