Examples of SABRInterestRateParameters

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to SABR parameters.
   */
  @Override
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactorTp = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName())
        .getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactorTp / integrantVega.h(forward) * integrantVega.g(forward);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
   * @param sabrData The SABR data bundle. The SABR function need to be the Hagan function.
   * @return The present value sensitivity to strike.
   */
  @Override
  public double presentValueStrikeSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);
    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
   */
  @Override
  public CurrencyAmount presentValue(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    Validate.notNull(cmsCapFloor);
    Validate.notNull(sabrData);
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactorTp = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName())
        .getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSIntegrant integrant = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double strike = cmsCapFloor.getStrike();
    final double factor = discountFactorTp / integrant.h(forward) * integrant.g(forward);
    final double strikePart = factor * integrant.k(strike) * integrant.bs(strike);
 
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
   */
  @Override
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    Validate.notNull(cmsCapFloor);
    Validate.notNull(sabrData);
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime()
        - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    // Common
    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor / integrantDelta.h(forward) * integrantDelta.g(forward);
 
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
  @Override
  public MultipleCurrencyAmount presentValue(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactorTp = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSIntegrant integrant = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double strike = cmsCapFloor.getStrike();
    final double factor = discountFactorTp / integrant.h(forward) * integrant.g(forward);
    final double strikePart = factor * integrant.k(strike) * integrant.bs(strike);
 
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
  @Override
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    // Common
    final CMSIntegrant integrantPrice = new CMSIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final CMSDeltaIntegrant integrantDelta = new CMSDeltaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor / integrantDelta.h(forward) * integrantDelta.g(forward);
 
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
  @Override
  public PresentValueSABRSensitivityDataBundle presentValueSABRSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactorTp = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSVegaIntegrant integrantVega = new CMSVegaIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactorTp / integrantVega.h(forward) * integrantVega.g(forward);
    final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrPoint, _cutOffStrike, cmsCapFloor.getFixingTime(), _mu);
    final EuropeanVanillaOption option = new EuropeanVanillaOption(strike, cmsCapFloor.getFixingTime(), cmsCapFloor.isCap());
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
  @Override
  public double presentValueStrikeSensitivity(final CapFloorCMS cmsCapFloor, final SABRSwaptionProviderInterface sabrData) {
    ArgumentChecker.notNull(cmsCapFloor, "CMA cap/floor");
    ArgumentChecker.notNull(sabrData, "SABR swaption provider");
    final Currency ccy = cmsCapFloor.getCurrency();
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRDC, sabrData.getMulticurveProvider());
    final double discountFactor = sabrData.getMulticurveProvider().getDiscountFactor(ccy, cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    final double maturity = underlyingSwap.getFixedLeg().getNthPayment(underlyingSwap.getFixedLeg().getNumberOfPayments() - 1).getPaymentTime() - cmsCapFloor.getSettlementTime();
    final DoublesPair expiryMaturity = new DoublesPair(cmsCapFloor.getFixingTime(), maturity);
    final double alpha = sabrParameter.getAlpha(expiryMaturity);
    final double beta = sabrParameter.getBeta(expiryMaturity);
    final double rho = sabrParameter.getRho(expiryMaturity);
    final double nu = sabrParameter.getNu(expiryMaturity);
    final SABRFormulaData sabrPoint = new SABRFormulaData(alpha, beta, rho, nu);
    final CMSStrikeIntegrant integrant = new CMSStrikeIntegrant(cmsCapFloor, sabrPoint, forward, _cutOffStrike, _mu);
    final double factor = discountFactor * integrant.g(forward) / integrant.h(forward);
    final double absoluteTolerance = 1.0E-9;
    final double relativeTolerance = 1.0E-5;
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

89
90
91
92
93
94
95
96
97
98
99
   * @param sabrData The SABR data bundle.
   * @return The present value.
   */
  @Override
  public CurrencyAmount presentValue(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final CMSIntegrant integrant = new CMSIntegrant(cmsCapFloor, sabrParameter, forward);
    final double strike = cmsCapFloor.getStrike();
View Full Code Here

Examples of com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters

132
133
134
135
136
137
138
139
140
141
142
   * @return The present value sensitivity to curves.
   */
  @Override
  @SuppressWarnings("synthetic-access")
  public InterestRateCurveSensitivity presentValueCurveSensitivity(final CapFloorCMS cmsCapFloor, final SABRInterestRateDataBundle sabrData) {
    final SABRInterestRateParameters sabrParameter = sabrData.getSABRParameter();
    final SwapFixedCoupon<? extends Payment> underlyingSwap = cmsCapFloor.getUnderlyingSwap();
    final double forward = underlyingSwap.accept(PRC, sabrData);
    final double discountFactor = sabrData.getCurve(underlyingSwap.getFixedLeg().getNthPayment(0).getFundingCurveName()).getDiscountFactor(cmsCapFloor.getPaymentTime());
    final double strike = cmsCapFloor.getStrike();
    // Common
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.