Package com.opengamma.analytics.financial.instrument.annuity

Examples of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition

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    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    final int nbPeriods = amortization.length;
    final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(SETTLEMENT_DATE, Period.ofYears(nbPeriods), EUR1YEURIBOR6M, NOTIONAL, RATE, FIXED_IS_PAYER);
    //    SwapFixedCoupon<Coupon> swap = swapDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[nbPeriods];
    final AnnuityCouponFixedDefinition legFixed = swapDefinition.getFixedLeg();
    final CouponIborDefinition[] cpnIbor = new CouponIborDefinition[2 * nbPeriods];
    final AnnuityDefinition<? extends PaymentDefinition> legIbor = swapDefinition.getSecondLeg();
    for (int loopexp = 0; loopexp < nbPeriods; loopexp++) {
      cpnFixed[loopexp] = legFixed.getNthPayment(loopexp).withNotional(legFixed.getNthPayment(loopexp).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp))
          .withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp)).getNotional() * amortization[loopexp]);
      cpnIbor[2 * loopexp + 1] = ((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).withNotional(((CouponIborDefinition) legIbor.getNthPayment(2 * loopexp + 1)).getNotional()
          * amortization[loopexp]);
    }
    final SwapFixedIborDefinition swapAmortizedDefinition = new SwapFixedIborDefinition(new AnnuityCouponFixedDefinition(cpnFixed, TARGET), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE);

    // SABR parameters sensitivity (parallel shift check). The sensitivities are not exact; in the approximation a small "second order" term is ignored
    final PresentValueSABRSensitivityDataBundle pvss = METHOD_SABR_LMM_ATBEST.presentValueSABRSensitivity(swaptionAmortized, SABR_MULTICURVES);
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    final FixedInterestRateLeg fixedLeg = (FixedInterestRateLeg) (payFixed ? payLeg : receiveLeg);
    final FloatingInterestRateLeg floatingLeg = (FloatingInterestRateLeg) (payFixed ? receiveLeg : payLeg);
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    final AnnuityCouponFixedDefinition fixedAnnuity = getFixedSwapLegDefinition(effectiveDate, maturityDate, fixedLeg, calendar, payFixed);
    final AnnuityCouponCMSDefinition cmsAnnuity = getCMSwapLegDefinition(effectiveDate, maturityDate, floatingLeg, calendar, currency, !payFixed);
    return payFixed ? new SwapDefinition(fixedAnnuity, cmsAnnuity) : new SwapDefinition(cmsAnnuity, fixedAnnuity);
  }
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        sign * 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]), sign * NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(couponsFixed, CALENDAR);
    // Ibor leg
    final CouponIborDefinition[] couponsIbor = new CouponIborDefinition[IBOR_PAYMENT_DATES.length];
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[0], SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0]),
        -sign * NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
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        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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    final IborIndex index = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, SWAP_3M_IBOR_ID, "Mapper");
    ZonedDateTime settlementDate = DateUtils.getUTCDate(2013, 3, 5);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponIborDefinition floatLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index, false, CALENDAR);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, FIXED_LEG_ID, "Mapper");
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
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    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, FIXED_LEG_ID, OIS_ID, "Mapper");
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new SwapNodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IndexON index = new IndexON(OVERNIGHT_ID.getValue(), Currency.USD, ACT_360, 1);
    AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(Currency.USD, settlementDate, Period.ofYears(10), Period.ofMonths(6), CALENDAR, ACT_360,
        MODIFIED_FOLLOWING, false, 1, rate, true);
    AnnuityCouponONSimplifiedDefinition floatLeg = AnnuityCouponONSimplifiedDefinition.from(settlementDate, Period.ofYears(10), 1, false, index, 1,
        CALENDAR, MODIFIED_FOLLOWING, Period.ofYears(1), false);
    assertEquals(new SwapDefinition(fixedLeg, floatLeg), definition);
    settlementDate = DateUtils.getUTCDate(2013, 3, 5);
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        ISSUER_NAME);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveNominal() {
    final AnnuityCouponFixedDefinition coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, START_ACCRUAL_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true,
        CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, 1.0, RATE, false);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, -1.0)}, CALENDAR);
    new BondFixedSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
  }
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    new BondFixedSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveCoupon() {
    final AnnuityCouponFixedDefinition coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, START_ACCRUAL_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true,
        CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, 1.0, RATE, true);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, 1.0) }, CALENDAR);
    new BondFixedSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
  }
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    assertEquals(DAY_COUNT, BOND_SECURITY_DEFINITION.getDayCount());
    assertEquals(YIELD_CONVENTION, BOND_SECURITY_DEFINITION.getYieldConvention());
    assertEquals(COUPON_PER_YEAR, BOND_SECURITY_DEFINITION.getCouponPerYear());
    assertEquals(0, BOND_SECURITY_DEFINITION.getExCouponDays()); //Default
    assertEquals(CUR, BOND_SECURITY_DEFINITION.getCurrency());
    final AnnuityCouponFixedDefinition coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, START_ACCRUAL_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true,
        CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, 1.0, RATE, false);
    assertEquals(coupon, BOND_SECURITY_DEFINITION.getCoupons());
    final AnnuityDefinition<PaymentFixedDefinition> nominal = new AnnuityDefinition<>(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR,
        BUSINESS_DAY.adjustDate(CALENDAR, MATURITY_DATE), 1.0) }, CALENDAR);
    assertEquals(nominal.getCurrency(), BOND_SECURITY_DEFINITION.getNominal().getCurrency());
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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeUSTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
    final double factorSpot = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR);
    final double factorPeriod = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), RATE, COUPON_PER_YEAR);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final BondFixedSecurity bondExpected = new BondFixedSecurity(nominal, coupon, spotTime1, accruedInterest, factorToNextCoupon, YIELD_CONVENTION, COUPON_PER_YEAR,
        REPO_CURVE_NAME, "");
    assertEquals("Bond Fixed Security Definition to derivative", bondConverted.getAccrualFactorToNextCoupon(), bondExpected.getAccrualFactorToNextCoupon(), 1.0E-10);
    assertEquals("Bond Fixed Security Definition to derivative", bondConverted.getAccruedInterest(), bondExpected.getAccruedInterest(), 1.0E-10);
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Related Classes of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedDefinition

  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborSpreadDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationYearOnYearDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedONDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedONSimplifiedDefinition
  • com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityCouponFixed
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