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

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

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  public static SwapFixedIborDefinition from(final ZonedDateTime settlementDate, final IndexSwap cmsIndex, final double notional, final double fixedRate, final boolean isPayer,
      final Calendar calendar) {
    ArgumentChecker.notNull(settlementDate, "settlement date");
    ArgumentChecker.notNull(cmsIndex, "CMS index");
    ArgumentChecker.notNull(calendar, "calendar");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(cmsIndex.getCurrency(), settlementDate, cmsIndex.getTenor(), cmsIndex.getFixedLegPeriod(), calendar,
        cmsIndex.getFixedLegDayCount(), cmsIndex.getIborIndex().getBusinessDayConvention(), cmsIndex.getIborIndex().isEndOfMonth(), notional, fixedRate, isPayer);
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(settlementDate, cmsIndex.getTenor(), notional, cmsIndex.getIborIndex(), !isPayer, calendar);
    return new SwapFixedIborDefinition(fixedLeg, iborLeg);
  }
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  public static SwapFixedIborDefinition from(final ZonedDateTime settlementDate, final Period tenor, final GeneratorSwapFixedIbor generator, final double notional, final double fixedRate,
      final boolean isPayer) {
    ArgumentChecker.notNull(settlementDate, "settlement date");
    ArgumentChecker.notNull(tenor, "Tenor");
    ArgumentChecker.notNull(generator, "Swap generator");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(generator.getCurrency(), settlementDate, tenor, generator.getFixedLegPeriod(), generator.getCalendar(),
        generator.getFixedLegDayCount(), generator.getIborIndex().getBusinessDayConvention(), generator.getIborIndex().isEndOfMonth(), notional, fixedRate, isPayer);
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(settlementDate, tenor, notional, generator.getIborIndex(), !isPayer, generator.getCalendar());
    return new SwapFixedIborDefinition(fixedLeg, iborLeg);
  }
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  public static SwapFixedIborDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final GeneratorSwapFixedIbor generator, final double notional,
      final double fixedRate, final boolean isPayer) {
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(maturityDate, "Maturity date");
    ArgumentChecker.notNull(generator, "Swap generator");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(generator.getCurrency(), settlementDate, maturityDate, generator.getFixedLegPeriod(), generator.getCalendar(),
        generator.getFixedLegDayCount(), generator.getIborIndex().getBusinessDayConvention(), generator.getIborIndex().isEndOfMonth(), notional, fixedRate, isPayer);
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(settlementDate, maturityDate, notional, generator.getIborIndex(), !isPayer, generator.getCalendar());
    return new SwapFixedIborDefinition(fixedLeg, iborLeg);
  }
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  public static SwapFixedIborDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final GeneratorSwapFixedIbor generator, final double notionalFixed,
      final double notionalIbor, final double fixedRate, final boolean isPayer, final Calendar calendar) {
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(maturityDate, "Maturity date");
    ArgumentChecker.notNull(generator, "Swap generator");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(generator.getCurrency(), settlementDate, maturityDate, generator.getFixedLegPeriod(), generator.getCalendar(),
        generator.getFixedLegDayCount(), generator.getIborIndex().getBusinessDayConvention(), generator.getIborIndex().isEndOfMonth(), notionalFixed, fixedRate, isPayer);
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(settlementDate, maturityDate, notionalIbor, generator.getIborIndex(), !isPayer, calendar);
    return new SwapFixedIborDefinition(fixedLeg, iborLeg);
  }
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  public static SwapFixedIborDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final Period fixedLegPeriod, final DayCount fixedLegDayCount,
      final BusinessDayConvention fixedLegBusinessDayConvention, final boolean fixedLegEOM, final double fixedLegNotional, final double fixedLegRate, final Period iborLegPeriod,
      final DayCount iborLegDayCount, final BusinessDayConvention iborLegBusinessDayConvention, final boolean iborLegEOM, final double iborLegNotional,
      final IborIndex iborIndex, final boolean isPayer, final Calendar calendar) {
    ArgumentChecker.notNull(iborIndex, "Ibor index");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(iborIndex.getCurrency(), settlementDate, maturityDate, fixedLegPeriod, calendar, fixedLegDayCount,
        fixedLegBusinessDayConvention, fixedLegEOM, fixedLegNotional, fixedLegRate, isPayer);
    final AnnuityCouponIborDefinition iborLeg = AnnuityCouponIborDefinition.from(settlementDate, maturityDate, iborLegPeriod, iborLegNotional, iborIndex, !isPayer, iborLegBusinessDayConvention,
        iborLegEOM, iborLegDayCount, calendar);
    return new SwapFixedIborDefinition(fixedLeg, iborLeg);
  }
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   * Creates a new swap. The coupon in the new swap have start accrual date after or on the given date.
