Examples of visitFixedCouponSwap()

Examples of com.opengamma.analytics.financial.interestrate.ParRateCalculator.visitFixedCouponSwap()

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   */
  public CurrencyAmount presentValue(final CouponCMS cmsCoupon, final YieldCurveBundle curves) {
    Validate.notNull(cmsCoupon);
    Validate.notNull(curves);
    final ParRateCalculator parRate = ParRateCalculator.getInstance();
    final double swapRate = parRate.visitFixedCouponSwap(cmsCoupon.getUnderlyingSwap(), curves);
    final YieldAndDiscountCurve fundingCurve = curves.getCurve(cmsCoupon.getFundingCurveName());
    final double paymentDiscountFactor = fundingCurve.getDiscountFactor(cmsCoupon.getPaymentTime());
    final double pv = swapRate * cmsCoupon.getPaymentYearFraction() * cmsCoupon.getNotional() * paymentDiscountFactor;
    return CurrencyAmount.of(cmsCoupon.getCurrency(), pv);
  }
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Examples of com.opengamma.analytics.financial.interestrate.ParRateCalculator.visitFixedCouponSwap()

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   */
  public InterestRateCurveSensitivity presentValueSensitivity(final CouponCMS cmsCoupon, final YieldCurveBundle curves) {
    Validate.notNull(cmsCoupon);
    Validate.notNull(curves);
    final ParRateCalculator parRateCal = ParRateCalculator.getInstance();
    final double swapRate = parRateCal.visitFixedCouponSwap(cmsCoupon.getUnderlyingSwap(), curves);
    final String fundingCurveName = cmsCoupon.getFundingCurveName();
    final YieldAndDiscountCurve fundingCurve = curves.getCurve(fundingCurveName);
    final double paymentTime = cmsCoupon.getPaymentTime();
    final double paymentDiscountFactor = fundingCurve.getDiscountFactor(paymentTime);
    final ParRateCurveSensitivityCalculator parRateSensCal = ParRateCurveSensitivityCalculator.getInstance();
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