Package com.opengamma.analytics.financial.instrument.swap

Examples of com.opengamma.analytics.financial.instrument.swap.SwapDefinition.toDerivative()


    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
    //    int t = 0;
View Full Code Here


    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(1).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final GeneratorAttributeFX attr6Mx5Y = new GeneratorAttributeFX(Period.ofMonths(6), Period.ofYears(5), FX_MATRIX); //TODO Check dates swap
    final double notional = 100000;
    final SwapDefinition swapDefinition = JPYLIBOR3MEURIBOR3M.generateInstrument(NOW, spreadJPYEUR, notional, attr6Mx5Y);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW);
    final ParameterSensitivityParameterCalculator<MulticurveProviderInterface> PSC = new ParameterSensitivityParameterCalculator<>(PVCSDC);
    final MarketQuoteSensitivityBlockCalculator<MulticurveProviderInterface> MQSC = new MarketQuoteSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
    //    int t = 0;
View Full Code Here

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