Examples of SwaptionPhysicalFixedIborDefinition

Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition

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          .withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, CALENDAR), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);
    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 };
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Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinition

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      final SwapSecurity swapSecurity = null; //TODO
      //final DoubleTimeSeries<ZonedDateTime> swapFixingSeries = _swapConverter.convert(swapSecurity, definition, now, curveNames, dataSource);
      //return cashSettled.toDerivative(now, new DoubleTimeSeries[] {swapFixingTS}, curveNames);
    }
    if (definition instanceof SwaptionPhysicalFixedIborDefinition) {
      final SwaptionPhysicalFixedIborDefinition physicallySettled = (SwaptionPhysicalFixedIborDefinition) definition;
      final SwapSecurity swapSecurity = null; //TODO
      //final DoubleTimeSeries<ZonedDateTime> swapFixingSeries = _swapConverter.convert(swapSecurity, definition, now, curveNames, dataSource);
      //return physicallySettled.toDerivative(now, new DoubleTimeSeries[] {swapFixingTS}, curveNames);
    }
    throw new OpenGammaRuntimeException("This converter can only handle SwaptionCashFixedIborDefinition and SwaptionPhysicalFixedIborDefinition");
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