List of presentValueSABRSensitivity() Examples

Examples of presentValueSABRSensitivity()

com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod.presentValueSABRSensitivity()
Computes the present value curve sensitivity of a transaction. @param transaction The future option transaction. @param sabrData The SABR data bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValueSABRSensitivity()
Computes the present value sensitivity to the SABR parameters of a CMS cap/floor by replication in SABR framework. @param cmsCapFloor The CMS cap/floor. @param sabrData The SABR data bundle. The SABR function need to be the Hagan function. @return The present value sensitivity to SABR parameters.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()
Computes the present value sensitivity to the SABR parameters of a CMS spread cap/floor in the SABR framework. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()
Computes the present value SABR sensitivity of a cap/floor in the SABR framework with extrapolation on the right. @param cap The cap/floor. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValueSABRSensitivity()
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()
Computes the present value sensitivity to the SABR parameters of a CMS spread cap/floor in the SABR framework. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()
Computes the present value SABR sensitivity of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValueSABRSensitivity()
Computes the present value SABR sensitivity of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()
Computes the present value SABR sensitivity of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value SABR sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueSABRSensitivity()
Computes the present value SABR sensitivity of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value SABR sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()

    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSABRSensitivity(swaption, sabr);


    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");


  }

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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueSABRSensitivity()

    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(curves, "curves");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRMethod method = SwaptionPhysicalFixedIborSABRMethod.getInstance();
      return method.presentValueSABRSensitivity(swaption, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");


  }

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