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

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

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    for (int loopcpn = 0; loopcpn < oisLeg.getNumberOfPayments(); loopcpn++) {
      final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), indexIbor.getSpotLag(), calendar);
      cpnIbor[loopcpn] = new CouponIborSpreadDefinition(oisLeg.getCurrency(), oisLeg.getNthPayment(loopcpn).getPaymentDate(), oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), oisLeg
          .getNthPayment(loopcpn).getAccrualEndDate(), oisLeg.getNthPayment(loopcpn).getPaymentYearFraction(), notionalSigned, fixingDate, indexIbor, spread, calendar);
    }
    return new SwapIborONDefinition(new AnnuityCouponIborSpreadDefinition(cpnIbor, calendar), oisLeg);
  }
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      return Collections.emptyList();
    }

    @Override
    public List<ZonedDateTime> visitSwapIborIborDefinition(final SwapIborIborDefinition swap, final ZonedDateTime date) {
      AnnuityCouponIborSpreadDefinition payLeg;
      if (_isPay) {
        payLeg = swap.getFirstLeg().isPayer() ? swap.getFirstLeg() : swap.getSecondLeg();
      } else {
        payLeg = swap.getFirstLeg().isPayer() ? swap.getSecondLeg() : swap.getFirstLeg();
      }
      final List<ZonedDateTime> payments = new ArrayList<>();
      for (final PaymentDefinition coupon : payLeg.getPayments()) {
        if (!date.isBefore(coupon.getPaymentDate())) {
          payments.add(coupon.getPaymentDate());
        }
      }
      return payments;
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    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 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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    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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  public static SwapIborIborDefinition from(final ZonedDateTime settlementDate, final Period tenor, final GeneratorSwapIborIbor generator, final double notional, final double spread,
      final boolean isPayer) {
    ArgumentChecker.notNull(settlementDate, "settlement date");
    ArgumentChecker.notNull(tenor, "Tenor");
    ArgumentChecker.notNull(generator, "Swap generator");
    final AnnuityCouponIborSpreadDefinition firstLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, tenor, notional, generator.getIborIndex1(), spread, isPayer, generator.getCalendar1());
    final AnnuityCouponIborSpreadDefinition secondLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, tenor, notional, generator.getIborIndex2(), 0.0, !isPayer, generator.getCalendar2());
    return new SwapIborIborDefinition(firstLeg, secondLeg);
  }
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    final FloatingInterestRateLeg floatReceiveLeg = (FloatingInterestRateLeg) receiveLeg;
    final ExternalId regionId = payLeg.getRegionId();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final Currency currency = ((InterestRateNotional) payLeg.getNotional()).getCurrency();
    if (floatPayLeg instanceof FloatingSpreadIRLeg) {
      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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    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);
    assertTrue(definition instanceof SwapDefinition);
    payLeg = AnnuityCouponIborDefinition.from(settlementDate, Period.ofYears(10), 1, index3m, true, CALENDAR);
    final AnnuityCouponIborSpreadDefinition spreadLeg = AnnuityCouponIborSpreadDefinition.from(settlementDate, Period.ofYears(10), 1, index6m, spread, false, CALENDAR);
    assertEquals(new SwapDefinition(payLeg, spreadLeg), definition);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponIborSpreadDefinition

  • com.opengamma.analytics.financial.instrument.NettedProjectedCashFlowFromDateCalculator$PaymentsVisitor
  • com.opengamma.analytics.financial.instrument.payment.CouponIborSpreadDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborSpreadDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapIborIborDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapIborONDefinition
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverterDeprecated
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • org.threeten.bp.ZonedDateTime
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