Package com.opengamma.analytics.financial.interestrate

Examples of com.opengamma.analytics.financial.interestrate.InstrumentDerivative.accept()

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    final PresentValueBlackCalculator pvCalculator = PresentValueBlackCalculator.getInstance();

    // Compute today's pv
    final Currency currency = definition.getUnderlyingOption().getUnderlyingFuture().getCurrency();
    final InstrumentDerivative instrumentToday = definition.toDerivative(date, lastMarginPrice, yieldCurveNames);
    final double valueToday = instrumentToday.accept(pvCalculator, data);

    // Compute cash flows between today and horizon
    // TODO Confirm choice that no payment is made on expiry
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
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    final double valueToday = instrumentToday.accept(pvCalculator, data);

    // Compute cash flows between today and horizon
    // TODO Confirm choice that no payment is made on expiry
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    if (paymentToday.size() != 1) {
      throw new IllegalStateException("Expecting a single payment in the currency of the interest rate future option");
    }

    // Compute value at horizon
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    // Compute value at horizon
    final double valueHorizon;
    if (horizon.isBefore(definition.getUnderlyingOption().getExpirationDate())) {
      final InstrumentDerivative instrumentHorizon = definition.toDerivative(horizon, lastMarginPrice, yieldCurveNames);
      final YieldCurveWithBlackCubeBundle tomorrowData = IR_FUTURE_OPTION_ROLLDOWN.rollDown(data, shiftTime);
      valueHorizon = instrumentHorizon.accept(pvCalculator, tomorrowData);
    } else {
      valueHorizon = 0.0;
    }

    final double result = valueHorizon + paymentToday.getAmount(currency) - valueToday;
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    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final YieldCurveBundle tomorrowData = CURVE_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueMCACalculator pvCalculator = PresentValueMCACalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }

  public MultipleCurrencyAmount getTheta(final ForexOptionVanillaDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames,
      final SmileDeltaTermStructureDataBundle data, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
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    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    final PresentValueBlackSmileForexCalculator pvCalculator = PresentValueBlackSmileForexCalculator.getInstance();
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }

  public MultipleCurrencyAmount getTheta(final ForexOptionDigitalDefinition definition, final ZonedDateTime date, final String[] yieldCurveNames, final SmileDeltaTermStructureDataBundle data,
      final PresentValueMCACalculator pvCalculator, final int daysForward) {
    ArgumentChecker.isTrue(daysForward == 1 || daysForward == -1, "daysForward must be either 1 or -1");
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    final double shiftTime = TimeCalculator.getTimeBetween(date, horizonDate);
    final TodayPaymentCalculator paymentCalculator = TodayPaymentCalculator.getInstance(shiftTime);
    final InstrumentDerivative instrumentTomorrow = definition.toDerivative(horizonDate, yieldCurveNames);
    final MultipleCurrencyAmount paymentToday = instrumentToday.accept(paymentCalculator);
    final SmileDeltaTermStructureDataBundle tomorrowData = FX_OPTION_ROLLDOWN.rollDown(data, shiftTime);
    return subtract(instrumentTomorrow.accept(pvCalculator, tomorrowData), instrumentToday.accept(pvCalculator, data)).plus(paymentToday);
  }

  /**
   * Create a new time series with the same data up to tomorrow (tomorrow excluded) and with an extra data for tomorrow equal to the last value in the time series.
   * @param fixingSeries The time series.
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    final SwaptionPhysicalFixedIborDefinition swaptionDefinitionShortPayer = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapDefinitionPay, false);
    final SwaptionPhysicalFixedIbor swaptionShortPayer = swaptionDefinitionShortPayer.toDerivative(REFERENCE_DATE);
    final InstrumentDerivative swapRec = SWAP_DEFINITION_REC.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvLR = METHOD_BLACK.presentValue(SWAPTION_LONG_REC, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSP = METHOD_BLACK.presentValue(swaptionShortPayer, BLACK_MULTICURVES);
    final MultipleCurrencyAmount pvSwap = swapRec.accept(PVDC, MULTICURVES);
    assertEquals("Swaption Black method: present value", pvSwap.getAmount(EUR), pvLR.getAmount(EUR) + pvSP.getAmount(EUR), TOLERANCE_PV);
  }

  @Test
  /**
 
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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforeNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentOnNearDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(NEAR_DATE, CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency1().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency1()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", FX_SWAP_DEFINITION.getNearLeg().getPaymentCurrency2().getReferenceAmount(), cash.getAmount(FX_SWAP_DEFINITION.getNearLeg().getCurrency2()),
        TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
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  /**
   * Tests the TodayPaymentCalculator for forex transactions.
   */
  public void forexTodayPaymentBeforeFarDate() {
    final InstrumentDerivative fx = FX_SWAP_DEFINITION.toDerivative(FAR_DATE.minusDays(1), CURVES_NAME);
    final MultipleCurrencyAmount cash = fx.accept(TPC);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency1()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 0.0, cash.getAmount(FX_SWAP_DEFINITION.getFarLeg().getCurrency2()), TOLERANCE_PV);
    assertEquals("TodayPaymentCalculator: forex", 2, cash.getCurrencyAmounts().length);
  }

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