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

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

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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, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    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 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, EURIBOR3M, IS_PAYER,
        FIRST_CPN_RATE, mainIbor, floorIbor, capIbor, TARGET);
    final AnnuityCouponIborRatchet ratchetFixed = ratchetFixedDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    final AnnuityCouponIborDefinition iborDefinition = AnnuityCouponIborDefinition.from(SETTLEMENT_DATE, ANNUITY_TENOR, NOTIONAL, EURIBOR3M, IS_PAYER, TARGET);
    final Annuity<? extends Coupon> ibor = iborDefinition.toDerivative(REFERENCE_DATE, FIXING_TS);
    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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      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, CALENDAR), new AnnuityCouponIborDefinition(cpnIbor, EURIBOR6M, TARGET));
    final SwaptionPhysicalFixedIborDefinition swaptionAmortizedDefinition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swapAmortizedDefinition, IS_LONG);
    final SwaptionPhysicalFixedIbor swaptionAmortized = swaptionAmortizedDefinition.toDerivative(REFERENCE_DATE, CURVES_NAME);

    // 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, sabrBundle);
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      fixedLeg = (FixedInterestRateLeg) underlyingSecurity.getReceiveLeg();
      floatLeg = (FloatingInterestRateLeg) underlyingSecurity.getPayLeg();
    }
    switch (floatLeg.getFloatingRateType()) {
      case IBOR: {
        AnnuityCouponIborDefinition iborLeg;
        if (swap.getFirstLeg() instanceof AnnuityCouponIborDefinition) {
          iborLeg = (AnnuityCouponIborDefinition) swap.getFirstLeg();
        } else if (swap.getSecondLeg() instanceof AnnuityCouponIborDefinition) {
          iborLeg = (AnnuityCouponIborDefinition) swap.getSecondLeg();
        } else {
          throw new OpenGammaRuntimeException("Could not find ibor leg for " + underlyingSecurity);
        }
        final IborIndex iborIndex = iborLeg.getIborIndex();
        final Calendar calendar = iborLeg.getIborCalendar();
        final DayCount fixedLegDayCount = fixedLeg.getDayCount();
        final Frequency frequency = fixedLeg.getFrequency();
        final Period fixedLegPeriod;
        if (frequency instanceof PeriodFrequency) {
          fixedLegPeriod = ((PeriodFrequency) frequency).getPeriod();
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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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