Package com.opengamma.analytics.financial.model.option.parameters

Examples of com.opengamma.analytics.financial.model.option.parameters.BlackSmileCapInflationZeroCouponParameters

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   * Sets the year on year cap/floor curve bundle using the Hull-White parameters and a given set of curves.
   * @param inflation The multi-curves provider.
   */
  @Override
  public void setInflation(final InflationProviderInterface inflation) {
    _inflationCapZeroCouponProvider = new BlackSmileCapInflationZeroCouponProvider(inflation, new BlackSmileCapInflationZeroCouponParameters(_inflationCapZeroCouponParameters));
  }
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    // setting the volatility in the volatility matrix
    _inflationCapZeroCouponParameters.setVolatility(x, _expiryIndex, _strikeIndex);
    // creating the new volatility surface using the new volatility matrix
    final Interpolator2D interpolator = _inflationCapZeroCouponProvider.getBlackParameters().getVolatilitySurface().getInterpolator();
    final BlackSmileCapInflationZeroCouponParameters blackSmileCapInflationZeroCouponParameters = new BlackSmileCapInflationZeroCouponParameters(_inflationCapZeroCouponParameters, interpolator);
    final BlackSmileCapInflationZeroCouponProvider blackSmileCapInflationZeroCouponProvider = new BlackSmileCapInflationZeroCouponProvider(_inflationCapZeroCouponProvider.getInflationProvider(),
        blackSmileCapInflationZeroCouponParameters);

    return _inflationCapZeroCouponProvider.getMulticurveProvider().getFxRates().convert(getInstrument().accept(PVIC, blackSmileCapInflationZeroCouponProvider), _ccyInflationcapZeroCoupon).getAmount()
        - getPrice();
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    // We tests if we
    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][CAPS[0].length];
    for (int loop1 = 0; loop1 < STRIKES.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        final Interpolator2D interpolator = objective.getInflationCapZeroCouponProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationZeroCouponParameters CalibratedBlackSmileCapInflationZeroCouponParameters = new BlackSmileCapInflationZeroCouponParameters(
            objective.getInflationCapZeroCouponParameters(), interpolator);
        final BlackSmileCapInflationZeroCouponProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationZeroCouponProvider(objective.getInflationCapZeroCouponProvider()
            .getInflationProvider(),
            CalibratedBlackSmileCapInflationZeroCouponParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS[loop1][loop2], CalibratedBlackSmileCapInflationYearOnYearProvider);
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    // We tests if we
    final MultipleCurrencyAmount[][] pvCapYearOnYear = new MultipleCurrencyAmount[STRIKES.length][CAPS[0].length];
    for (int loop1 = 0; loop1 < STRIKES.length; loop1++) {
      for (int loop2 = 0; loop2 < availabelTenor.length; loop2++) {
        final Interpolator2D interpolator = objective.getInflationCapZeroCouponProvider().getBlackParameters().getVolatilitySurface().getInterpolator();
        final BlackSmileCapInflationZeroCouponParameters CalibratedBlackSmileCapInflationZeroCouponParameters = new BlackSmileCapInflationZeroCouponParameters(
            objective.getInflationCapZeroCouponParameters(), interpolator);
        final BlackSmileCapInflationZeroCouponProvider CalibratedBlackSmileCapInflationYearOnYearProvider = new BlackSmileCapInflationZeroCouponProvider(objective.getInflationCapZeroCouponProvider()
            .getInflationProvider(),
            CalibratedBlackSmileCapInflationZeroCouponParameters);
        pvCapYearOnYear[loop1][loop2] = METHOD.presentValue(CAPS[loop1][loop2], CalibratedBlackSmileCapInflationYearOnYearProvider);
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Related Classes of com.opengamma.analytics.financial.model.option.parameters.BlackSmileCapInflationZeroCouponParameters

  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponCalibrationObjectiveTest
  • com.opengamma.analytics.financial.interestrate.inflation.provider.CapFloorZeroCouponInterpolationCalibrationObjectiveTest
  • com.opengamma.analytics.financial.provider.method.SuccessiveRootFinderInflationZeroCouponCapFloorCalibrationObjective
  • com.opengamma.analytics.math.interpolation.GridInterpolator2D
  • com.opengamma.analytics.math.interpolation.Interpolator1D
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