Examples of CouponFixedDefinition

Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(referenceDate2, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate);
    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2, CURVES_NAME);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(referenceDate2, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate);
    couponDefinition = couponDefinition.trimBefore(spotDate);
    final CouponFixedDefinition[] couponDefinitionExArray = new CouponFixedDefinition[couponDefinition.getNumberOfPayments()];
    System.arraycopy(couponDefinition.getPayments(), 1, couponDefinitionExArray, 1, couponDefinition.getNumberOfPayments() - 1);
    couponDefinitionExArray[0] = new CouponFixedDefinition(couponDefinition.getNthPayment(0), 0.0);
    final AnnuityCouponFixedDefinition couponDefinitionEx = new AnnuityCouponFixedDefinition(couponDefinitionExArray, CALENDAR_G);
    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(referenceDate2);
    final AnnuityCouponFixed coupon = couponDefinitionEx.toDerivative(referenceDate2);
    final double spotTime = ACT_ACT.getDayCountFraction(referenceDate2, spotDate);
    final double accruedInterest = (DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullIborLeg() {
    // Fixed leg
    final CouponFixedDefinition[] couponsFixed = new CouponFixedDefinition[FIXED_PAYMENT_DATES.length];
    couponsFixed[0] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[0], SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0], FIXED_DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0]),
        NOTIONAL, RATE);
    for (int loopcpn = 1; loopcpn < FIXED_PAYMENT_DATES.length; loopcpn++) {
      couponsFixed[loopcpn] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[loopcpn], FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn], FIXED_DAY_COUNT.getDayCountFraction(
          FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn]), NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(couponsFixed, CALENDAR);

    new SwapFixedIborDefinition(fixedAnnuity, null);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void constructorFixed() {
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, BUSINESS_DAY, CALENDAR, IS_EOM);
    final CouponDefinition[] cpn = new CouponDefinition[NB_COUPON];
    cpn[0] = new CouponFixedDefinition(CUR, paymentDates[0], SETTLEMENT_DATE, paymentDates[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, paymentDates[0]), NOTIONAL, FIRST_CPN_RATE);
    for (int loopcpn = 1; loopcpn < NB_COUPON; loopcpn++) {
      cpn[loopcpn] = new CouponIborRatchetDefinition(CUR, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn], DAY_COUNT.getDayCountFraction(paymentDates[loopcpn - 1],
          paymentDates[loopcpn]), NOTIONAL, ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR), IBOR_INDEX, MAIN_COEF, FLOOR_COEF, CAP_COEF, CALENDAR);
    }
    final AnnuityCouponIborRatchetDefinition annuity = new AnnuityCouponIborRatchetDefinition(cpn, CALENDAR);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void test() {
    final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
    final double sign = IS_PAYER ? -1.0 : 1.0;
    //First coupon uses settlement date
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign
        * NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    coupons[0] = CouponIborDefinition.from(coupon, fixingDate, INDEX, CALENDAR);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), sign * NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX, CALENDAR);
    }
    final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(coupons, INDEX, CALENDAR);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testOneNullPayment() {
    final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
    //First coupon uses settlement date
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    coupons[0] = null;
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX, CALENDAR);
    }
    new AnnuityCouponIborDefinition(coupons, INDEX, CALENDAR);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void testEqualHash() {
    final CouponIborDefinition[] coupons = new CouponIborDefinition[PAYMENT_DATES.length];
    //First coupon uses settlement date
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    coupons[0] = CouponIborDefinition.from(coupon, fixingDate, INDEX, CALENDAR);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupon = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, INDEX, CALENDAR);
    }
    final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(coupons, INDEX, CALENDAR);
    final AnnuityCouponIborDefinition iborAnnuity2 = new AnnuityCouponIborDefinition(coupons, INDEX, CALENDAR);
    assertEquals(iborAnnuity, iborAnnuity2);
    assertEquals(iborAnnuity.hashCode(), iborAnnuity2.hashCode());
    AnnuityCouponIborDefinition modifiedIborAnnuity = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX, IS_PAYER, CALENDAR);
    assertFalse(iborAnnuity.equals(modifiedIborAnnuity));
    final CouponIborDefinition[] couponsModified = new CouponIborDefinition[PAYMENT_DATES.length];
    CouponFixedDefinition couponModified = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]),
        NOTIONAL, 0.0);
    fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    couponsModified[0] = CouponIborDefinition.from(couponModified, fixingDate, INDEX, CALENDAR);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      couponModified = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), NOTIONAL + 5.0, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      couponsModified[loopcpn] = CouponIborDefinition.from(couponModified, fixingDate, INDEX, CALENDAR);
    }
    modifiedIborAnnuity = new AnnuityCouponIborDefinition(couponsModified, INDEX, CALENDAR);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void test() {
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
    //First coupon uses settlement date
    final double sign = IS_PAYER ? -1.0 : 1.0;
    coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);

    assertEquals(fixedAnnuity.isPayer(), IS_PAYER);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void testEqualHash() {
    final double sign = IS_PAYER ? -1.0 : 1.0;
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
    coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
    final AnnuityCouponFixedDefinition fixedAnnuity2 = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, PAYMENT_TENOR, CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL, RATE,
        IS_PAYER);
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Examples of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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  @Test
  public void testToDerivativeDeprecated() {
    final double sign = IS_PAYER ? -1.0 : 1.0;
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[PAYMENT_DATES.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(CUR, PAYMENT_DATES[0], SETTLEMENT_DATE, PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, PAYMENT_DATES[0]), sign * NOTIONAL, RATE);
    for (int loopcpn = 1; loopcpn < PAYMENT_DATES.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedDefinition(CUR, PAYMENT_DATES[loopcpn], PAYMENT_DATES[loopcpn - 1], PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(PAYMENT_DATES[loopcpn - 1],
          PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(coupons, CALENDAR);
    final String fundingCurve = "Funding";
    final CouponFixed[] couponFixedConverted = new CouponFixed[PAYMENT_DATES.length];
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