Examples of withNotional()

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    // Forward sweep
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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   */
  public CurrencyAmount presentValue(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CapFloorCMSSpread cmsSpread, final SABRInterestRateDataBundle sabrData) {
    // Forward sweep
    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRC, sabrData);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRC, sabrData);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount();
    final double cmsCoupon2Pv = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount();
    final double cmsCap1Pv = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount();
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final Currency ccy = cmsSpread.getCurrency();
    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final double forward1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double forward2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, forward1, true);
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, forward2, true);
    final double cmsCoupon1Price = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Price = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Price = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final MulticurveProviderInterface multicurves = sabrData.getMulticurveProvider();
    // Forward sweep
    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.withNotional()

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    final double strike1 = cmsSpread.getUnderlyingSwap1().accept(PRDC, multicurves);
    final double strike2 = cmsSpread.getUnderlyingSwap2().accept(PRDC, multicurves);
    CouponCMS cmsCoupon1 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap1(), cmsSpread.getSettlementTime());
    cmsCoupon1 = cmsCoupon1.withNotional(Math.abs(cmsCoupon1.getNotional()));
    CouponCMS cmsCoupon2 = CouponCMS.from(cmsSpread, cmsSpread.getUnderlyingSwap2(), cmsSpread.getSettlementTime());
    cmsCoupon2 = cmsCoupon2.withNotional(Math.abs(cmsCoupon2.getNotional()));
    final CapFloorCMS cmsCap1 = CapFloorCMS.from(cmsCoupon1, strike1, true); // ATM forward cap CMS
    final CapFloorCMS cmsCap2 = CapFloorCMS.from(cmsCoupon2, strike2, true); // ATM forward cap CMS
    final double cmsCoupon1Pv = _methodCmsCoupon.presentValue(cmsCoupon1, sabrData).getAmount(ccy);
    final double cmsCoupon2Pv = _methodCmsCoupon.presentValue(cmsCoupon2, sabrData).getAmount(ccy);
    final double cmsCap1Pv = _methodCmsCap.presentValue(cmsCap1, sabrData).getAmount(ccy);
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