Examples of toSingleValue()

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilitySensitivity.toSingleValue()

35
36
37
38
39
40
41
42
43
44
45
  protected Object computeValues(final Set<ForexOptionVanilla> vanillaOptions, final ForexOptionDataBundle<?> market) {
    Validate.isTrue(market instanceof SmileDeltaTermStructureDataBundle, "FXOneLookBarrierOptionBlackVegaFunction requires a Vol surface with a smile.");
    double sum = 0.0;
    for (final ForexOptionVanilla derivative : vanillaOptions) {
      final PresentValueForexBlackVolatilitySensitivity result = derivative.accept(CALCULATOR, market);
      final CurrencyAmount vegaValue = result.toSingleValue();
      sum += vegaValue.getAmount();
    }
    return sum;
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilitySensitivity.toSingleValue()

46
47
48
49
50
51
52
53
54
55
56
  @Override
  protected Set<ComputedValue> getResult(final InstrumentDerivative forex, final ForexOptionDataBundle<?> data, final ComputationTarget target,
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    if (data instanceof SmileDeltaTermStructureDataBundle) {
      final PresentValueForexBlackVolatilitySensitivity result = forex.accept(CALCULATOR, data);
      final CurrencyAmount vegaValue = result.toSingleValue();
      final double scale = Double.parseDouble(desiredValues.iterator().next().getConstraint(ValuePropertyNames.SCALE));
      return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount() * scale));
    }
    throw new OpenGammaRuntimeException("Can only calculate vega for surfaces with smiles");
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.forex.method.PresentValueForexBlackVolatilitySensitivity.toSingleValue()

37
38
39
40
41
42
43
44
45
46
      final Set<ValueRequirement> desiredValues, final FunctionInputs inputs, final ValueSpecification spec, final FunctionExecutionContext executionContext) {
    final String spreadName = Iterables.getOnlyElement(desiredValues).getConstraint(CalculationPropertyNamesAndValues.PROPERTY_CALL_SPREAD_VALUE);
    final double spread = Double.parseDouble(spreadName);
    final PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator calculator = new PresentValueBlackVolatilitySensitivityCallSpreadBlackForexCalculator(spread);
    final PresentValueForexBlackVolatilitySensitivity result = fxDigital.accept(calculator, data);
    final CurrencyAmount vegaValue = result.toSingleValue();
    return Collections.singleton(new ComputedValue(spec, vegaValue.getAmount()));
  }

}
View Full Code Here

Examples of com.opengamma.analytics.util.amount.SurfaceValue.toSingleValue()

90
91
92
93
94
95
96
97
98
99
    SurfaceValue surf1 = SurfaceValue.from(point1, value1);
    DoublesPair point2 = new DoublesPair(2.0, Math.PI);
    double value2 = 10 * Math.E;
    SurfaceValue surf2 = SurfaceValue.from(point2, value2);
    SurfaceValue surfPlus1 = SurfaceValue.plus(surf1, surf2);
    double amountComputed = surfPlus1.toSingleValue();
    assertEquals("Surface value - single value", amountComputed, value1 + value2, TOLERANCE);
  }

}
View Full Code Here

Examples of com.opengamma.analytics.util.amount.SurfaceValue.toSingleValue()

54
55
56
57
58
59
60
61
62
63
64
      protected Set<ComputedValue> getValues(final FunctionExecutionContext executionContext, final FunctionInputs inputs,
          final ComputationTarget target, final Set<ValueRequirement> desiredValues, final InstrumentDerivative derivative,
          final FXMatrix fxMatrix) {
        final BlackSTIRFuturesSmileProviderInterface blackData = getBlackSurface(executionContext, inputs, target, fxMatrix);
        final SurfaceValue sensitivities = derivative.accept(CALCULATOR, blackData);
        final double vega = sensitivities.toSingleValue();
        final ValueRequirement desiredValue = Iterables.getOnlyElement(desiredValues);
        final ValueProperties properties = desiredValue.getConstraints().copy().get();
        final ValueSpecification spec = new ValueSpecification(VALUE_VEGA, target.toSpecification(), properties);
        return Collections.singleton(new ComputedValue(spec, vega));
      }
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.