Examples of DayCount

Examples of com.opengamma.financial.convention.daycount.DayCount

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   * @return The present value SABR sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData.getMulticurveProvider());
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
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Examples of com.opengamma.financial.convention.daycount.DayCount

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   */
  public Triple<MultipleCurrencyAmount, MultipleCurrencyMulticurveSensitivity, PresentValueSABRSensitivityDataBundle> presentValueAD(final SwaptionPhysicalFixedIbor swaption,
      final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final DayCount dayCountModification = sabrData.getSABRGenerator().getFixedLegDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double forwardModified = PRDC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData.getMulticurveProvider());
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData.getMulticurveProvider());
    final double maturity = swaption.getMaturityTime();
    // TODO: A better notion of maturity may be required (using period?)
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Examples of com.opengamma.financial.convention.daycount.DayCount

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   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "sabr data");
    final DayCount dayCountModification = sabrData.getSABRParameter().getDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
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Examples of com.opengamma.financial.convention.daycount.DayCount

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   * @return The present value SABR sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "sabr data");
    final DayCount dayCountModification = sabrData.getSABRParameter().getDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
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Examples of com.opengamma.financial.convention.daycount.DayCount

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   * @return The present value curve sensitivity.
   */
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "sabr data");
    final DayCount dayCountModification = sabrData.getSABRParameter().getDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    // Derivative of the forward and pvbp with respect to the rates.
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Examples of com.opengamma.financial.convention.daycount.DayCount

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   * @return The present value SABR sensitivity.
   */
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final SwaptionPhysicalFixedIbor swaption, final SABRInterestRateDataBundle sabrData) {
    ArgumentChecker.notNull(swaption, "swaption");
    ArgumentChecker.notNull(sabrData, "sabr data");
    final DayCount dayCountModification = sabrData.getSABRParameter().getDayCount();
    final double pvbpModified = METHOD_SWAP.presentValueBasisPoint(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double forwardModified = PRC.visitFixedCouponSwap(swaption.getUnderlyingSwap(), dayCountModification, sabrData);
    final double strikeModified = METHOD_SWAP.couponEquivalent(swaption.getUnderlyingSwap(), pvbpModified, sabrData);
    final double maturity = swaption.getMaturityTime();
    final PresentValueSABRSensitivityDataBundle sensi = new PresentValueSABRSensitivityDataBundle();
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public MultipleCurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public MultipleCurrencyMulticurveSensitivity presentValueSecondOrderCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public PresentValueBlackSwaptionSensitivity presentValueBlackSensitivity(final SwaptionPhysicalFixedIbor swaption, final BlackSwaptionFlatProviderInterface blackMulticurves) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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