Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.PresentValueBlackSwaptionSensitivity

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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackSwaptionFlatProvider blackData = getSwaptionBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueBlackSwaptionSensitivity sensitivities = derivative.accept(CALCULATOR, blackData);
        final HashMap<DoublesPair, Double> result = sensitivities.getSensitivity().getMap();
        if (result.size() != 1) {
          throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
        }
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
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      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackSwaptionFlatProvider blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final PresentValueBlackSwaptionSensitivity sensitivities = derivative.accept(CALCULATOR, blackData);
        final double vega = sensitivities.getSensitivity().toSingleValue();
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, vega));
      }
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    super(ValueRequirementNames.VALUE_VEGA);
  }

  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative swaption, final YieldCurveWithBlackSwaptionBundle data, final ValueSpecification spec) {
    final PresentValueBlackSwaptionSensitivity sensitivities = swaption.accept(CALCULATOR, data);
    final HashMap<DoublesPair, Double> result = sensitivities.getSensitivity().getMap();
    if (result.size() != 1) {
      throw new OpenGammaRuntimeException("Expecting only one result for Black value vega");
    }
    return Collections.singleton(new ComputedValue(spec, result.values().iterator().next()));
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.PresentValueBlackSwaptionSensitivity

  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionCashFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedCompoundedONCompoundedBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionCashFixedIborBlackMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethodTest
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