Examples of CouponIborGearing

com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing
Class describing a Ibor-like floating coupon with a gearing (multiplicative) factor and a spread. The coupon payment is: notional * accrual factor * (factor * Ibor + spread).

Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing

    final Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
    final CouponIborGearing coupon2 = new CouponIborGearing(CUR, paymentTime, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR);
    final Payment couponConverted2 = COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = COUPON_DEFINITION.toDerivative(referenceDate);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted3);

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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing

    final double fixingPeriodStartTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_START_DATE);
    final double fixingPeriodEndTime = TimeCalculator.getTimeBetween(referenceDate, FIXING_END_DATE);
    final String fundingCurve = "Funding";
    final String forwardCurve = "Forward";
    final String[] curves = {fundingCurve, forwardCurve };
    final CouponIborGearing coupon = new CouponIborGearing(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR, forwardCurve);
    Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals(coupon, couponConverted);
    couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon, couponConverted);

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Examples of com.opengamma.analytics.financial.interestrate.payments.derivative.CouponIborGearing

    final Payment couponConverted = COUPON_DEFINITION.toDerivative(referenceDate, FIXING_TS, curves);
    assertEquals(coupon, couponConverted);
    // The fixing is not known
    final DoubleTimeSeries<ZonedDateTime> fixingTS2 = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(new ZonedDateTime[] {ScheduleCalculator.getAdjustedDate(FIXING_DATE, -1, CALENDAR) },
        new double[] {FIXING_RATE });
    final CouponIborGearing coupon2 = new CouponIborGearing(CUR, paymentTime, fundingCurve, ACCRUAL_FACTOR, NOTIONAL, fixingTime, INDEX, fixingPeriodStartTime, fixingPeriodEndTime,
        FIXING_ACCRUAL_FACTOR, SPREAD, FACTOR, forwardCurve);
    final Payment couponConverted2 = COUPON_DEFINITION.toDerivative(referenceDate, fixingTS2, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted2);
    final Payment couponConverted3 = COUPON_DEFINITION.toDerivative(referenceDate, curves);
    assertEquals("CouponIborGearingDefinition: toDerivative", coupon2, couponConverted3);

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