Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorIbor.accept()

   * It is suggested not to use the standard SABR method as it can lead to exploding prices for long term contracts.
   */
  public void persentValueSABRExtrapolation() {
    final CapFloorIbor capStandard = new CapFloorIbor(EUR, CAP_LONG.getFixingPeriodEndTime(), CAP_LONG.getPaymentYearFraction(), NOTIONAL, CAP_LONG.getFixingTime(), EURIBOR6M,
        CAP_LONG.getFixingPeriodStartTime(), CAP_LONG.getFixingPeriodEndTime(), CAP_LONG.getFixingAccrualFactor(), STRIKE, IS_CAP);
    final MultipleCurrencyAmount priceStandard = capStandard.accept(PVSCC, SABR_MULTICURVES);
    final double forward = MULTICURVES.getForwardRate(CAP_LONG.getIndex(), CAP_LONG.getFixingPeriodStartTime(), CAP_LONG.getFixingPeriodEndTime(), CAP_LONG.getFixingAccrualFactor());
    final double beta = (1.0 + CAP_LONG.getFixingAccrualFactor() * forward) * MULTICURVES.getDiscountFactor(EUR, CAP_LONG.getFixingPeriodEndTime())
        / MULTICURVES.getDiscountFactor(EUR, CAP_LONG.getFixingPeriodStartTime());
    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard.getAmount(EUR);
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);

   * It is suggested not to use the standard SABR method as it can lead to exploding prices for long term contracts.
   */
  public void persentValueSABRExtrapolation() {
    final CapFloorIbor capStandard = new CapFloorIbor(CUR, CAP_LONG.getFixingPeriodEndTime(), FUNDING_CURVE_NAME, CAP_LONG.getPaymentYearFraction(), NOTIONAL, CAP_LONG.getFixingTime(), INDEX,
        CAP_LONG.getFixingPeriodStartTime(), CAP_LONG.getFixingPeriodEndTime(), CAP_LONG.getFixingAccrualFactor(), FORWARD_CURVE_NAME, STRIKE, IS_CAP);
    final double priceStandard = capStandard.accept(PVC, SABR_BUNDLE);
    final double beta = CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodStartTime())
        / CURVES.getCurve(FORWARD_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodEndTime()) * CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodEndTime())
        / CURVES.getCurve(FUNDING_CURVE_NAME).getDiscountFactor(CAP_LONG.getFixingPeriodStartTime());
    final double strikePart = (1.0 + CAP_LONG.getFixingAccrualFactor() * STRIKE) * priceStandard;
    final RungeKuttaIntegrator1D integrator = new RungeKuttaIntegrator1D(1.0, 1E-8, 10);