Examples of replaceCurve()

Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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    final double pvZ0 = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pv, pvZ0, TOLERANCE_PRICE);
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    double pvZ = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    double pvZExpected = METHOD.presentValue(BOND_FIXED_SECURITY_1, shiftedBundle);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected, pvZ, TOLERANCE_PRICE);
    zSpread = 0.0010; // 10bps
    shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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    double pvZ = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    double pvZExpected = METHOD.presentValue(BOND_FIXED_SECURITY_1, shiftedBundle);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected, pvZ, TOLERANCE_PRICE);
    zSpread = 0.0010; // 10bps
    shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    pvZ = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    pvZExpected = METHOD.presentValue(BOND_FIXED_SECURITY_1, shiftedBundle);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZExpected, pvZ, TOLERANCE_PRICE);
    final double pvZ2 = METHOD.presentValueFromZSpread(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", pvZ, pvZ2, 1E-8);
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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  public void zSpreadFromCleanPrice() {
    final double zSpreadExpected = 0.0025; // 25bps
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    final YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpreadExpected);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    final double cleanZSpread = METHOD.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, shiftedBundle);
    final double zSpread = METHOD.zSpreadFromCurvesAndClean(BOND_FIXED_SECURITY_1, CURVES, cleanZSpread);
    assertEquals("Fixed coupon bond security: present value from z-spread", zSpreadExpected, zSpread, 1E-8);
  }
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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  public void zSpreadSensitivityFromCleanPrice() {
    final double zSpread = 0.0025; // 25bps
    final YieldCurveBundle shiftedBundle = new YieldCurveBundle();
    shiftedBundle.addAll(CURVES);
    final YieldAndDiscountCurve shiftedCredit = CURVES.getCurve(CREDIT_CURVE_NAME).withParallelShift(zSpread);
    shiftedBundle.replaceCurve(CREDIT_CURVE_NAME, shiftedCredit);
    final double cleanZSpread = METHOD.cleanPriceFromCurves(BOND_FIXED_SECURITY_1, shiftedBundle);
    final double zsComputed = METHOD.presentValueZSpreadSensitivityFromCurvesAndClean(BOND_FIXED_SECURITY_1, CURVES, cleanZSpread);
    final double zsExpected = METHOD.presentValueZSpreadSensitivity(BOND_FIXED_SECURITY_1, CURVES, zSpread);
    assertEquals("Fixed coupon bond security: z-spread sensitivity", zsExpected, zsComputed, 1E-6);
  }
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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  public double presentValueFromZSpread(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double zSpread) {
    final String discountingCurveName = bond.getDiscountingCurveName();
    final YieldCurveBundle curvesWithZ = new YieldCurveBundle();
    curvesWithZ.addAll(curves);
    final YieldAndDiscountCurve shiftedDiscounting = curves.getCurve(discountingCurveName).withParallelShift(zSpread);
    curvesWithZ.replaceCurve(discountingCurveName, shiftedDiscounting);
    final double result = presentValue(bond, curvesWithZ);
    return result;
  }

  public double presentValueZSpreadSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double zSpread) {
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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  public double presentValueZSpreadSensitivity(final BondSecurity<? extends Payment, ? extends Coupon> bond, final YieldCurveBundle curves, final double zSpread) {
    final String discountingCurveName = bond.getDiscountingCurveName();
    final YieldCurveBundle curvesWithZ = new YieldCurveBundle();
    curvesWithZ.addAll(curves);
    final YieldAndDiscountCurve shiftedDiscounting = curves.getCurve(discountingCurveName).withParallelShift(zSpread);
    curvesWithZ.replaceCurve(discountingCurveName, shiftedDiscounting);
    final StringAmount parallelSensi = presentValueParallelCurveSensitivity(bond, curvesWithZ);
    return parallelSensi.getMap().get(discountingCurveName);

  }
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
    final double[] resDsc = new double[1];
    resDsc[0] = (bumpedPvDsc - pv) / deltaShift;

    final double[] nodeTimesFundingMethod = new double[] {FRA.getPaymentTime() };
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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    yieldsFunding[1] = curveFunding.getInterestRate(nodeTimesFunding[1]);
    final YieldAndDiscountCurve tempCurveFunding = YieldCurve.from(InterpolatedDoublesCurve.fromSorted(nodeTimesFunding, yieldsFunding, new LinearInterpolator1D()));
    final YieldAndDiscountCurve bumpedCurve = tempCurveFunding.withSingleShift(nodeTimesFunding[1], deltaShift);
    final YieldCurveBundle curvesBumped = new YieldCurveBundle();
    curvesBumped.addAll(curves);
    curvesBumped.replaceCurve("Bumped Curve", bumpedCurve);
    final double bumpedPvDsc = FRA_METHOD.presentValue(fraBumped, curvesBumped).getAmount();
    final double[] resDsc = new double[1];
    resDsc[0] = (bumpedPvDsc - pv) / deltaShift;

    final double[] nodeTimesFundingMethod = new double[] {FRA.getPaymentTime()};
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Examples of com.opengamma.analytics.financial.interestrate.YieldCurveBundle.replaceCurve()

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    curvesForeign.setCurve(CURVES_NAME[1], CURVES.getCurve(CURVES_NAME[1]));
    dfForeignBumped = curveBumpedPlus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignPlus = func.evaluate(dataBlack) * notional;
    curvesForeign.replaceCurve(bumpedCurveName, curveBumpedMinus);
    dfForeignBumped = curveBumpedMinus.getDiscountFactor(forexForward.getPaymentTime());
    forwardBumped = SPOT * dfForeignBumped / dfDomestic;
    dataBlack = new BlackFunctionData(forwardBumped, dfDomestic, volatility);
    final double bumpedPvForeignMinus = func.evaluate(dataBlack) * notional;
    final double resultForeign = (bumpedPvForeignPlus - bumpedPvForeignMinus) / (2 * deltaShift);
 
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Examples of com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderDiscount.replaceCurve()

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    final double[] rSpread = new double[R1.length];
    for (int i = 0; i < rSpread.length; i++) {
      rSpread[i] = R1[i] + zSpread;
    }
    final MulticurveProviderDiscount multicurves = new MulticurveProviderDiscount(MULTI_CURVES.copy());
    multicurves.replaceCurve(Currency.EUR, YieldCurve.from(InterpolatedDoublesCurve.from(T, rSpread, INTERPOLATOR)));
    assertEquals(price, PAYMENTS.accept(PV_CALCULATOR, multicurves).getAmount(Currency.EUR), 1e-15);
    assertEquals(price, CALCULATOR.calculatePriceForZSpread(PAYMENTS, MULTI_CURVES, zSpread), 1e-15);
  }

  @Test
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