Package com.opengamma.analytics.financial.interestrate.payments.method

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

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    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException(
        "The PresentValueSABRSensitivitySABRExtrapolationRightCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }
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    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValue(payment, sabrBundle).getAmount();
      }
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValueSABRSensitivity(payment, sabrBundle);
      }
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
View Full Code Here
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    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValue(payment, sabrBundle).getAmount();
      }
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod

  • com.opengamma.analytics.financial.interestrate.InterestRateCurveSensitivity
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CapFloorCMS
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRExtrapolationCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRExtrapolationCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRRightExtrapolationCalculator
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