Examples of HullWhiteOneFactorPiecewiseConstantParameters

com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters
Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.

Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

    ArgumentChecker.notNull(data, "Hull-White data bundle");
    final Pair<String, Currency> issuerCcy = futures.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);
    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

    ArgumentChecker.notNull(data, "Hull-White data bundle");
    final Pair<String, Currency> issuerCcy = futures.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = futures.getDeliveryBasket().length;
    final String issuerName = futures.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, futures.getCurrency(), issuerName);


    final double expiry = futures.getNoticeLastTime();
    final double delivery = futures.getDeliveryLastTime();

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   */
  public MultipleCurrencyAmount visitSwaptionPhysicalFixedIbor(final SwaptionPhysicalFixedIbor swaption, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(swaption, "Swaption");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = swaption.getCurrency();
    final HullWhiteOneFactorPiecewiseConstantParameters hwParameters = new HullWhiteOneFactorPiecewiseConstantParameters(DEFAULT_MEAN_REVERSION, new double[] {0.01}, new double[0]);
    final SuccessiveRootFinderHullWhiteCalibrationObjective objective = new SuccessiveRootFinderHullWhiteCalibrationObjective(hwParameters, ccy);
    final SuccessiveRootFinderHullWhiteCalibrationEngine<SABRSwaptionProviderInterface> calibrationEngine = new SuccessiveRootFinderHullWhiteCalibrationEngine<>(objective);
    // Calibration instruments
    calibrationEngine.addInstrument(swaption, PVSSC);
    // Calibration

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

    ArgumentChecker.notNull(data, "Hull-White data bundle");
    final Pair<String, Currency> issuerCcy = future.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);
    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();
    final double dfdelivery = data.getIssuerProvider().getDiscountFactor(issuerCcy, delivery);

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

    final Currency ccy = future.getCurrency();
    final Pair<String, Currency> issuerCcy = future.getDeliveryBasket()[0].getIssuerCcy();
    ArgumentChecker.isTrue(data.getHullWhiteIssuerCurrency().equals(issuerCcy), "Incompatible data and futures");
    final int nbBond = future.getDeliveryBasket().length;
    final String issuerName = future.getDeliveryBasket()[0].getIssuer();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = data.getHullWhiteParameters();
    final IssuerProviderInterface issuer = data.getIssuerProvider();
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(issuer, future.getCurrency(), issuerName);


    final double expiry = future.getNoticeLastTime();
    final double delivery = future.getDeliveryLastTime();

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   */
  public MultipleCurrencyAmount presentValue(final CapFloorCMS cms, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(cms, "CMS");
    ArgumentChecker.notNull(hwMulticurves, "Hull-White provider");
    Currency ccy = cms.getCurrency();
    HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final double expiryTime = cms.getFixingTime();
    final SwapFixedCoupon<? extends Payment> swap = cms.getUnderlyingSwap();
    final double dfPayment = multicurves.getDiscountFactor(ccy, cms.getPaymentTime());
    final int nbFixed = cms.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   */
  public MultipleCurrencyAmount presentValue(final CouponCMS cms, final HullWhiteOneFactorProviderInterface multicurvesHW) {
    ArgumentChecker.notNull(cms, "CMS");
    ArgumentChecker.notNull(multicurvesHW, "Hull-White provider");
    Currency ccy = cms.getCurrency();
    HullWhiteOneFactorPiecewiseConstantParameters parameters = multicurvesHW.getHullWhiteParameters();
    MulticurveProviderInterface multicurves = multicurvesHW.getMulticurveProvider();
    final double expiryTime = cms.getFixingTime();
    final SwapFixedCoupon<? extends Payment> swap = cms.getUnderlyingSwap();
    final double dfPayment = multicurves.getDiscountFactor(ccy, cms.getPaymentTime());
    final int nbFixed = cms.getUnderlyingSwap().getFixedLeg().getNumberOfPayments();

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CouponCMS cms, final HullWhiteOneFactorProviderInterface multicurvesHW) {
    ArgumentChecker.notNull(cms, "CMS");
    ArgumentChecker.notNull(multicurvesHW, "Hull-White provider");
    Currency ccy = cms.getCurrency();
    HullWhiteOneFactorPiecewiseConstantParameters parameters = multicurvesHW.getHullWhiteParameters();
    MulticurveProviderInterface multicurves = multicurvesHW.getMulticurveProvider();
    final double expiryTime = cms.getFixingTime();
    final SwapFixedCoupon<? extends Payment> swap = cms.getUnderlyingSwap();
    final double payTimeCMS = cms.getPaymentTime();
    final double dfPayment = multicurves.getDiscountFactor(ccy, payTimeCMS);

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final InstrumentDerivative instrument, final Currency ccy, final HullWhiteOneFactorProviderInterface hwData) {
    // TODO: remove currency and dsc curve name (should be available from the instrument)
    final MulticurveProviderInterface multicurves = hwData.getMulticurveProvider();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwData.getHullWhiteParameters();
    final DecisionSchedule decision = instrument.accept(DC, multicurves);
    final double[] decisionTime = decision.getDecisionTime();
    final double[][] impactTime = decision.getImpactTime();
    final int nbJump = decisionTime.length;
    final double numeraireTime = decisionTime[nbJump - 1];

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Examples of com.opengamma.analytics.financial.model.interestrate.definition.HullWhiteOneFactorPiecewiseConstantParameters

   * @param hwData The Hull-White data (curves and Hull-White parameters).
   * @return The curve sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final InstrumentDerivative instrument, final Currency ccy, final HullWhiteOneFactorProviderInterface hwData) {
    final MulticurveProviderInterface multicurves = hwData.getMulticurveProvider();
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwData.getHullWhiteParameters();
    // Forward sweep
    final DecisionScheduleDerivative decision = instrument.accept(DDC, multicurves);
    final double[] decisionTime = decision.getDecisionTime();
    final double[][] impactTime = decision.getImpactTime();
    final int nbJump = decisionTime.length;

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