Examples of BondFixedSecurityDefinition

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

514
515
516
517
518
519
520
521
522
523
524
525
526
  private static final double REFERENCE_TIME_3 = TimeCalculator.getTimeBetween(REFERENCE_DATE_3, SPOT_3);

  @Test
  public void presentValueFixedExDividend() {
    final MultipleCurrencyAmount pv = METHOD_BOND_SECURITY.presentValue(BOND_FIXED_SECURITY_UK, ISSUER_MULTICURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(GBP, MATURITY_DATE_UK, START_ACCRUAL_DATE_UK, PAYMENT_TENOR_UK, RATE_UK, SETTLEMENT_DAYS_UK, NOTIONAL_UK,
        0, CALENDAR_UK, DAY_COUNT_UK, BUSINESS_DAY_UK, YIELD_CONVENTION_UK, IS_EOM_UK, ISSUER_UK, "RepoType");
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3);
    final MultipleCurrencyAmount pvNoEx = METHOD_BOND_SECURITY.presentValue(BondNoEx, ISSUER_MULTICURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_UK.getCoupons().getNthPayment(17);
    final MulticurveProviderInterface multicurvesDecorated = new MulticurveProviderDiscountingDecoratedIssuer(ISSUER_MULTICURVES, GBP, ISSUER_UK);
    final MultipleCurrencyAmount pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3).accept(PVDC, multicurvesDecorated);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx.getAmount(GBP) - pvCpn.getAmount(GBP), pv.getAmount(GBP), TOLERANCE_PV);
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

101
102
103
104
105
106
107
108
109
110
111
112
113
  private static final CleanPriceFromCurvesCalculator CPFC = CleanPriceFromCurvesCalculator.getInstance();

  @Test
  public void presentValueFixedExDividend() {
    final double pv = METHOD.presentValue(BOND_FIXED_SECURITY_G, CURVES);
    final BondFixedSecurityDefinition bondNoExDefinition = BondFixedSecurityDefinition.from(CUR_G, MATURITY_DATE_G, START_ACCRUAL_DATE_G, PAYMENT_TENOR_G, RATE_G, SETTLEMENT_DAYS_G, NOTIONAL_G, 0,
        CALENDAR_G, DAY_COUNT_G, BUSINESS_DAY_G, YIELD_CONVENTION_G, IS_EOM_G, ISSUER_G, REPO_TYPE_G);
    final BondFixedSecurity BondNoEx = bondNoExDefinition.toDerivative(REFERENCE_DATE_3, CURVES_NAME);
    final double pvNoEx = METHOD.presentValue(BondNoEx, CURVES);
    final CouponFixedDefinition couponDefinitionEx = BOND_FIXED_SECURITY_DEFINITION_G.getCoupons().getNthPayment(17);
    final double pvCpn = couponDefinitionEx.toDerivative(REFERENCE_DATE_3, CURVES_NAME).accept(PVC, CURVES);
    assertEquals("Fixed coupon bond security: present value ex dividend", pvNoEx - pvCpn, pv, 1.0E-6);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

33
34
35
36
37
38
39
40
41
42
43
    final BondSecurity security = (BondSecurity) trade.getSecurity();
    final InstrumentDefinition<?> underlying = security.accept(_securityConverter);
    if (!(underlying instanceof BondFixedSecurityDefinition)) {
      throw new OpenGammaRuntimeException("Can only handle fixed coupon bonds");
    }
    final BondFixedSecurityDefinition bond = (BondFixedSecurityDefinition) underlying;
    final int quantity = trade.getQuantity().intValue(); // MH - 9-May-2013: changed from 1. // REVIEW: The quantity mechanism should be reviewed.
    final ZonedDateTime settlementDate = trade.getTradeDate().atTime(trade.getTradeTime()).atZoneSameInstant(ZoneOffset.UTC); //TODO get the real time zone
    if (trade.getPremium() == null) {
      throw new OpenGammaRuntimeException("Trade premium should not be null.");
    }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

117
118
119
120
121
122
123
124
125
    BondSecurity bond = (BondSecurity) target.getSecurity();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bond.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

46
47
48
49
50
51
52
53
54
55
    final String creditCurveName = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE);
    final String riskFreeCurveConfig = desiredValue.getConstraint(PROPERTY_RISK_FREE_CURVE_CONFIG);
    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig, target);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
    // Remark: MH - 9-May-2013: factor 100 removed.
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

