Package com.opengamma.analytics.financial.instrument.payment

Examples of com.opengamma.analytics.financial.instrument.payment.CapFloorCMSDefinition.toDerivative()

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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_RECEIVER_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD_EXTRAPOLATION_CAP.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_EXTRAPOLATION_CAP.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsCapShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsCap, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE);
      final double pvShiftUp = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftUp, SABR_MULTICURVES).getAmount(EUR);
      final double pvShiftDo = METHOD_CAP_CMS_SABR.presentValue(cmsFloorShiftDo, SABR_MULTICURVES).getAmount(EUR);
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD_CAP_CMS_SABR.presentValueStrikeSensitivity(cmsFloor, SABR_MULTICURVES);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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      final CapFloorCMSDefinition cmsCapDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, IS_CAP);
      final CapFloorCMSDefinition cmsCapShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, IS_CAP);
      final CapFloorCMS cmsCap = (CapFloorCMS) cmsCapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftUp = (CapFloorCMS) cmsCapShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsCapShiftDo = (CapFloorCMS) cmsCapShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsCapShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsCapShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsCap, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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      final CapFloorCMSDefinition cmsFloorDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike], !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftUpDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] + shift, !IS_CAP);
      final CapFloorCMSDefinition cmsFloorShiftDoDefinition = CapFloorCMSDefinition.from(CMS_COUPON_DEFINITION, strikes[loopstrike] - shift, !IS_CAP);
      final CapFloorCMS cmsFloor = (CapFloorCMS) cmsFloorDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftUp = (CapFloorCMS) cmsFloorShiftUpDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final CapFloorCMS cmsFloorShiftDo = (CapFloorCMS) cmsFloorShiftDoDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      final double pvShiftUp = METHOD.presentValue(cmsFloorShiftUp, SABR_BUNDLE).getAmount();
      final double pvShiftDo = METHOD.presentValue(cmsFloorShiftDo, SABR_BUNDLE).getAmount();
      final double sensiExpected = (pvShiftUp - pvShiftDo) / (2 * shift);
      final double sensiComputed = METHOD.presentValueStrikeSensitivity(cmsFloor, SABR_BUNDLE);
      errorRelative[loopstrike] = (sensiExpected - sensiComputed) / sensiExpected;
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