Package com.opengamma.analytics.financial.interestrate.payments.provider

Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValue()

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  public MultipleCurrencyAmount visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
    if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
      // TODO: improve correlation data handling
      final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
      return method.presentValue(payment, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }

  // -----     Annuity     ------
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  public MultipleCurrencyAmount visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
    if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
      // TODO: improve correlation data handling
      final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), METHOD_CMS_CAP, METHOD_CMS_CPN);
      return method.presentValue(payment, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSwaptionCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters with correlation as data.");
  }

  // -----     Annuity     ------
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