Examples of presentValueSABRSensitivity()

Examples of com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod.presentValueSABRSensitivity()

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    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
      return method.presentValueSABRSensitivity(option, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }

}
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValueSABRSensitivity()

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    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueSABRSensitivity(payment, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }

  @Override
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()

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    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException(
        "The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()

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      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()

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

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValueSABRSensitivity()

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    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
      return replication.presentValueSABRSensitivity(payment, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }

  @Override
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Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()

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  public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(payment, sabr);
    }
    throw new UnsupportedOperationException(
        "The PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueSABRSensitivity()

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  public PresentValueSABRSensitivityDataBundle 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.presentValueSABRSensitivity(payment, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRSwaptionCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
  }

  // -----     Annuity     ------
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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValueSABRSensitivity()

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

    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }
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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValueSABRSensitivity()

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

  @Override
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