Examples of DayCount

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

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  public CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public InterestRateCurveSensitivity presentValueCurveSensitivity(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.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 YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.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 double forwardDeltaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public double forwardGammaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public double driftlessThetaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public double forwardThetaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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Examples of com.opengamma.financial.convention.daycount.DayCount

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  public double forwardVegaTheoretical(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
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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 CurrencyAmount presentValue(final SwaptionPhysicalFixedIbor swaption, final YieldCurveWithBlackSwaptionBundle curveBlack) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    Calendar calendar;
    DayCount dayCountModification;
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
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