List of presentValueSensitivity() Examples

Examples of presentValueSensitivity()

com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValueSensitivity()
Compute the present value sensitivity of a bond transaction. @param bond The bond transaction. @param curves The curve bundle. @return The present value sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValueSensitivity()
Computes the present value sensitivity to the yield curves of a Ibor 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 sensitivity to curves.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod.presentValueSensitivity()
Computes the present value rate sensitivity to rates of a cap/floor in the SABR model. @param cap The cap/floor. @param sabrData The SABR data bundle. The SABR function need to be the Hagan function. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSDiscountingMethod.presentValueSensitivity()
Compute the present value sensitivity to the yield curves of a CMS coupon by discounting (no convexity adjustment). @param cmsCoupon The CMS coupon. @param curves The yield curves. Should contain the discounting and forward curves associated. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValueSensitivity()
Computes the present value rate sensitivity to rates of a cash-settled 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 curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValueSensitivity()
Computes the present value rate sensitivity of a cash delivery European swaption in the SABR model. The strike equivalent dependency on curve is ignored. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value curve sensitivity.

Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValueSensitivity()

  }


  @Override
  public Map<String, List<DoublesPair>> visitBondFixedTransaction(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
    return method.presentValueSensitivity(bond, curves).getSensitivities();
  }


  @Override
  public Map<String, List<DoublesPair>> visitBondIborTransaction(final BondIborTransaction bond, final YieldCurveBundle curves) {
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();

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Examples of com.opengamma.analytics.financial.interestrate.bond.method.BondTransactionDiscountingMethod.presentValueSensitivity()

  }


  @Override
  public Map<String, List<DoublesPair>> visitBondIborTransaction(final BondIborTransaction bond, final YieldCurveBundle curves) {
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();
    return method.presentValueSensitivity(bond, curves).getSensitivities();
  }


  @Override
  public Map<String, List<DoublesPair>> visitBillSecurity(final BillSecurity bill, final YieldCurveBundle curves) {
    return METHOD_BILL_SECURITY.presentValueCurveSensitivity(bill, curves).getSensitivities();

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRExtrapolationRightMethod.presentValueSensitivity()

    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRExtrapolationRightMethod method = new CapFloorIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorIborSABRMethod.presentValueSensitivity()

    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRMethod method = CapFloorIborSABRMethod.getInstance();
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSDiscountingMethod.presentValueSensitivity()

  }


  @Override
  public Map<String, List<DoublesPair>> visitCouponCMS(final CouponCMS payment, final YieldCurveBundle data) {
    final CouponCMSDiscountingMethod method = CouponCMSDiscountingMethod.getInstance();
    return method.presentValueSensitivity(payment, data).getSensitivities();
  }


  /**
   * Compute the sensitivity of the discount factor at a given time.
   * @param curveName The curve name associated to the discount factor.

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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRExtrapolationRightMethod.presentValueSensitivity()

    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionCashFixedIbor requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborSABRMethod.presentValueSensitivity()

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


  @Override

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