Package com.opengamma.util.money

Examples of com.opengamma.util.money.Currency

769
770
771
772
773
774
775
776
777
778
779
780
  public double spotGammaTheoretical(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double paymentTime = optionForex.getUnderlyingForex().getPaymentTime();
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    boolean isCall;
    if (optionForex.payDomestic()) {
View Full Code Here
813
814
815
816
817
818
819
820
821
822
823
824
  public double forwardGammaTheoretical(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double paymentTime = optionForex.getUnderlyingForex().getPaymentTime();
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    boolean isCall;
    if (optionForex.payDomestic()) {
View Full Code Here
857
858
859
860
861
862
863
864
865
866
867
868
  public double forwardVegaTheoretical(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double paymentTime = optionForex.getUnderlyingForex().getPaymentTime();
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    boolean isCall;
    if (optionForex.payDomestic()) {
View Full Code Here
902
903
904
905
906
907
908
909
910
911
912
913
  public double forwardDriftlessThetaTheoretical(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double paymentTime = optionForex.getUnderlyingForex().getPaymentTime();
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    boolean isCall;
    if (optionForex.payDomestic()) {
View Full Code Here
945
946
947
948
949
950
951
952
953
954
955
956
  public double thetaTheoretical(final ForexOptionDigital optionForex, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "Curves");
    ArgumentChecker.isTrue(curves instanceof SmileDeltaTermStructureDataBundle, "Yield curve bundle should contain smile data");
    final SmileDeltaTermStructureDataBundle smile = (SmileDeltaTermStructureDataBundle) curves;
    final double paymentTime = optionForex.getUnderlyingForex().getPaymentTime();
    final Currency domesticCcy;
    final Currency foreignCcy;
    final double strike;
    final String foreignCurveName;
    final String domesticCurveName;
    boolean isCall;
    if (optionForex.payDomestic()) {
View Full Code Here
126
127
128
129
130
131
132
133
134
135
   * @param future The future.
   * @param issuerMulticurves The issuer and multi-curves provider.
   * @return The present value rate sensitivity.
   */
  public MultipleCurrencyMulticurveSensitivity presentValueCurveSensitivity(final BondFuture future, final IssuerProviderInterface issuerMulticurves) {
    Currency ccy = future.getCurrency();
    final MulticurveSensitivity priceSensitivity = priceCurveSensitivity(future, issuerMulticurves);
    final MultipleCurrencyMulticurveSensitivity transactionSensitivity = MultipleCurrencyMulticurveSensitivity.of(ccy, priceSensitivity.multipliedBy(future.getNotional()));
    return transactionSensitivity;
  }
View Full Code Here
49
50
51
52
53
54
55
56
57
58
59
60
61
  public AnnuityDefinition(final P[] payments, final Calendar calendar) {
    ArgumentChecker.noNulls(payments, "payments");
    ArgumentChecker.isTrue(payments.length > 0, "Have no payments in annuity");
    ArgumentChecker.notNull(calendar, "calendar");
    double amount = payments[0].getReferenceAmount();
    final Currency currency0 = payments[0].getCurrency();
    for (int loopcpn = 1; loopcpn < payments.length; loopcpn++) {
      ArgumentChecker.isTrue(currency0.equals(payments[loopcpn].getCurrency()), "currency not the same for all payments");
      amount = Double.doubleToLongBits(amount) == 0 ? payments[loopcpn].getReferenceAmount() : amount; // amount contains the first non-zero element if any and 0 if not.
    }
    _payments = payments;
    _isPayer = amount < 0;
    _calendar = calendar;
View Full Code Here
74
75
76
77
78
79
80
81
82
83
84
   * @return The price.
   */
  public double price(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(futures, "Future");
    ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
    final Currency ccy = futures.getCurrency();
    ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCf = cfe.getNumberOfPayments();
View Full Code Here
117
118
119
120
121
122
123
124
125
126
127
   */
  // TODO: review Dsc sensitivity
  public MulticurveSensitivity priceCurveSensitivity(final SwapFuturesPriceDeliverableSecurity futures, final HullWhiteOneFactorProviderInterface hwMulticurves) {
    ArgumentChecker.notNull(futures, "Future");
    ArgumentChecker.notNull(hwMulticurves, "Multi-curves with Hull-White");
    final Currency ccy = futures.getCurrency();
    ArgumentChecker.isTrue(hwMulticurves.getHullWhiteCurrency().equals(ccy), "Futures currency incompatible with data");
    final HullWhiteOneFactorPiecewiseConstantParameters parameters = hwMulticurves.getHullWhiteParameters();
    final MulticurveProviderInterface multicurves = hwMulticurves.getMulticurveProvider();
    final AnnuityPaymentFixed cfe = futures.getUnderlyingSwap().accept(CFEC, multicurves);
    final int nbCf = cfe.getNumberOfPayments();
View Full Code Here
123
124
125
126
127
128
129
130
131
132
133
  @Override
  public AnnuityPaymentFixed visitGenericAnnuity(final Annuity<? extends Payment> annuity, final YieldCurveBundle curves) {
    ArgumentChecker.notNull(curves, "curves");
    ArgumentChecker.notNull(annuity, "annuity");
    final TreeMap<Double, Double> flow = new TreeMap<>();
    final Currency ccy = annuity.getCurrency();
    for (final Payment p : annuity.getPayments()) {
      final AnnuityPaymentFixed cfe = p.accept(this, curves);
      for (int loopcf = 0; loopcf < cfe.getNumberOfPayments(); loopcf++) {
        addcf(flow, cfe.getNthPayment(loopcf).getPaymentTime(), cfe.getNthPayment(loopcf).getAmount());
      }
View Full Code Here
TOP

Related Classes of com.opengamma.util.money.Currency

  • com.opengamma.analytics.financial.calculator.PortfolioHedgingCalculator
  • com.opengamma.analytics.financial.forex.method.ForexOptionDigitalBlackMethod
  • com.opengamma.analytics.financial.forex.method.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.provider.ForexDiscountingMethod
  • com.opengamma.analytics.financial.forex.provider.ForexForwardPointsMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionDigitalBlackSmileMethod
  • com.opengamma.analytics.financial.forex.provider.ForexOptionSingleBarrierBlackMethod
  • com.opengamma.analytics.financial.forex.provider.ForexSwapDiscountingMethod
  • com.opengamma.analytics.financial.horizon.ConstantSpreadHorizonThetaCalculator
  • com.opengamma.analytics.financial.interestrate.bond.provider.BillTransactionDiscountingMethod
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.