Examples of TodayPaymentCalculator

Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle shiftedCurves = CURVES_ROLLDOWN.rollDown(data, shiftTime);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(shiftedCurves);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureParametersStrikeInterpolation volatilityData = data.getVolatilityModel();
    final SmileDeltaTermStructureParametersStrikeInterpolation smile = new SmileDeltaTermStructureParametersStrikeInterpolation(volatilityData.getVolatilityTerm(),
        volatilityData.getStrikeInterpolator()) {
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = data.with(data);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1"); // TODO: Update signature of function to take ForwardOrBack
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final ZonedDateTimeDoubleTimeSeries[] fixingSeries, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, fixingSeries, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final ZonedDateTimeDoubleTimeSeries[] shiftedFixingSeries = getDateShiftedTimeSeries(fixingSeries, horizonDate);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, shiftedFixingSeries, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swap");
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final YieldCurveWithBlackSwaptionBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final SwaptionPhysicalFixedIbor swaptionToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final SwaptionPhysicalFixedIbor swaptionTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final YieldCurveWithBlackSwaptionBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final SwaptionCashFixedIbor swaptionToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final SwaptionCashFixedIbor swaptionTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = swaptionToday.accept(paymentCalculator);
    if (paymentToday.size() != 1 || !paymentToday.getCurrencyAmounts()[0].getCurrency().equals(definition.getCurrency())) {
      throw new IllegalStateException("Expecting a single payment in the currency of the swaption");
    }
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final Double lastMarginPrice, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, lastMarginPrice, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future");
    }
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final double valueToday = instrumentToday.accept(pvCalculator, data);

    // Compute cash flows between today and horizon
    // TODO Confirm choice that no payment is made on expiry
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future option");
    }
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Examples of com.opengamma.analytics.financial.provider.calculator.generic.TodayPaymentCalculator

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      final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, yieldCurveNames);
    final ZonedDateTime horizonDate = date.plusDays(daysForward);
    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueMCACalculator pvCalculator = PresentValueMCACalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
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