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

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


    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFALTION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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    blocks7.addAll(CURVES_PAR_SPREAD_MQ_WITHOUT_TODAY_BLOCK.get(0).getSecond());
    final double spreadJPYEUR = 0.0010; // 10bps
    final double notional = 100000;
    final GeneratorAttributeIR swapAttribute = new GeneratorAttributeIR(Period.ofYears(4));
    final SwapFixedInflationZeroCouponDefinition swapDefinition = GENERATOR_INFLATION_SWAP.generateInstrument(NOW, spreadJPYEUR, notional, swapAttribute);
    final InstrumentDerivative swap = swapDefinition.toDerivative(NOW, new ZonedDateTimeDoubleTimeSeries[] {TS_PRICE_INDEX_USD_WITH_TODAY, TS_PRICE_INDEX_USD_WITH_TODAY});
    final ParameterInflationSensitivityParameterCalculator<InflationProviderInterface> PSC = new ParameterInflationSensitivityParameterCalculator<>(PVCSDIC);
    final MarketQuoteInflationSensitivityBlockCalculator<InflationProviderInterface> MQSC = new MarketQuoteInflationSensitivityBlockCalculator<>(PSC);
    @SuppressWarnings("unused")
    final MultipleCurrencyParameterSensitivity mqs = MQSC.fromInstrument(swap, multicurves7, blocks7);
  }
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