Examples of toDerivative()

Examples of com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition.toDerivative()

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    for (int looptest = 0; looptest < nbTest; looptest++) {
      totalValue += pv[looptest];
    }
    startTime = System.currentTimeMillis();
    oidUsd5YDefinition = SwapFixedONDefinition.from(START_ACCRUAL_DATE, tenor, NOTIONAL, OIS_USD_GENERATOR, USD_FIXED_RATE, IS_PAYER);
    ois = oidUsd5YDefinition.toDerivative(referenceDate, CURVES_NAMES_2[0], CURVES_NAMES_2[0]);
    endTime = System.currentTimeMillis();
    System.out.println("OIS swap " + tenor + " (construction): " + (endTime - startTime) + " ms");

    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
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Examples of com.opengamma.analytics.financial.instrument.swap.SwapIborIborDefinition.toDerivative()

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    final Swap<Coupon, Coupon> swap = SWAP_IBORSPREAD_IBORSPREAD_DEFINITION.toDerivative(referenceDate);
    final double parSpread = swap.accept(PSMQDC, MULTICURVES);
    final SwapIborIborDefinition swap0Definition = new SwapIborIborDefinition(
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR3M, SPREAD3 + parSpread, true, NYC),
        AnnuityCouponIborSpreadDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, NOTIONAL, USDLIBOR6M, SPREAD6, false, NYC));
    final Swap<Coupon, Coupon> swap0 = swap0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv = swap0.accept(PVDC, MULTICURVES);
    assertEquals("ParSpreadCalculator: fixed-coupon swap", pv.getAmount(swap.getFirstLeg().getCurrency()), 0, TOLERANCE_PV);
  }

  @Test
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionBermudaFixedIborDefinition.toDerivative()

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   * Test the present value long/short parity.
   */
  public void longShortParity() {
    final MultipleCurrencyAmount pvLong = METHOD_BERMUDA.presentValue(BERMUDA_SWAPTION, HW_MULTICURVES);
    final SwaptionBermudaFixedIborDefinition bermudaShortDefinition = new SwaptionBermudaFixedIborDefinition(EXPIRY_SWAP_DEFINITION, !IS_LONG, EXPIRY_DATE);
    final SwaptionBermudaFixedIbor bermudShort = bermudaShortDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvShort = METHOD_BERMUDA.presentValue(bermudShort, HW_MULTICURVES);
    assertEquals("Bermuda swaption pv: short/long parity", pvLong.getAmount(CUR), -pvShort.getAmount(CUR), TOLERANCE_PV);
  }

  @Test(enabled = false)
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition.toDerivative()

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   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, HW_MULTICURVES);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(EUR), pvScaled.getAmount(EUR), TOLERANCE_PV);
  }

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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition.toDerivative()

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    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition.toDerivative()

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      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
    }
  }
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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  public void testPresentValueConventionArbitrage() {
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/360"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount price360 = METHOD_SWPT_SABR.presentValue(swaption360, SABR_MULTICURVES);
    final MultipleCurrencyAmount price365 = METHOD_SWPT_SABR.presentValue(swaption365, SABR_MULTICURVES);
    assertEquals("SwaptionPhysicalFixedIborSABRMethod: presentValue", price360.getAmount(EUR), price365.getAmount(EUR), TOLERANCE_PV);
  }
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, TARGET), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapPayerHighStrike, !IS_LONG);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapReceiverHighStrike, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE);
    final SwaptionPhysicalFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount priceLongPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceShortPayer = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionShortPayerHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiver = METHOD_SABR_EXTRAPOLATION.presentValue(swaptionLongReceiverHighStrike, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongPayerSABR = swaptionLongPayerHighStrike.accept(PVSSXC, SABR_MULTICURVES);
    final MultipleCurrencyAmount priceLongReceiverSABR = swaptionLongReceiverHighStrike.accept(PVSSXC, SABR_MULTICURVES);
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