Examples of PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator

        final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Act/360"); //TODO
        final SABRSwaptionProvider sabrData = getSABRSurfaces(executionContext, inputs, target, fxMatrix, dayCount);
        final double strikeCutoff = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
        final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, MultipleCurrencyMulticurveSensitivity> pvcdsc =
            new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(strikeCutoff, mu);
        final ParameterSensitivityParameterCalculator<SABRSwaptionProviderInterface> psc =
            new ParameterSensitivityParameterCalculator<>(pvcdsc);
        final MarketQuoteSensitivityBlockCalculator<SABRSwaptionProviderInterface> calculator =
            new MarketQuoteSensitivityBlockCalculator<>(psc);
        final CurveBuildingBlockBundle blocks = getMergedCurveBuildingBlocks(inputs);

        final String desiredCurveName = desiredValue.getConstraint(CURVE);
        final ValueProperties properties = desiredValue.getConstraints();
        final double cutoffStrike = Double.parseDouble(desiredValue.getConstraint(PROPERTY_STRIKE_CUTOFF));
        final double mu = Double.parseDouble(desiredValue.getConstraint(PROPERTY_MU));
        final InstrumentDerivativeVisitor<SABRSwaptionProviderInterface, ReferenceAmount<Pair<String, Currency>>> calculator =
            new PV01CurveParametersCalculator<>(new PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(cutoffStrike, mu));
        final ReferenceAmount<Pair<String, Currency>> pv01 = derivative.accept(calculator, sabrData);
        final Set<ComputedValue> results = new HashSet<>();
        boolean curveNameFound = false;
        for (final Map.Entry<Pair<String, Currency>, Double> entry : pv01.getMap().entrySet()) {
          final String curveName = entry.getKey().getFirst();

Examples of PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator

Examples of com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator

Examples of com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator