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

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

    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (definition construction): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    }
    endTime = System.currentTimeMillis();
    System.out.println(nbTest + " physical swaptions SABR (to derivatives): " + (endTime - startTime) + " ms");
    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {

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    final double pvbp = METHOD_SWAP.presentValueBasisPoint(swap, CURVES);
    for (int loopstrike = 0; loopstrike <= nbStrike; loopstrike++) {
      strike[loopstrike] = forward - strikeRange + 3 * strikeRange * loopstrike / nbStrike; // From forward-strikeRange to forward+2*strikeRange
      final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, CMS_INDEX, NOTIONAL, strike[loopstrike], FIXED_IS_PAYER, CALENDAR);
      final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinition, IS_LONG);
      final SwaptionPhysicalFixedIbor swaption = swaptionDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
      pvExplicit[loopstrike] = METHOD_HW.presentValue(swaption, BUNDLE_HW).getAmount();
      pvApproximation[loopstrike] = METHOD_HW_APPROXIMATION.presentValue(swaption, BUNDLE_HW).getAmount();
      final BlackFunctionData data = new BlackFunctionData(forward, pvbp, 0.20);
      volExplicit[loopstrike] = implied.getImpliedVolatility(data, swaption, pvExplicit[loopstrike]);
      volApprox[loopstrike] = implied.getImpliedVolatility(data, swaption, pvApproximation[loopstrike]);

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      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, CALENDAR), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);


    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, sabrBundle);
    final double[] shift = new double[] {0.0001, 0.0001, 0.0001 };
    final double[] toleranceSABRSensi = new double[] {5.0E+4, 5.0E+3, 1.0E+4 };

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