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

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


  public Double visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRMethod method = CapFloorIborSABRMethod.getInstance();
      return method.presentValue(cap, sabr).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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  public Map<String, List<DoublesPair>> visitCapFloorIbor(final CapFloorIbor cap, final YieldCurveBundle curves) {
    Validate.notNull(cap);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final CapFloorIborSABRMethod method = CapFloorIborSABRMethod.getInstance();
      return method.presentValueSensitivity(cap, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorIbor requires a SABRInterestRateDataBundle as data.");
  }
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