Examples of CouponCMSSABRReplicationMethod

com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod
Class used to compute the price of a CMS coupon by swaption replication on a SABR formula. Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44. OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011. @deprecated {@link SABRInterestRateDataBundle} is deprecated

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod

  public Double visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    Validate.notNull(curves);
    Validate.notNull(payment);
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
      return replication.presentValue(payment, sabrBundle).getAmount();
    }
    throw new UnsupportedOperationException("The PresentValueSABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod

  public Map<String, List<DoublesPair>> visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    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.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod

  public PresentValueSABRSensitivityDataBundle visitCouponCMS(final CouponCMS payment, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(payment, "payment");
    if (curves instanceof SABRInterestRateDataBundle) {
      final SABRInterestRateDataBundle sabrBundle = (SABRInterestRateDataBundle) curves;
      final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
      return replication.presentValueSABRSensitivity(payment, sabrBundle);
    }
    throw new UnsupportedOperationException("The PresentValueSABRSensitivitySABRCalculator visitor visitCouponCMS requires a SABRInterestRateDataBundle as data.");
  }

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Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRReplicationMethod

      throw new MathException(e);
    }
    final double priceCMS = factor * (strikePart + integralPart) * CMS_COUPON_RECEIVER.getNotional() * CMS_COUPON_RECEIVER.getPaymentYearFraction();
    assertEquals(8854.551, priceCMS, 1E-2);
    // Price not verified yet: from previous run.
    final CouponCMSSABRReplicationMethod replication = CouponCMSSABRReplicationMethod.getInstance();
    final double priceCMS_method = replication.presentValue(CMS_COUPON_RECEIVER, sabrBundle).getAmount();
    assertEquals(priceCMS, priceCMS_method, 1.5); // Different precision in integration.
    final double priceCMS_calculator = CMS_COUPON_RECEIVER.accept(PVC, sabrBundle);
    assertEquals(priceCMS_method, priceCMS_calculator, 2E-1);// Different precision in integration.
    final PresentValueCalculator pvcNoConvexity = PresentValueCalculator.getInstance();
    final double priceCMS_noConvexity = CMS_COUPON_RECEIVER.accept(pvcNoConvexity, curves);// Price without convexity adjustment.

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