   * @param trimDate The date.
   * @return The trimmed swap.
   */
  public SwapFixedIborDefinition trimStart(final ZonedDateTime trimDate) {
    final AnnuityCouponFixedDefinition fixedLegTrimmed = getFixedLeg().trimStart(trimDate);
    final AnnuityCouponIborDefinition iborLegTrimmed = getIborLeg().trimStart(trimDate);
    return new SwapFixedIborDefinition(fixedLegTrimmed, iborLegTrimmed);
  }
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    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[oisLeg.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < oisLeg.getNumberOfPayments(); loopcpn++) {
      cpnFixed[loopcpn] = new CouponFixedDefinition(oisLeg.getCurrency(), oisLeg.getNthPayment(loopcpn).getPaymentDate(), oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), oisLeg.getNthPayment(
          loopcpn).getAccrualEndDate(), oisLeg.getNthPayment(loopcpn).getPaymentYearFraction(), notionalSigned, fixedRate);
    }
    return new SwapFixedONSimplifiedDefinition(new AnnuityCouponFixedDefinition(cpnFixed, calendar), oisLeg);
  }
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      final double fixedRate, final double spread, final boolean isPayer, final Calendar calendar) {
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(tenor, "Tenor");
    ArgumentChecker.notNull(generator, "Swap generator");
    final ZonedDateTime maturityDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getIborIndex(), calendar);
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(generator.getCurrency(), settlementDate, maturityDate, generator.getFixedLegPeriod(),
        generator.getCalendar(), generator.getFixedLegDayCount(), generator.getIborIndex().getBusinessDayConvention(), generator.getIborIndex().isEndOfMonth(), notional,
        fixedRate, isPayer);
    final AnnuityCouponIborSpreadDefinition iborLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, maturityDate, notional, generator.getIborIndex(), spread,
        !isPayer, calendar);
    return new SwapFixedIborSpreadDefinition(fixedLeg, iborLeg);
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      final DayCount fixedLegDayCount, final BusinessDayConvention fixedLegBusinessDayConvention, final boolean fixedLegEOM, final double fixedLegNotional,
      final double fixedLegRate, final Period iborLegPeriod, final DayCount iborLegDayCount, final BusinessDayConvention iborLegBusinessDayConvention,
      final boolean iborLegEOM, final double iborLegNotional, final IborIndex iborIndex, final double iborLegSpread, final boolean isPayer,
      final Calendar calendar) {
    ArgumentChecker.notNull(iborIndex, "Ibor index");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(iborIndex.getCurrency(), settlementDate, maturityDate, fixedLegPeriod,
        calendar, fixedLegDayCount, fixedLegBusinessDayConvention, fixedLegEOM, fixedLegNotional, fixedLegRate, isPayer);
    final AnnuityCouponIborSpreadDefinition iborLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, maturityDate, iborLegPeriod, iborLegNotional, iborIndex,
        !isPayer, iborLegBusinessDayConvention, iborLegEOM, iborLegDayCount, iborLegSpread, calendar);
    return new SwapFixedIborSpreadDefinition(fixedLeg, iborLeg);
  }
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  public static SwapFixedIborSpreadDefinition from(final ZonedDateTime settlementDate, final ZonedDateTime maturityDate, final GeneratorSwapFixedIbor generator,
      final double notionalFixed, final double notionalIbor, final double fixedRate, final double spread, final boolean isPayer) {
    ArgumentChecker.notNull(settlementDate, "Settlement date");
    ArgumentChecker.notNull(maturityDate, "Maturity date");
    ArgumentChecker.notNull(generator, "Swap generator");
    final AnnuityCouponFixedDefinition fixedLeg = AnnuityCouponFixedDefinition.from(generator.getCurrency(), settlementDate, maturityDate, generator.getFixedLegPeriod(),
        generator.getCalendar(), generator.getFixedLegDayCount(), generator.getIborIndex().getBusinessDayConvention(), generator.getIborIndex().isEndOfMonth(),
        notionalFixed, fixedRate, isPayer);
    final AnnuityCouponIborSpreadDefinition iborLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, maturityDate, notionalIbor, generator.getIborIndex(),
        spread, !isPayer, generator.getCalendar());
    return new SwapFixedIborSpreadDefinition(fixedLeg, iborLeg);
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