Examples of toDerivative()

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

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      settleDate[loopexp] = ScheduleCalculator.getAdjustedDate(expiryDate[loopexp], generator.getSpotLag(), CALENDAR);
      for (int loopten = 0; loopten < nbTenor; loopten++) {
        for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
          final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate[loopexp], tenor[loopten], generator, 10000.0, fixedRate[loopstrike], true);
          final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(expiryDate[loopexp], swapDefinition, true);
          swaption[loopexp][loopten][loopstrike] = swaptionDefinition.toDerivative(REFERENCE_DATE);
        }
      }
    }
    final double[][][] pvApprox = new double[nbExpiry][nbTenor][nbStrike];
    final double[][][] volApprox = new double[nbExpiry][nbTenor][nbStrike];
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, MULTICURVES);
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = forward - strikeRange + 3 * strikeRange * loopstrike / nbStrike; // From forward-strikeRange to forward+2*strikeRange
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, HW_MULTICURVES).getAmount(EUR);
      final NormalFunctionData data = new NormalFunctionData(forward, pvbp, 0.01);
      volExplicit[loopstrike] = implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
      volApprox[loopstrike] = implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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    final ZonedDateTime expiryDateExp = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expirationPeriod, EURIBOR6M, CALENDAR);
    final ZonedDateTime settlementDateExp = ScheduleCalculator.getAdjustedDate(expiryDateExp, SPOT_LAG, CALENDAR);
    final double ATM = 0.0151; //  1W: 1.52% - 1M: 1.52% - 1Y: 1.51% - 10Y: 1.51%
    final SwapFixedIborDefinition swapExpx5YDefinition = SwapFixedIborDefinition.from(settlementDateExp, SWAP_TENOR, EUR1YEURIBOR6M, NOTIONAL, ATM, !FIXED_IS_PAYER);
    final SwaptionPhysicalFixedIborDefinition swaptionExpx5YDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapExpx5YDefinition, !IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionExpx5Y = swaptionExpx5YDefinition.toDerivative(REFERENCE_DATE);
    //    final double forward = swaptionExpx5Y.getUnderlyingSwap().accept(PRDC, MULTICURVES);
    final MultipleCurrencyParameterSensitivity pvpsExactExp = PS_HW_C.calculateSensitivity(swaptionExpx5Y, HW_MULTICURVES, HW_MULTICURVES.getMulticurveProvider().getAllNames());
    final double derivativeExactExp = pvpsExactExp.totalSensitivity(MULTICURVES.getFxRates(), EUR);
    final double[] derivative_FDExp = new double[nbShift];
    final double[] diffExp = new double[nbShift];
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition.toDerivative()

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   * Tests the payer/receiver parity for swaptions present value.
   */
  public void presentValuePayerReceiverParity() {
    final SwapFixedIborDefinition swapDefinitionPay = SwapFixedIborDefinition.from(SETTLE_DATE, SWAP_TENOR, GENERATOR_EUR1YEURIBOR6M, NOTIONAL, RATE, true);
    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
    assertEquals("Swaption Black method: present value", pvSwap.getAmount(EUR), pvLR.getAmount(EUR) + pvSP.getAmount(EUR), TOLERANCE_PV);
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Examples of com.opengamma.analytics.financial.instrument.varianceswap.VarianceSwapDefinition.toDerivative()

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  @Test
  public void forwardStarting() {
    // Construct a forward starting swap, Definition
    final VarianceSwapDefinition varSwapDefn = new VarianceSwapDefinition(tPlus2, plus5y, plus5y, obsFreq, ccy, WEEKENDCAL, obsPerYear, volStrike, volNotional);
    // Construct a forward starting swap, Derivative
    varSwapDefn.toDerivative(now, emptyTimeSeries);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  // FIXME Failing on purpose so that we don't forget to extend
  public void weeklyObservations() {
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