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

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

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      coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[loopcpn], IBOR_PAYMENT_DATES[loopcpn - 1], IBOR_PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(IBOR_PAYMENT_DATES[loopcpn - 1],
          IBOR_PAYMENT_DATES[loopcpn]), NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(IBOR_PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      couponsIbor[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
    }
    final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(couponsIbor, IBOR_INDEX, CALENDAR);

    new SwapFixedIborDefinition(null, iborAnnuity);
  }
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    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);
    definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
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    SwapNode swapNode = new SwapNode(Tenor.of(Period.ZERO), Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
    InstrumentDefinition<?> definition = swapNode.accept(converter);
    assertTrue(definition instanceof SwapDefinition);
    final IborIndex index3m = new IborIndex(Currency.USD, Period.ofMonths(3), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    final IborIndex index6m = new IborIndex(Currency.USD, Period.ofMonths(6), 2, ACT_360, MODIFIED_FOLLOWING, false, LIBOR_6M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition receiveLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, receiveLeg), definition);
    settlementDate = DateUtils.getUTCDate(2014, 3, 5);
    swapNode = new SwapNode(Tenor.ONE_YEAR, Tenor.TEN_YEARS, SWAP_3M_IBOR_ID, SWAP_6M_IBOR_ID, "Mapper");
    definition = swapNode.accept(converter);
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    assertTrue(definition instanceof SwapDefinition);
    final Period paymentPeriod = Period.ofMonths(3);
    final Period compositionPeriod = Period.ofMonths(1);
    final IborIndex index3m = new IborIndex(Currency.USD, paymentPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue()); // Not correct conventions. Only for testing.
    final IborIndex index1m = new IborIndex(Currency.USD, compositionPeriod, 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_1M_ID.getValue());
    AnnuityCouponIborDefinition payLeg = AnnuityCouponIborDefinition.from(settlementDate, legTenor.getPeriod(), 1, index3m, true, CALENDAR);
    final AnnuityDefinition<CouponIborCompoundingSpreadDefinition> receiveLeg = AnnuityDefinitionBuilder.annuityIborCompoundingSpreadFrom(settlementDate, settlementDate.plus(legTenor.getPeriod()), paymentPeriod, 1, spread,
        index1m, StubType.SHORT_START, false, MODIFIED_FOLLOWING, true, CALENDAR, StubType.SHORT_START);
    assertEquals("IborIborCompoundingSwap: first leg", payLeg, ((SwapDefinition)definition).getFirstLeg());
    for(int loopcpn=9; loopcpn<receiveLeg.getNumberOfPayments(); loopcpn++) {
      assertEquals("IborIborCompoundingSwap: first leg - cpn " + loopcpn, receiveLeg.getNthPayment(loopcpn), ((SwapDefinition)definition).getSecondLeg().getNthPayment(loopcpn));
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    BondIborSecurityDefinition.from(MATURITY_DATE, START_ACCRUAL_DATE, IBOR_INDEX, SETTLEMENT_DAYS, DAY_COUNT, null, IS_EOM, ISSUER_NAME, CALENDAR);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveNominal() {
    final AnnuityCouponIborDefinition coupon = AnnuityCouponIborDefinition.fromAccrualUnadjusted(START_ACCRUAL_DATE, MATURITY_DATE, 1.0, IBOR_INDEX, false, CALENDAR);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, -1.0) }, CALENDAR);
    new BondIborSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, ISSUER_NAME);
  }
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    new BondIborSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, ISSUER_NAME);
  }

  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveCoupon() {
    final AnnuityCouponIborDefinition coupon = AnnuityCouponIborDefinition.fromAccrualUnadjusted(START_ACCRUAL_DATE, MATURITY_DATE, 1.0, IBOR_INDEX, false, CALENDAR);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, -1.0) }, CALENDAR);
    new BondIborSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, ISSUER_NAME);
  }
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  public void testGetters() {
    //    BondIborSecurityDefinition bond = BondIborSecurityDefinition.from(MATURITY_DATE, START_ACCRUAL_DATE, IBOR_INDEX, SETTLEMENT_DAYS, DAY_COUNT, BUSINESS_DAY, IS_EOM);
    assertEquals(SETTLEMENT_DAYS, FRN_DEFINITION.getSettlementDays());
    assertEquals(DAY_COUNT, FRN_DEFINITION.getDayCount());
    assertEquals(0, FRN_DEFINITION.getExCouponDays()); //Default
    final AnnuityCouponIborDefinition coupon = AnnuityCouponIborDefinition.fromAccrualUnadjusted(START_ACCRUAL_DATE, MATURITY_DATE, 1.0, IBOR_INDEX, false, CALENDAR);
    assertEquals(coupon, FRN_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(), FRN_DEFINITION.getNominal().getCurrency());
    assertEquals(nominal.getNthPayment(0).getPaymentDate(), FRN_DEFINITION.getNominal().getNthPayment(0).getPaymentDate());
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    final double[] floorIbor = new double[] {0.0, 0.0, -10.0};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, IBOR_INDEX, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
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    final boolean isPayer = true;
    final ZonedDateTime settleDate = DateUtils.getUTCDate(2014, 3, 20);
    final Period indexTenor = Period.ofMonths(3);
    final DayCount dayCount = DayCountFactory.INSTANCE.getDayCount("Actual/360");
    final IborIndex INDEX = new IborIndex(CUR, indexTenor, settlementDays, dayCount, businessDayConvention, isEOM);
    final AnnuityCouponIborDefinition iborAnnuityDefinition = AnnuityCouponIborDefinition.from(settleDate, Period.ofYears(5), notional, INDEX, !isPayer, CALENDAR);

    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final Annuity<? extends Payment> iborAnnuity1Curve = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, FUNDING_CURVE_NAME, FUNDING_CURVE_NAME);
    final Annuity<? extends Payment> iborAnnuity = iborAnnuityDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    //produce a array of strictly ascending times
    final Set<Double> times = new TreeSet<>();
    for (int i = 0; i < iborAnnuity.getNumberOfPayments(); i++) {
      final CouponIbor coupon = (CouponIbor) iborAnnuity.getNthPayment(i);
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    final double[] floorIbor = new double[] {0.0, 0.0, -10.0};
    final double[] capIbor = new double[] {0.0, 0.0, +50.0};
    final AnnuityCouponIborRatchetDefinition ratchetFixedDefinition = AnnuityCouponIborRatchetDefinition.withFirstCouponFixed(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, INDEX_EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS, CURVES_NAMES);
    final Coupon[] iborFirstFixed = new Coupon[ibor.getNumberOfPayments()];
    iborFirstFixed[0] = ratchetFixed.getNthPayment(0);
    for (int loopcpn = 1; loopcpn < ibor.getNumberOfPayments(); loopcpn++) {
      iborFirstFixed[loopcpn] = ibor.getNthPayment(loopcpn);
    }
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Related Classes of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborDefinition

  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.method.AnnuityCouponIborRatchetLMMMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetHullWhiteMethodTest
  • com.opengamma.analytics.financial.interestrate.annuity.provider.AnnuityCouponIborRatchetLMMMethodTest
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