Examples of CapFloorCMSSABRReplicationMethod

com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod
Class used to compute the price of a CMS cap/floor by swaption replication on a SABR formula. Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44. OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011. @deprecated {@link SABRInterestRateDataBundle} is deprecated

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod

  public Double visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValue(payment, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod

  public Map<String, List<DoublesPair>> visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod

  public PresentValueSABRSensitivityDataBundle visitCapFloorCMS(final CapFloorCMS payment, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueSABRSensitivity(payment, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }

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