Package com.opengamma.analytics.financial.interestrate.inflation.derivative

Examples of com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation

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    final double[] referenceEndTime = new double[2];
    referenceEndTime[0] = TimeCalculator.getTimeBetween(date, _referenceEndDates[0]);
    referenceEndTime[1] = TimeCalculator.getTimeBetween(date, _referenceEndDates[1]);
    final ZonedDateTime naturalPaymentDate = getPaymentDate().minusMonths(_monthLag - _conventionalMonthLag);
    final double naturalPaymentEndTime = TimeCalculator.getTimeBetween(date, naturalPaymentDate);
    return new CapFloorInflationZeroCouponInterpolation(getCurrency(), paymentTime, getPaymentYearFraction(), getNotional(), getPriceIndex(), lastKnownFixingTime, fixedStartIndex, referenceEndTime,
        naturalPaymentEndTime, _maturity, _weight, _strike, _isCap);
  }
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    ArgumentChecker.isTrue((instrument instanceof CapFloorInflationZeroCouponInterpolation) || (instrument instanceof CapFloorInflationZeroCouponMonthly),
        "Instrument should be cap inflation year on year.");
    getBasket().add(instrument);
    getCalibrationPrices().add(calibrationPrice);
    if (instrument instanceof CapFloorInflationZeroCouponInterpolation) {
      final CapFloorInflationZeroCouponInterpolation cap = (CapFloorInflationZeroCouponInterpolation) instrument;
      _calibrationTimes.add(cap.getPaymentTime());
      _instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters()
          .getExpiryTimes(), cap.getReferenceEndTime()[1]));
      _instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters().getStrikes(),
          cap.getStrike()));
    }
    if (instrument instanceof CapFloorInflationZeroCouponMonthly) {
      final CapFloorInflationZeroCouponMonthly cap = (CapFloorInflationZeroCouponMonthly) instrument;
      _calibrationTimes.add(cap.getPaymentTime());
      _instrumentExpiryIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters()
          .getExpiryTimes(), cap.getReferenceEndTime()));
      _instrumentStrikeIndex.add(Arrays.binarySearch(((SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective) _calibrationObjective).getInflationCapZeroCouponParameters().getStrikes(),
          cap.getStrike()));
    }

  }
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    final ZonedDateTimeDoubleTimeSeries ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
          DateUtils.getUTCDate(2011, 9, 27),
          DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });

    final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(capZeroCouponUsd, blackInflation);
    final double df = marketSeason.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
    final double forward = finalIndex / indexStart;
    final double timeToMaturity = capZeroCouponUsd.getReferenceEndTime()[1] - capZeroCouponUsd.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + capZeroCouponUsd.getStrike(), capZeroCouponUsd.getMaturity()), timeToMaturity, capZeroCouponUsd.isCap());
    final double volatility = blackInflation.getBlackParameters().getVolatility(capZeroCouponUsd.getReferenceEndTime()[1], capZeroCouponUsd.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final Function1D<BlackFunctionData, Double> func = blackFunction.getPriceFunction(option);
    final double pvExpected = df * func.evaluate(dataBlack) * capZeroCouponUsd.getNotional() * capZeroCouponUsd.getPaymentYearFraction();
    assertEquals("PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(zeroCouponUsd.getCurrency()), 1E-2);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.inflation.derivative.CapFloorInflationZeroCouponInterpolation

  • com.opengamma.analytics.financial.instrument.inflation.CapFloorInflationZeroCouponInterpolationDefinition
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorInflationZeroCouponInterpolationBlackSmileMethodTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationEngine
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