Examples of BondIborSecurity

Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    } else {
      settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getNominal().toDerivative(date, creditCurveName);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getCoupons().toDerivative(date, indexFixingTS, yieldCurveNames);
    return new BondIborSecurity(nominal.trimBefore(settlementTime), coupon.trimBefore(settlementTime), settlementTime, riskFreeCurveName);
  }
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    } else {
      settlementTime = TimeCalculator.getTimeBetween(date, settlementDate);
    }
    final AnnuityPaymentFixed nominal = (AnnuityPaymentFixed) getNominal().toDerivative(date);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) getCoupons().toDerivative(date, indexFixingTS);
    return new BondIborSecurity(nominal.trimBefore(settlementTime), coupon.trimBefore(settlementTime), settlementTime);
  }
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, couponCurveName);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime, discountingCurveName);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime, discountingCurveName);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, indexFixingTS, couponCurveName);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime, discountingCurveName);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime, discountingCurveName);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final Annuity<Coupon> coupon = (Annuity<Coupon>) getUnderlyingBond().getCoupons().toDerivative(date, indexFixingTS);
    final AnnuityPaymentFixed nominalPurchase = nominal.trimBefore(settlementTime);
    final Annuity<Coupon> couponPurchase = coupon.trimBefore(settlementTime);
    final AnnuityPaymentFixed nominalStandard = nominal.trimBefore(spotTime);
    final Annuity<Coupon> couponStandard = coupon.trimBefore(spotTime);
    final BondIborSecurity bondPurchase = new BondIborSecurity(nominalPurchase, couponPurchase, settlementTime);
    final BondIborSecurity bondStandard = new BondIborSecurity(nominalStandard, couponStandard, spotTime);
    final int nbCoupon = getUnderlyingBond().getCoupons().getNumberOfPayments();
    int couponIndex = 0; // The index of the coupon of the spot date.
    for (int loopcpn = 0; loopcpn < nbCoupon; loopcpn++) {
      if (getUnderlyingBond().getCoupons().getNthPayment(loopcpn).getAccrualEndDate().isAfter(spot)) {
        couponIndex = loopcpn;
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeSettleBeforeFirstFixingDeprecated() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 7, 7);
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, CURVES_NAME);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate, CURVES_NAME[0]);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, CURVES_NAME);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime, DSC_CURVE_NAME);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingUSDLibor3M = ImmutableZonedDateTimeDoubleTimeSeries.of(
        new ZonedDateTime[] {DateUtils.getUTCDate(2011, 7, 11),
            DateUtils.getUTCDate(2011, 7, 12), DateUtils.getUTCDate(2011, 7, 13), DateUtils.getUTCDate(2011, 8, 16) },
            new double[] {0.01, 0.05, 0.05, 0.05 }, ZoneOffset.UTC);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, fixingUSDLibor3M, CURVES_NAME);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate, CURVES_NAME[0]);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, fixingUSDLibor3M, CURVES_NAME);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime, DSC_CURVE_NAME);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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  @Test
  public void toDerivativeSettleBeforeFirstFixing() {
    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2011, 7, 7);
    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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Examples of com.opengamma.analytics.financial.interestrate.bond.definition.BondIborSecurity

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    final ZonedDateTime settlementDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final DoubleTimeSeries<ZonedDateTime> fixingUSDLibor3M = ImmutableZonedDateTimeDoubleTimeSeries.of(
        new ZonedDateTime[] {DateUtils.getUTCDate(2011, 7, 11),
            DateUtils.getUTCDate(2011, 7, 12), DateUtils.getUTCDate(2011, 7, 13), DateUtils.getUTCDate(2011, 8, 16) },
            new double[] {0.01, 0.05, 0.05, 0.05 }, ZoneOffset.UTC);
    final BondIborSecurity frn = FRN_DEFINITION.toDerivative(referenceDate, fixingUSDLibor3M);
    final AnnuityPaymentFixed nominal = ((AnnuityPaymentFixedDefinition) FRN_DEFINITION.getNominal()).toDerivative(referenceDate);
    final Annuity<Coupon> coupon = (Annuity<Coupon>) FRN_DEFINITION.getCoupons().toDerivative(referenceDate, fixingUSDLibor3M);
    final double settlementTime = TimeCalculator.getTimeBetween(referenceDate, settlementDate);
    final BondIborSecurity frnExpected = new BondIborSecurity(nominal, coupon, settlementTime);
    assertEquals("FRN: toDerivative", frnExpected, frn);
  }
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