Package com.opengamma.analytics.financial.interestrate.payments.derivative

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponCMS.accept()

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    final CouponFixed cpnStrike = new CouponFixed(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final CurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1 = cms1.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvCMS2 = cms2.accept(PVC_SABR, SABR_BUNDLE);
    final Double pvStrike = cpnStrike.accept(PVC_SABR, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1 - pvCMS2 - pvStrike, pvCapLong.getAmount() - pvFloorLong.getAmount(), TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
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    assertEquals("CMS spread: Cap/Floor parity", pvCMS1 - pvCMS2 - pvStrike, pvCapLong.getAmount() - pvFloorLong.getAmount(), TOLERANCE_PRICE);
    // Extrapolation
    final CurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_BUNDLE);
    final CurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_BUNDLE);
    final Double pvCMS1Extra = cms1.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    final Double pvCMS2Extra = cms2.accept(PVC_SABR_EXTRA, SABR_BUNDLE);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1Extra - pvCMS2Extra - pvStrike, pvCapLongExtra.getAmount() - pvFloorLongExtra.getAmount(), TOLERANCE_PRICE);
  }

  @Test
  /**
 
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      final YieldAndDiscountCurve bumpedCurveForward = tempCurveForward.withSingleShift(nodeTimesForward[i + 1], deltaShift);
      final YieldCurveBundle curvesBumpedForward = new YieldCurveBundle();
      curvesBumpedForward.addAll(curves);
      curvesBumpedForward.setCurve("Bumped Curve", bumpedCurveForward);
      final SABRInterestRateDataBundle sabrBundleBumped = new SABRInterestRateDataBundle(sabrParameter, curvesBumpedForward);
      final double bumpedpv = cmsBumpedForward.accept(PVC_SABR, sabrBundleBumped);
      final double res = (bumpedpv - pv) / deltaShift;
      final DoublesPair pair = tempForward.get(i);
      assertEquals("Node " + i, nodeTimesForward[i + 1], pair.getFirst(), 1E-8);
      assertEquals("Node " + i, res, pair.getSecond(), deltaTolerance);
    }
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    final CouponFixed cpnStrike = new CouponFixed(EUR, PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, STRIKE);
    // No extrapolation
    final MultipleCurrencyAmount pvCapLong = METHOD_CMS_SPREAD.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorLong = METHOD_CMS_SPREAD.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS1 = cms1.accept(PVSSC, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS2 = cms2.accept(PVSSC, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvStrike = cpnStrike.accept(PVDC, MULTICURVES);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1.getAmount(EUR) - pvCMS2.getAmount(EUR) - pvStrike.getAmount(EUR), pvCapLong.getAmount(EUR) - pvFloorLong.getAmount(EUR), TOLERANCE_PV);
    // Extrapolation
    final MultipleCurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
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    assertEquals("CMS spread: Cap/Floor parity", pvCMS1.getAmount(EUR) - pvCMS2.getAmount(EUR) - pvStrike.getAmount(EUR), pvCapLong.getAmount(EUR) - pvFloorLong.getAmount(EUR), TOLERANCE_PV);
    // Extrapolation
    final MultipleCurrencyAmount pvCapLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_CAP_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvFloorLongExtra = METHOD_CMS_SPREAD_EXTRAPOLATION.presentValue(CMS_FLOOR_SPREAD, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS1Extra = cms1.accept(PVSSXC, SABR_MULTICURVES);
    final MultipleCurrencyAmount pvCMS2Extra = cms2.accept(PVSSXC, SABR_MULTICURVES);
    assertEquals("CMS spread: Cap/Floor parity", pvCMS1Extra.getAmount(EUR) - pvCMS2Extra.getAmount(EUR) - pvStrike.getAmount(EUR), pvCapLongExtra.getAmount(EUR) - pvFloorLongExtra.getAmount(EUR),
        TOLERANCE_PV);
  }

  @Test
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