Package com.opengamma.analytics.financial.model.interestrate.curve

Examples of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

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    }
    final NodalDoublesCurve futurePriceData = (NodalDoublesCurve) objectFuturePriceData;

    final Interpolator1D interpolator = CombinedInterpolatorExtrapolatorFactory.getInterpolator(interpolatorName, leftExtrapolatorName, rightExtrapolatorName);

    final ForwardCurve curve = new ForwardCurve(InterpolatedDoublesCurve.from(futurePriceData.getXData(), futurePriceData.getYData(), interpolator));

    final ValueProperties properties = createValueProperties()
        .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardCurveValuePropertyNames.PROPERTY_FUTURE_PRICE_METHOD)
        .with(ValuePropertyNames.CURVE, curveName)
        .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_INTERPOLATOR, interpolatorName)
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    final ValueRequirement forwardCurveRequirement = getForwardCurveRequirement(forwardCurveCalculationMethod, forwardCurveName, currencies);
    final Object forwardCurveObject = inputs.getValue(forwardCurveRequirement);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Forward curve was null");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final double forward = forwardCurve.getForward(tau);
    final double moneyness = getStrike(fxOption, currencyPair) / forward;
    final int timeIndex = SurfaceArrayUtils.getLowerBoundIndex(gridTimes, tau);
    final int spaceIndex = SurfaceArrayUtils.getLowerBoundIndex(gridMoneyness, moneyness);

    final double value1 = forward * pdeGrid.getFunctionValue(spaceIndex, timeIndex);
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    final YieldCurve fundingCurve = (YieldCurve) fundingCurveObject;
    // Dividend type: Discrete or Continuous
    final String dividendType = desiredValue.getConstraint(ValuePropertyNames.DIVIDEND_TYPE);
    boolean isContinuousDividends = ValuePropertyNames.DIVIDEND_TYPE_CONTINUOUS.equalsIgnoreCase(dividendType);
    // Compute ForwardCurve
    final ForwardCurve forwardCurve;
    if (isContinuousDividends) {
      // Cost of Carry - if no dividend yield available set 0 cost of carry
      final Double dividendYieldObject = (Double) inputs.getValue(MarketDataRequirementNames.DIVIDEND_YIELD);
      final double dividendYield = dividendYieldObject == null ? 0.0 : dividendYieldObject.doubleValue();
      final YieldCurve costOfCarryCurve = YieldCurve.from(ConstantDoublesCurve.from(dividendYield, "CostOfCarry"));
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    final double spot = (Double) spotObject;

    final double expiry = TimeCalculator.getTimeBetween(ZonedDateTime.now(executionContext.getValuationClock()), security.getLastObservationDate());
    final double discountFactor = discountCurve.getDiscountFactor(expiry);
    ArgumentChecker.isTrue(Double.doubleToLongBits(discountFactor) != 0, "The discount curve has returned a zero value for a discount bond. Check rates.");
    final ForwardCurve forwardCurve = new ForwardCurve(spot, discountCurve.getCurve()); //TODO change this

    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountCurve, forwardCurve);
    final ValueSpecification resultSpec = getValueSpecification(target, curveName, curveCalculationConfig, surfaceName);
    // 3. Compute and return the value (ComputedValue)
    return computeValues(resultSpec, inputs, deriv, market);
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    }
    final Object forwardCurveObject = inputs.getValue(getForwardCurveRequirement(target, forwardCurveCalculationMethod, forwardCurveName));
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Forward curve was null");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final BlackVolatilitySurface<?> impliedVolatilitySurface = (BlackVolatilitySurface<?>) impliedVolatilitySurfaceObject;
    final ValueProperties properties = getResultProperties(surfaceName, surfaceType, xAxis, yAxis, yAxisType, forwardCurveCalculationMethod, forwardCurveName, hName);
    final DupireLocalVolatilityCalculator calculator = new DupireLocalVolatilityCalculator(h);
    final LocalVolatilitySurface<?> localVolatilitySurface = calculator.getLocalVolatilitySurface(impliedVolatilitySurface, forwardCurve);
    final ValueSpecification spec = new ValueSpecification(ValueRequirementNames.LOCAL_VOLATILITY_SURFACE, target.toSpecification(), properties);
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    // 3. Forward Curve
    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
    return market;
  }
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    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Object, Object> volatilitySurface = (VolatilitySurfaceData<Object, Object>) volatilitySurfaceObject;
    return BlackVolatilitySurfaceUtils.getDataFromStandardQuotes(forwardCurve, volatilitySurface);
  }
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    }
    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    @SuppressWarnings("unchecked")
    final VolatilitySurfaceData<Tenor, Pair<Number, FXVolQuoteType>> fxVolatilitySurface = (VolatilitySurfaceData<Tenor, Pair<Number, FXVolQuoteType>>) volatilitySurfaceObject;
    return BlackVolatilitySurfaceUtils.getDataFromStrangleRiskReversalQuote(forwardCurve, fxVolatilitySurface);
  }
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        throw new OpenGammaRuntimeException("Null or non-unique FX forward curve names: " + fxForwardCurveNames);
      }
      final YieldCurve payCurve = (YieldCurve) payCurveObject;
      final YieldCurve receiveCurve = (YieldCurve) receiveCurveObject;
      final String fxForwardCurveName = fxForwardCurveNames.iterator().next();
      final ForwardCurve fxForwardCurve = new ForwardCurveYieldImplied(spot, payCurve, receiveCurve);
      final ValueProperties properties = createValueProperties()
          .with(ValuePropertyNames.CURVE, fxForwardCurveName)
          .with(ForwardCurveValuePropertyNames.PROPERTY_FORWARD_CURVE_CALCULATION_METHOD, ForwardCurveValuePropertyNames.PROPERTY_YIELD_CURVE_IMPLIED_METHOD)
          .with(ValuePropertyNames.PAY_CURVE, Iterables.getOnlyElement(payCurveNames))
          .with(ValuePropertyNames.PAY_CURVE_CALCULATION_CONFIG, Iterables.getOnlyElement(payCurveCalculationConfigs))
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    final ValueRequirement forwardCurveRequirement = getForwardCurveRequirement(forwardCurveCalculationMethod, forwardCurveName, id);
    final Object forwardCurveObject = inputs.getValue(forwardCurveRequirement);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Forward curve was null");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final ValueRequirement volDataRequirement = getUnderlyingVolatilityDataRequirement(surfaceName, id);
    final SmileSurfaceDataBundle data = getData(inputs, volDataRequirement, forwardCurveRequirement);
    final FXOptionSecurity fxOption = (FXOptionSecurity) security;
    final CurrencyPairs currencyPairs = OpenGammaExecutionContext.getCurrencyPairsSource(executionContext).getCurrencyPairs(CurrencyPairs.DEFAULT_CURRENCY_PAIRS);
    final CurrencyPair currencyPair = currencyPairs.getCurrencyPair(fxOption.getPutCurrency(), fxOption.getCallCurrency());
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Related Classes of com.opengamma.analytics.financial.model.interestrate.curve.ForwardCurve

  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapBackwardsPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapForwardPurePDE
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplication
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVarianceSwapStaticReplicationPricer
  • com.opengamma.analytics.financial.equity.variance.pricing.EquityVolatilityToPureVolatilitySurfaceConverter
  • com.opengamma.analytics.financial.equity.variance.VarianceSwapWithDividendsTest
  • com.opengamma.analytics.financial.interestrate.curve.ForwardCurveTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.LocalVolPDEPricerTest
  • com.opengamma.analytics.financial.model.finitedifference.applications.PDE1DCoefficientsProvider
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