Examples of InflationProviderInterface

Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {

    final InflationProviderInterface creditDiscounting = MARKET.withDiscountFactor(BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency(),
        new ObjectsPair<>(BOND_TIPS_1_TRANSACTION.getBondTransaction().getIssuer(), BOND_TIPS_1_TRANSACTION.getBondTransaction().getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_TIPS_1_TRANSACTION.getBondTransaction().getNominal().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_TIPS_1_TRANSACTION.getBondTransaction().getCoupon().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon);

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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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  /**
   * Test the present value curves sensitivity.
   */
  public void presentValueCurveSensitivity() {

    final InflationProviderInterface creditDiscounting = MARKET.withDiscountFactor(BOND_SECURITY_GILT_1.getCurrency(),
        new ObjectsPair<>(BOND_SECURITY_GILT_1.getIssuer(), BOND_SECURITY_GILT_1.getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = BOND_SECURITY_GILT_1.getNominal().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = BOND_SECURITY_GILT_1.getCoupon().accept(PVCSDC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity pvcisCalculated = sensitivityNominal.plus(sensitivityCoupon);

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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @param provider The provider.
   * @return The present value.
   */
  public MultipleCurrencyAmount presentValue(final BondCapitalIndexedSecurity<?> bond, final InflationIssuerProviderInterface provider) {
    ArgumentChecker.notNull(bond, "Bond");
    final InflationProviderInterface creditDiscounting = provider.withDiscountFactor(bond.getCurrency(), new ObjectsPair<>(bond.getIssuer(), bond.getCurrency()));
    final MultipleCurrencyAmount pvNominal = bond.getNominal().accept(PVIC, creditDiscounting);
    final MultipleCurrencyAmount pvCoupon = bond.getCoupon().accept(PVIC, creditDiscounting);
    return pvNominal.plus(pvCoupon);
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @param provider The provider.
   * @return The present value.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final BondCapitalIndexedSecurity<?> bond, final InflationIssuerProviderInterface provider) {
    ArgumentChecker.notNull(bond, "Bond");
    final InflationProviderInterface creditDiscounting = provider.withDiscountFactor(bond.getCurrency(), new ObjectsPair<>(bond.getIssuer(), bond.getCurrency()));
    final MultipleCurrencyInflationSensitivity sensitivityNominal = bond.getNominal().accept(PVCSIC, creditDiscounting);
    final MultipleCurrencyInflationSensitivity sensitivityCoupon = bond.getCoupon().accept(PVCSIC, creditDiscounting);
    return sensitivityNominal.plus(sensitivityCoupon);
  }
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double forward = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()) / cap.getIndexStartValue();
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearInterpolation cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime()[1] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[0]);
    final double priceIndexStart1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime()[1]);
    final double priceIndexStart = cap.getWeightStart() * priceIndexStart0 + (1 - cap.getWeightStart()) * priceIndexStart1;
    final double priceIndexEnd0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double priceIndexEnd1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double priceIndexEnd = cap.getWeightEnd() * priceIndexEnd0 + (1 - cap.getWeightEnd()) * priceIndexEnd1;
    final double forward = priceIndexEnd / priceIndexStart - 1;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeightEnd() / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeightEnd()) / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[0], -cap.getWeightStart() * priceIndexEnd / (priceIndexStart * priceIndexStart)));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime()[1], -(1 - cap.getWeightStart()) * priceIndexEnd / (priceIndexStart * priceIndexStart)));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationYearOnYearMonthly cap, final BlackSmileCapInflationYearOnYearProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(cap.getStrike(), timeToMaturity, cap.isCap());
    final double priceIndexStart = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceStartTime());
    final double priceIndexEnd = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime());
    final double forward = priceIndexEnd / priceIndexStart - 1;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / priceIndexStart));
    listPrice.add(new DoublesPair(cap.getReferenceStartTime(), -priceIndexEnd / (priceIndexStart * priceIndexStart)));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final NormalFunctionData dataBlack = new NormalFunctionData(forward, 1.0, volatility);
    final double[] priceDerivatives = new double[3];
    final double bsAdjoint = NORMAL_FUNCTION.getPriceAdjoint(option, dataBlack, priceDerivatives);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint);
    result = result.plus(forwardDi.multipliedBy(df * priceDerivatives[0]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationZeroCouponInterpolation cap, final BlackSmileCapInflationZeroCouponProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime()[1] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double indexEndValue0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double indexEndValue1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double indexEndValue = cap.getWeight() * indexEndValue0 + (1 - cap.getWeight()) * indexEndValue1;
    final double forward = indexEndValue / cap.getIndexStartValue();
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeight() / cap.getIndexStartValue()));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationZeroCouponInterpolation cap,
      final BlackSmileCapInflationZeroCouponWithConvexityProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime()[0] - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double indexEndValue0 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[0]);
    final double indexEndValue1 = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()[1]);
    final double indexEndValue = cap.getWeight() * indexEndValue0 + (1 - cap.getWeight()) * indexEndValue1;
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getZeroCouponConvexityAdjustment(cap, black);
    final double forward = indexEndValue / cap.getIndexStartValue() * convexityAdjustment;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[0], cap.getWeight() / cap.getIndexStartValue() * convexityAdjustment));
    listPrice.add(new DoublesPair(cap.getReferenceEndTime()[1], (1 - cap.getWeight()) / cap.getIndexStartValue() * convexityAdjustment));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime()[1], cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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Examples of com.opengamma.analytics.financial.provider.description.inflation.InflationProviderInterface

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   * @return The present value curve sensitivity.
   */
  public MultipleCurrencyInflationSensitivity presentValueCurveSensitivity(final CapFloorInflationZeroCouponMonthly cap, final BlackSmileCapInflationZeroCouponWithConvexityProviderInterface black) {
    ArgumentChecker.notNull(cap, "The cap/floor shoud not be null");
    ArgumentChecker.notNull(black, "Black provider");
    final InflationProviderInterface inflation = black.getInflationProvider();
    final double timeToMaturity = cap.getReferenceEndTime() - cap.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + cap.getStrike(), cap.getMaturity()), timeToMaturity, cap.isCap());
    final double convexityAdjustment = CONVEXITY_ADJUSTMENT_FUNCTION.getZeroCouponConvexityAdjustment(cap, black);
    final double forward = black.getInflationProvider().getPriceIndex(cap.getPriceIndex(), cap.getReferenceEndTime()) / cap.getIndexStartValue() * convexityAdjustment;
    final double df = black.getMulticurveProvider().getDiscountFactor(cap.getCurrency(), cap.getPaymentTime());
    final Map<String, List<DoublesPair>> resultMapPrice = new HashMap<>();
    final List<DoublesPair> listPrice = new ArrayList<>();
    listPrice.add(new DoublesPair(cap.getReferenceEndTime(), 1 / cap.getIndexStartValue()));
    resultMapPrice.put(inflation.getName(cap.getPriceIndex()), listPrice);
    final InflationSensitivity forwardDi = InflationSensitivity.ofPriceIndex(resultMapPrice);
    final double dfDr = -cap.getPaymentTime() * df;
    final double volatility = black.getBlackParameters().getVolatility(cap.getReferenceEndTime(), cap.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);
    final double[] bsAdjoint = BLACK_FUNCTION.getPriceAdjoint(option, dataBlack);
    final List<DoublesPair> list = new ArrayList<>();
    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(inflation.getName(cap.getCurrency()), list);
    InflationSensitivity result = InflationSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDi.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyInflationSensitivity.of(cap.getCurrency(), result);
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