Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.GeneratorAttributeFX


    final MulticurveProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getFirst();
    multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst());
    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
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    final MulticurveProviderDiscount multicurves7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getFirst();
    multicurves7.setAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getFirst());
    final CurveBuildingBlockBundle blocks7 = CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(indexEur).getSecond();
    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
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