79
80
81
82
83
84
85
86
87
88
89
90
    }
    final Double cleanPrice = (Double) cleanPriceObject;
    final String creditCurveName = riskFreeCurveName;
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, curveName);
    final ValueSpecification resultSpec = new ValueSpecification(ValueRequirementNames.PRESENT_VALUE_Z_SPREAD_SENSITIVITY, target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(_visitor);
    final BondFixedSecurity bond = definition.toDerivative(date, curveName, riskFreeCurveName);
    final YieldAndDiscountCurve curve = (YieldAndDiscountCurve) curveObject;
    final YieldAndDiscountCurve riskFreeCurve = (YieldAndDiscountCurve) riskFreeCurveObject;
    final YieldCurveBundle data = new YieldCurveBundle(new String[] {curveName, riskFreeCurveName}, new YieldAndDiscountCurve[] {curve, riskFreeCurve});
    return Sets.newHashSet(new ComputedValue(resultSpec, CALCULATOR.presentValueZSpreadSensitivityFromCurvesAndClean(bond, data, cleanPrice)));
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

46
47
48
49
50
51
52
53
54
55
56
57
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(executionContext);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext
        .getConventionBundleSource(executionContext);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(executionContext);
    final BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition bond = (BondFixedSecurityDefinition) security.accept(visitor);
    final ZonedDateTime firstCouponDate = bond.getCoupons().getNthPayment(0).getAccrualStartDate();
    final ZonedDateTime lastCouponDate = bond.getCoupons().getNthPayment(bond.getCoupons().getNumberOfPayments() - 1).getPaymentDate();
    final int t = DateUtils.getDaysBetween(firstCouponDate, lastCouponDate) / 365;
    final ValueSpecification specification = new ValueSpecification(ValueRequirementNames.BOND_TENOR, target.toSpecification(), createValueProperties().get());
    return Collections.singleton(new ComputedValue(specification, t));
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

62
63
64
65
66
67
68
69
70
71
72
73
  }

  @Override
  public Set<ComputedValue> execute(final FunctionExecutionContext executionContext, final FunctionInputs inputs, final ComputationTarget target, final Set<ValueRequirement> desiredValues) {
    final BondSecurity security = (BondSecurity) target.getSecurity();
    final BondFixedSecurityDefinition bond = (BondFixedSecurityDefinition) security.accept(_visitor);
    final AnnuityCouponFixedDefinition coupons = bond.getCoupons();
    final int n = coupons.getNumberOfPayments();
    final LocalDate[] dates = new LocalDate[n];
    final double[] payments = new double[n];
    for (int i = 0; i < n; i++) {
      final CouponFixedDefinition coupon = coupons.getNthPayment(i);
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

115
116
117
118
119
120
121
122
123
    BondSecurity security = (BondSecurity) target.getSecurity();
    final HolidaySource holidaySource = OpenGammaExecutionContext.getHolidaySource(context);
    final ConventionBundleSource conventionSource = OpenGammaExecutionContext.getConventionBundleSource(context);
    final RegionSource regionSource = OpenGammaExecutionContext.getRegionSource(context);
    BondSecurityConverter visitor = new BondSecurityConverter(holidaySource, conventionSource, regionSource);
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) security.accept(visitor);
    BondFixedSecurity derivative = definition.toDerivative(date, riskFreeCurveName, creditCurveName);
    return CALCULATOR.zSpreadFromCurvesAndClean(derivative, data, price);
  }
View Full Code Here

Examples of com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition

43
44
45
46
47
48
49
50
51
    final String riskFreeCurveConfig = desiredValue.getConstraint(PROPERTY_RISK_FREE_CURVE_CONFIG);
    final String creditCurveName = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE);
    final String creditCurveConfig = desiredValue.getConstraint(PROPERTY_CREDIT_CURVE_CONFIG);
    final ValueProperties.Builder properties = getResultProperties(riskFreeCurveName, creditCurveName, riskFreeCurveConfig, creditCurveConfig);
    final ValueSpecification resultSpec = new ValueSpecification(getValueRequirementName(), target.toSpecification(), properties.get());
    final BondFixedSecurityDefinition definition = (BondFixedSecurityDefinition) bondSecurity.accept(getConverter());
    final BondFixedSecurity bond = definition.toDerivative(date, creditCurveName, riskFreeCurveName);
    return Sets.newHashSet(new ComputedValue(resultSpec, bond.accept(getCalculator(), data)));
  }
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.