Examples of SABRSwaptionProvider

com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider
Implementation for swaption SABR parameters provider for one underlying when multi-curves are described by a MulticurveProviderDiscount.

Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };
    final double[] sensiComputed = new double[] {pvss.getAlpha().toSingleValue(), pvss.getRho().toSingleValue(), pvss.getNu().toSingleValue() };
    final double[] sensiExpected = new double[shift.length];
    SABRInterestRateParameters sabrParameterShift;
    SABRSwaptionProvider sabrBundleShift;
    for (int loopp = 0; loopp < shift.length; loopp++) {
      sabrParameterShift = SABRDataSets.createSABR1ParameterBumped(shift[loopp], loopp);
      sabrBundleShift = new SABRSwaptionProvider(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
      final MultipleCurrencyAmount pvShiftPlus = METHOD_SABR_LMM_ATBEST.presentValue(swaptionAmortized, sabrBundleShift);
      sabrParameterShift = SABRDataSets.createSABR1ParameterBumped(-shift[loopp], loopp);
      sabrBundleShift = new SABRSwaptionProvider(MULTICURVES, sabrParameterShift, EUR1YEURIBOR6M);
      final MultipleCurrencyAmount pvShiftMinus = METHOD_SABR_LMM_ATBEST.presentValue(swaptionAmortized, sabrBundleShift);
      sensiExpected[loopp] = (pvShiftPlus.getAmount(EUR) - pvShiftMinus.getAmount(EUR)) / (2 * shift[loopp]);
      assertEquals("SwaptionPhysicalFixedIborLMM: Calibration at best - SABR sensitivity " + loopp, sensiExpected[loopp], sensiComputed[loopp], toleranceSABRSensi[loopp]);
    }

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final MultipleCurrencyAmount mca = derivative.accept(CALCULATOR, sabrData);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final Currency currency = FinancialSecurityUtils.getCurrency(target.getTrade().getSecurity());
        final ValueSpecification spec = new ValueSpecification(PRESENT_VALUE, target.toSpecification(), properties);

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(CALCULATOR, sabrData);
        final Set<ComputedValue> results = new HashSet<>();

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final ValueRequirement desiredValue = desiredValues.iterator().next();
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final double strikeCutoff = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
        final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyMulticurveSensitivity> pvcdsc =
            new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(strikeCutoff, mu);
        final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> psc =

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final Set<ComputedValue> result = new HashSet<>();
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);
        final MultipleCurrencyParameterSensitivity sensitivities = CALCULATOR.fromInstrument(derivative, sabrData, blocks);
        for (final ValueRequirement desiredValue : desiredValues) {
          final ValueSpecification spec = new ValueSpecification(BLOCK_CURVE_SENSITIVITIES, target.toSpecification(), desiredValue.getConstraints().copy().get());
          result.add(new ComputedValue(spec, sensitivities));

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final double cutoffStrike = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));

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Examples of com.opengamma.analytics.financial.provider.description.interestrate.SABRSwaptionProvider

      @Override
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final double strikeCutoff = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
        final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyAmount> calculator =
            new PresentValueSABRSwaptionRightExtrapolationCalculator(strikeCutoff, mu);

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