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

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

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    ArgumentChecker.notNull(maturityDate, "Maturity date");
    ArgumentChecker.notNull(firstAccrualDate, "First accrual date");
    ArgumentChecker.notNull(index, "Ibor index");
    ArgumentChecker.notNull(dayCount, "Day count");
    ArgumentChecker.notNull(businessDay, "Business day convention");
    final AnnuityCouponIborDefinition coupon = AnnuityCouponIborDefinition.fromAccrualUnadjusted(firstAccrualDate, maturityDate, DEFAULT_NOTIONAL, index, false, calendar);
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(index.getCurrency(), businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondIborSecurityDefinition(nominal, coupon, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, issuer);
  }
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    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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    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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    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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    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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      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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   * @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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      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 AnnuityCouponIborSpreadDefinition payLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatPayLeg, calendar, currency, true);
      if (floatReceiveLeg instanceof FloatingSpreadIRLeg) {
        final AnnuityCouponIborSpreadDefinition receiveLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatReceiveLeg, calendar, currency, false);
        return SwapIborIborDefinition.from(payLegDefinition, receiveLegDefinition);
      }
      final AnnuityCouponIborDefinition receiveLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
      return SwapIborIborDefinition.from(payLegDefinition, receiveLegDefinition);
    }
    final AnnuityCouponIborDefinition payLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, floatPayLeg, calendar, currency, true);
    if (floatReceiveLeg instanceof FloatingSpreadIRLeg) {
      final AnnuityCouponIborSpreadDefinition receiveLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, (FloatingSpreadIRLeg) floatReceiveLeg, calendar, currency, false);
      return SwapIborIborDefinition.from(payLegDefinition, receiveLegDefinition);
    }
    final AnnuityCouponIborDefinition receiveLegDefinition = getIborSwapLegDefinition(effectiveDate, maturityDate, floatReceiveLeg, calendar, currency, false);
    return SwapIborIborDefinition.from(payLegDefinition, receiveLegDefinition);
  }
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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]), -sign * 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);
    //Swap
    final SwapFixedIborDefinition swap = new SwapFixedIborDefinition(fixedAnnuity, iborAnnuity);
    assertEquals(swap.getFixedLeg(), fixedAnnuity);
    assertEquals(swap.getIborLeg(), iborAnnuity);
    assertEquals(swap.getFirstLeg(), fixedAnnuity);
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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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