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

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

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  @Test
  public void toDerivativeUST() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1);
    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);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    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,
        "");
    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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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeUKTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    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_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
    final double factorSpot = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G);
    final double factorPeriod = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final BondFixedSecurity bondExpected = new BondFixedSecurity(nominal, coupon, spotTime1, accruedInterest, factorToNextCoupon, YIELD_CONVENTION_G, COUPON_PER_YEAR_G,
        REPO_CURVE_NAME, "");
    assertEquals("Bond Fixed Security Definition to derivative", bondExpected.getAccrualFactorToNextCoupon(), bondConverted.getAccrualFactorToNextCoupon(), 1.0E-10);
    assertEquals("Bond Fixed Security Definition to derivative", bondExpected.getAccruedInterest(), bondConverted.getAccruedInterest(), 1.0E-10);
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  @Test
  public void toDerivativeUKT() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
    final double factorSpot = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G);
    final double factorPeriod = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final BondFixedSecurity bondExpected = new BondFixedSecurity(nominal, coupon, spotTime1, accruedInterest, factorToNextCoupon, YIELD_CONVENTION_G, COUPON_PER_YEAR_G,
        "");
    assertEquals("Bond Fixed Security Definition to derivative", bondExpected.getAccrualFactorToNextCoupon(), bondConverted.getAccrualFactorToNextCoupon(), 1.0E-10);
    assertEquals("Bond Fixed Security Definition to derivative", bondExpected.getAccruedInterest(), bondConverted.getAccruedInterest(), 1.0E-10);
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  @Test
  public void toDerivativeUKTExCouponDeprecated() {
    final ZonedDateTime referenceDate2 = DateUtils.getUTCDate(2011, 9, 2); // Ex-dividend is 30-Aug-2011
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(referenceDate2, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    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)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
    final double factorSpot = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
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  @Test
  public void toDerivativeUKTExCoupon() {
    final ZonedDateTime referenceDate2 = DateUtils.getUTCDate(2011, 9, 2); // Ex-dividend is 30-Aug-2011
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(referenceDate2);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    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)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G) - RATE_G / COUPON_PER_YEAR_G)
        * NOTIONAL_G;
    final double factorSpot = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate, couponDefinition.getNthPayment(0)
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    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);

    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    assertEquals("Annuity Ratchet Ibor - Hull-White - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 2.0E+2);
  }
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    //    startTime = System.currentTimeMillis();
    final CurrencyAmount pvFloorMC = methodMC.presentValue(ratchetFixed, CUR, CURVES_NAMES[0], BUNDLE_HW);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final CapFloorIborHullWhiteMethod methodCapHW = new CapFloorIborHullWhiteMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetFixed.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
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    //    startTime = System.currentTimeMillis();
    final CurrencyAmount pvFlooredMC = methodMC.presentValue(ratchetIbor, CUR, CURVES_NAMES[0], BUNDLE_HW);
    //    endTime = System.currentTimeMillis();
    //    System.out.println("PV Ratchet ibor - Hull-White MC method (" + nbPath + " paths): " + (endTime - startTime) + " ms");
    final CapFloorIborHullWhiteMethod methodCapHW = new CapFloorIborHullWhiteMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(CUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_TENOR, TARGET, DAY_COUNT, BUSINESS_DAY, IS_EOM, NOTIONAL,
        strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(referenceDate, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetIbor.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapHW.presentValue(cap.getNthPayment(loopcpn), BUNDLE_HW).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
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    final double[] floorFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final double[] capFixed = new double[] {0.0, 0.0, FIRST_CPN_RATE};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainFixed, floorFixed, capFixed, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, FIRST_CPN_RATE, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    final double pvFixedExpected = fixed.accept(PVC, CURVES);
    final CurrencyAmount pvFixedMC = methodMC.presentValue(ratchetFixed, EUR, CURVES.getCurve(CURVES_NAMES[0]), BUNDLE_LMM);
    assertEquals("Annuity Ratchet Ibor - LMM - Monte Carlo - Degenerate in Fixed leg", pvFixedExpected, pvFixedMC.getAmount(), 1.0E+2);
    // For 500,000 path the difference is 1.65
  }
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    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCapFloorIborDefinition capDefinition = AnnuityCapFloorIborDefinition.from(SETTLEMENT_DATE, SETTLEMENT_DATE.plus(ANNUITY_TENOR), NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, strike, true, TARGET);
    final Annuity<? extends Payment> cap = capDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final LiborMarketModelMonteCarloMethod methodMC = new LiborMarketModelMonteCarloMethod(new NormalRandomNumberGenerator(0.0, 1.0, new MersenneTwister()), nbPath);
    final CapFloorIborLMMDDMethod methodCapLMM = new CapFloorIborLMMDDMethod();
    final AnnuityCouponFixedDefinition fixedDefinition = AnnuityCouponFixedDefinition.from(EUR, SETTLEMENT_DATE, ANNUITY_TENOR, INDEX_EURIBOR3M.getTenor(), TARGET, INDEX_EURIBOR3M.getDayCount(),
        INDEX_EURIBOR3M.getBusinessDayConvention(), INDEX_EURIBOR3M.isEndOfMonth(), NOTIONAL, strike, IS_PAYER);
    final AnnuityCouponFixed fixed = fixedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAMES);
    double pvFlooredExpected = 0.0;
    pvFlooredExpected += ratchetFixed.getNthPayment(0).accept(PVC, CURVES);
    for (int loopcpn = 1; loopcpn < cap.getNumberOfPayments(); loopcpn++) {
      pvFlooredExpected += factor * methodCapLMM.presentValue(cap.getNthPayment(loopcpn), BUNDLE_LMM).getAmount();
      pvFlooredExpected += factor * fixed.getNthPayment(loopcpn).accept(PVC, CURVES);
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