Examples of com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition.toDerivative()

com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinition.toDerivative()
{@inheritDoc} @deprecated Use the method that does not take yield curve names

   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, HW_MULTICURVES);
    final MultipleCurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, HW_MULTICURVES);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(EUR), pvScaled.getAmount(EUR), TOLERANCE_PV);
  }

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    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);

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      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, HW_MULTICURVES).getAmount(EUR);
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
    }
  }

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   */
  public void scaling() {
    final double scale = 12.3;
    final SwapFixedIborDefinition scaledSwapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, scale * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition scaledSwaptionDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, scaledSwapDefinition, IS_LONG);
    final SwaptionCashFixedIbor scaledSwaption = scaledSwaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CurrencyAmount pvOriginal = METHOD_HW_INTEGRATION.presentValue(SWAPTION_PAYER_LONG, BUNDLE_HW);
    final CurrencyAmount pvScaled = METHOD_HW_INTEGRATION.presentValue(scaledSwaption, BUNDLE_HW);
    assertEquals("Swaption cash - Hull-White - present value - scaling", scale * pvOriginal.getAmount(), pvScaled.getAmount(), 1E-1);
  }

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    final double[] pvReceiverApproximation = new double[strikeRel.length];
    final double[] pvReceiverIntegration = new double[strikeRel.length];
    for (int loopstrike = 0; loopstrike < strikeRel.length; loopstrike++) {
      final SwapFixedIborDefinition swapStrikePayerDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikePayerDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikePayerDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikePayer = swaptionStrikePayerDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);

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      pvPayerApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      pvPayerIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikePayer, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvPayerApproximation[loopstrike], pvPayerIntegration[loopstrike], errorLimit);
      final SwapFixedIborDefinition swapStrikeReceiverDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, bp1, forward + strikeRel[loopstrike], !FIXED_IS_PAYER, CALENDAR);
      final SwaptionCashFixedIborDefinition swaptionStrikeReceiverDefinition = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapStrikeReceiverDefinition, IS_LONG);
      final SwaptionCashFixedIbor swaptionStrikeReceiver = swaptionStrikeReceiverDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvReceiverApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      pvReceiverIntegration[loopstrike] = METHOD_HW_INTEGRATION.presentValue(swaptionStrikeReceiver, BUNDLE_HW).getAmount();
      assertEquals("Swaption cash - Hull-White - present value - explicit/numerical integration", pvReceiverApproximation[loopstrike], pvReceiverIntegration[loopstrike], errorLimit);
    }
  }

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    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongReceiverHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionReceiverHighStrike, IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionLongReceiverHighStrike = swaptionDefinitionLongReceiverHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIborSABRExtrapolationRightMethod method = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    final double priceLongPayer = method.presentValue(swaptionLongPayerHighStrike, sabrBundle);
    final double priceShortPayer = method.presentValue(swaptionShortPayerHighStrike, sabrBundle);
    final double priceLongReceiver = method.presentValue(swaptionLongReceiverHighStrike, sabrBundle);
    final double priceLongPayerExpected = 557829.033; // Value from previous run

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    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    InterestRateCurveSensitivity pvsLongPayerExtra = methodExtra.presentValueSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    final InterestRateCurveSensitivity pvsShortPayerExtra = methodExtra.presentValueSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity

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    final double highStrike = 0.10;
    final SwapFixedIborDefinition swapDefinitionPayerHighStrike = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, highStrike, FIXED_IS_PAYER, CALENDAR);
    final SwaptionCashFixedIborDefinition swaptionDefinitionLongPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, IS_LONG);
    final SwaptionCashFixedIborDefinition swaptionDefinitionShortPayerHighStrike = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPayerHighStrike, !IS_LONG);
    final SwaptionCashFixedIbor swaptionLongPayerHighStrike = swaptionDefinitionLongPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final SwaptionCashFixedIbor swaptionShortPayerHighStrike = swaptionDefinitionShortPayerHighStrike.toDerivative(REFERENCE_DATE, CURVES_NAME);
    //    SwaptionCashFixedIborSABRExtrapolationRightMethod methodExtra = new SwaptionCashFixedIborSABRExtrapolationRightMethod(CUT_OFF_STRIKE, MU);
    // Swaption sensitivity
    final PresentValueSABRSensitivityDataBundle pvsLongPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionLongPayerHighStrike, sabrBundle);
    PresentValueSABRSensitivityDataBundle pvsShortPayer = METHOD_EXTRAPOLATION.presentValueSABRSensitivity(swaptionShortPayerHighStrike, sabrBundle);
    // Long/short parity

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