List of presentValueCurveSensitivity() Examples

Examples of presentValueCurveSensitivity()

com.opengamma.analytics.financial.interestrate.bond.method.BondSecurityDiscountingMethod.presentValueCurveSensitivity()
Computes the present value curve sensitivity of a bond security (without settlement amount payment). @param bond The bond security. @param curves The curve bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValueCurveSensitivity()
Compute the present value sensitivity to rates of a bond future by discounting. @param future The future. @param curves The yield curves. Should contain the credit and repo curves associated. @return The present value rate sensitivity.
com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod.presentValueCurveSensitivity()
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValueCurveSensitivity()
Computes the present value sensitivity to the yield curves of a CMS cap/floor by replication in SABR framework. @param cmsCapFloor The CMS cap/floor. @param sabrData The SABR data bundle. The SABR function need to be the Hagan function. @return The present value sensitivity to curves.
com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()
Computes the present value curves sensitivity of a CMS spread cap/floor in the bi-normal approach. For the CMS cap/floor volatility calibration, ATM forward strikes are used. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValueCurveSensitivity()
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()
Computes the present value curves sensitivity of a CMS spread cap/floor in the bi-normal approach. For the CMS cap/floor volatility calibration, ATM forward strikes are used. @param cmsSpread The CMS spread cap/floor. @param sabrData The SABR data bundle. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValueCurveSensitivity()
Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model with extrapolation to the right. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value curve sensitivity.
com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethod.presentValueCurveSensitivity()
Computes the present value rate sensitivity to rates of a physical delivery European swaption in the SABR model. @param swaption The swaption. @param sabrData The SABR data. The SABR function need to be the Hagan function. @return The present value curve sensitivity.
com.opengamma.analytics.financial.montecarlo.HullWhiteMonteCarloMethod.presentValueCurveSensitivity()
Computes the present value curve sensitivity in the Hull-White one factor model by Monte-Carlo. The sensitivity is computed by Adjoint Algorithmic Differentiation. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param dscName The discounting curve name. @param hwData The Hull-White data (curves and Hull-White parameters). @return The curve sensitivity.
com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValueCurveSensitivity()
Computes the present value curve sensitivity in the Hull-White one factor model by Monte-Carlo. The sensitivity is computed by Adjoint Algorithmic Differentiation. Implementation note: The total number of paths is divided in blocks of maximum size BLOCK_SIZE=1000. The Monte Carlo is run on each block and the average of each block price is the total price. @param instrument The swaption. @param ccy The currency. @param hwData The Hull-White data (curves and Hull-White parameters). @return The curve sensitivity.

Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValueCurveSensitivity()

    System.out.println(nbTest + " pv Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 565 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC delta (40 deltas - 12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1220 ms for 10 Ratchet (20 coupons each).

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Examples of com.opengamma.analytics.financial.montecarlo.provider.HullWhiteMonteCarloMethod.presentValueCurveSensitivity()

    // Performance note: HW MC delta (40 deltas - 12500 paths): 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1220 ms for 10 Ratchet (20 coupons each).


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      pvMC[looptest] = methodMC.presentValue(annuityRatchetIbor20, CUR, HW_MULTICURVES);
      pvcsMC[looptest] = methodMC.presentValueCurveSensitivity(annuityRatchetIbor20, CUR, HW_MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " pv/delta Ratchet Ibor Hull-White MC method: " + (endTime - startTime) + " ms");
    // Performance note: HW MC price (12500 paths) - pv/delta: 07-Dec-12: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 1760 ms for 10 Ratchet (20 coupons each).
  }

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