Package com.opengamma.analytics.financial.interestrate

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

42
43
44
45
46
47
48
49
50
51
52
  protected Set<ComputedValue> getResult(final InstrumentDerivative irFutureOptionTransaction, final YieldCurveWithBlackCubeBundle curveBundle, final ValueSpecification spec,
      final Set<ValueRequirement> desiredValues) {
    ArgumentChecker.isTrue(irFutureOptionTransaction instanceof InterestRateFutureOptionMarginTransaction,
        "InterestRateFutureOptionMarginTransaction expected. " + irFutureOptionTransaction.getClass().toString() + " found.");
    final InstrumentDerivative irFutureOptionSecurity = ((InterestRateFutureOptionMarginTransaction) irFutureOptionTransaction).getUnderlyingOption();
    final double forward = irFutureOptionSecurity.accept(CALCULATOR, curveBundle);
    return Collections.singleton(new ComputedValue(spec, forward));
  }

  @Override
  protected ValueProperties.Builder getResultProperties(final String currency) {
View Full Code Here
136
137
138
139
140
141
142
143
144
145
146
    final InstrumentDerivative derivative = tradeDefinition.toDerivative(valuationTime, referencePrice);
    // Build the DataBundle it requires
    final ValueRequirement desiredValue = desiredValues.iterator().next();
    final SimpleFutureDataBundle dataBundle = getFutureDataBundle(security, inputs, timeSeriesBundle, desiredValue);
    // Call OG-Analytics
    final T value = derivative.accept(_calculator, dataBundle);
    final ValueSpecification specification = new ValueSpecification(_valueRequirementName, target.toSpecification(), createValueProperties(target, desiredValue).get());
    return Collections.singleton(new ComputedValue(specification, value));
  }

  @Override
View Full Code Here
114
115
116
117
118
119
120
121
122
123
124
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    final InstrumentDefinition<?> defn = security.accept(_converter);
    final InstrumentDerivative derivative = defn.toDerivative(now);
    if (derivative.accept(LastTimeCalculator.getInstance()) < 0.0) {
      throw new OpenGammaRuntimeException("Equity option has already settled; " + security.toString());
    }

    // 2. Build up the market data bundle
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
View Full Code Here
97
98
99
100
101
102
103
104
105
106
107
    final ZonedDateTime now = ZonedDateTime.now(executionContext.getValuationClock());
    final FinancialSecurity security = (FinancialSecurity) target.getSecurity();
    final ExternalId underlyingId = FinancialSecurityUtils.getUnderlyingId(security);
    final InstrumentDefinition<?> defn = security.accept(_converter);
    final InstrumentDerivative derivative = defn.toDerivative(now);
    final double timeToExpiry = derivative.accept(LastTimeCalculator.getInstance());
    if (timeToExpiry < 0.0) {
      throw new OpenGammaRuntimeException("Future option " + security + " has already settled.");
    }
    final StaticReplicationDataBundle market = buildMarketBundle(underlyingId, executionContext, inputs, target, desiredValues);
    final ValueRequirement desiredValue = desiredValues.iterator().next();
View Full Code Here
134
135
136
137
138
139
140
141
142
143
144
            throw new IllegalArgumentException("YTM should be a double");
          }
          final InstrumentDefinition<?> definition = converter.visitGovernmentBondSecurity(bondSec);
          final String bondStringName = PROPERTY_PREFIX + "_" + CURRENCY.getCode();
          final InstrumentDerivative bond = definition.toDerivative(now, bondStringName);
          t[i] = bond.accept(LAST_DATE);
          ytm[i++] = ((Double) ytmObject / 100);
        }
        final DoubleMatrix1D initialValues = new DoubleMatrix1D(new double[] {1, 2, 3, 4, 2, 3 });
        final ParameterizedFunction<Double, DoubleMatrix1D, Double> parameterizedFunction = MODEL.getParameterizedFunction();
        final LeastSquareResults result = MINIMISER.solve(new DoubleMatrix1D(t), new DoubleMatrix1D(ytm), parameterizedFunction, initialValues);
View Full Code Here
89
90
91
92
93
94
95
96
97
98
99
        } else {
          definition = futureTradeConverter.convert(trade); 
        }
        final HistoricalTimeSeriesBundle timeSeries = HistoricalTimeSeriesFunctionUtils.getHistoricalTimeSeriesInputs(executionContext, inputs);
        final InstrumentDerivative derivative = definitionConverter.convert(security, definition, now, timeSeries);
        final Double price = derivative.accept(s_priceVisitor);
        final ValueSpecification spec = new ValueSpecification(MARGIN_PRICE, target.toSpecification(), desiredValue.getConstraints().copy().get());
        return Collections.singleton(new ComputedValue(spec, price));
      }

      @Override
View Full Code Here
TOP
Copyright © 2018 www.massapi.com. All rights reserved.
All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.