Examples of MultipleCurrencyAmount


Examples of com.opengamma.util.money.MultipleCurrencyAmount

   * @return The adjustment.
   */
  public double convexityAdjustment(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(futures, "swap futures");
    ArgumentChecker.notNull(hwMulticurves, "parameter provider");
    MultipleCurrencyAmount pv = futures.getUnderlyingSwap().accept(PVDC, hwMulticurves.getMulticurveProvider());
    double price = price(futures, hwMulticurves);
    return price - (1.0d + pv.getAmount(futures.getCurrency()));
  }
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.