Examples of StaticReplicationDataBundle

Examples of com.opengamma.analytics.financial.equity.StaticReplicationDataBundle

168
169
170
171
172
173
174
175
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;

    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
    return market;
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.equity.StaticReplicationDataBundle

101
102
103
104
105
106
107
108
109
110
111
    final InstrumentDerivative derivative = defn.toDerivative(now);
    final double timeToExpiry = derivative.accept(LastTimeCalculator.getInstance());
    if (timeToExpiry < 0.0) {
      throw new OpenGammaRuntimeException("Future option " + security + " has already settled.");
    }
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final ValueProperties resultProperties = desiredValue.getConstraints().copy()
        .with(ValuePropertyNames.FUNCTION, getUniqueId())
        .get();
    return computeValues(derivative, market, inputs, desiredValues, target.toSpecification(), resultProperties);
View Full Code Here

Examples of com.opengamma.analytics.financial.equity.StaticReplicationDataBundle

144
145
146
147
148
149
150
151
    final Object forwardCurveObject = inputs.getValue(ValueRequirementNames.FORWARD_CURVE);
    if (forwardCurveObject == null) {
      throw new OpenGammaRuntimeException("Could not get forward curve");
    }
    final ForwardCurve forwardCurve = (ForwardCurve) forwardCurveObject;
    final StaticReplicationDataBundle market = new StaticReplicationDataBundle(blackVolSurf, discountingCurve, forwardCurve);
    return market;
  }
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.