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.interestrate.bond.method.BondSecurityDiscountingMethod.presentValueCurveSensitivity()

  }


  @Override
  public Map<String, List<DoublesPair>> visitBondFixedSecurity(final BondFixedSecurity bond, final YieldCurveBundle curves) {
    final BondSecurityDiscountingMethod method = BondSecurityDiscountingMethod.getInstance();
    return method.presentValueCurveSensitivity(bond, curves).getSensitivities();
  }


  @Override
  public Map<String, List<DoublesPair>> visitBondFixedTransaction(final BondFixedTransaction bond, final YieldCurveBundle curves) {
    final BondTransactionDiscountingMethod method = BondTransactionDiscountingMethod.getInstance();

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Examples of com.opengamma.analytics.financial.interestrate.future.method.BondFutureDiscountingMethod.presentValueCurveSensitivity()

  @Override
  public Map<String, List<DoublesPair>> visitBondFuture(final BondFuture bondFuture, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(bondFuture);
    final BondFutureDiscountingMethod method = BondFutureDiscountingMethod.getInstance();
    return method.presentValueCurveSensitivity(bondFuture, curves).getSensitivities();
  }


  @Override
  public Map<String, List<DoublesPair>> visitSwap(final Swap<?, ?> swap, final YieldCurveBundle curves) {
    final Map<String, List<DoublesPair>> senseR = swap.getSecondLeg().accept(this, curves);

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Examples of com.opengamma.analytics.financial.interestrate.future.method.InterestRateFutureOptionMarginTransactionSABRMethod.presentValueCurveSensitivity()

    Validate.notNull(curves);
    Validate.notNull(option);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final InterestRateFutureOptionMarginTransactionSABRMethod method = InterestRateFutureOptionMarginTransactionSABRMethod.getInstance();
      return method.presentValueCurveSensitivity(option, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitInterestRateFutureOptionMarginTransaction requires a SABRInterestRateDataBundle as data.");
  }


}

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRReplicationMethod.presentValueCurveSensitivity()

    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CapFloorCMSSABRReplicationMethod replication = CapFloorCMSSABRReplicationMethod.getDefaultInstance();
      return replication.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()

    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitCapFloorCMS requires a SABRInterestRateDataBundle as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()

      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      if (sabrBundle.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
        final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabrBundle.getSABRParameter();
        final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), CapFloorCMSSABRReplicationMethod.getDefaultInstance(),
            CouponCMSSABRReplicationMethod.getInstance());
        return method.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
      }
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateDataBundle with correlation as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod.presentValueCurveSensitivity()

    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
      return replication.presentValueCurveSensitivity(payment, sabrBundle).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }


  @Override

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Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()

  public MultipleCurrencyMulticurveSensitivity visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
    if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
      // TODO: improve correlation data handling
      final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), _methodExtraCMSCap, _methodExtraCMSCpn);
      return method.presentValueCurveSensitivity(payment, sabr);
    }
    throw new UnsupportedOperationException(
        "The PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSpreadSABRBinormalMethod.presentValueCurveSensitivity()

  public MultipleCurrencyMulticurveSensitivity visitCapFloorCMSSpread(final CapFloorCMSSpread payment, final SABRSwaptionProviderInterface sabr) {
    if (sabr.getSABRParameter() instanceof SABRInterestRateCorrelationParameters) {
      // TODO: improve correlation data handling
      final SABRInterestRateCorrelationParameters sabrCorrelation = (SABRInterestRateCorrelationParameters) sabr.getSABRParameter();
      final CapFloorCMSSpreadSABRBinormalMethod method = new CapFloorCMSSpreadSABRBinormalMethod(sabrCorrelation.getCorrelation(), METHOD_CMS_CAP, METHOD_CMS_CPN);
      return method.presentValueCurveSensitivity(payment, sabr);
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRSwaptionCalculator visitor visitCapFloorCMSSpread requires a SABRInterestRateCorrelationParameters as data.");
  }


  // -----     Annuity     ------

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Examples of com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRExtrapolationRightMethod.presentValueCurveSensitivity()

    Validate.notNull(swaption);
    Validate.notNull(curves);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabr = (SABRInterestRateDataBundle) curves;
      final SwaptionPhysicalFixedIborSABRExtrapolationRightMethod method = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
      return method.presentValueCurveSensitivity(swaption, sabr).getSensitivities();
    }
    throw new UnsupportedOperationException("The PresentValueCurveSensitivitySABRExtrapolationCalculator visitor visitSwaptionPhysicalFixedIbor requires a SABRInterestRateDataBundle as data.");


  }

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