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

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

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      coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(currency, firstAccrualDate, maturityDate, paymentPeriod, true, true, calendar, dayCount, businessDay,
          isEOM, DEFAULT_NOTIONAL, rate, false);
    }
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupon, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer);
  }
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        rate);
    System.arraycopy(couponAfterFirst, 0, allCoupons, 1, couponAfterFirst.length);
    final AnnuityCouponFixedDefinition coupons = new AnnuityCouponFixedDefinition(allCoupons, calendar);
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        DEFAULT_NOTIONAL) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupons, DEFAULT_EX_COUPON_DAYS, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer);
  }
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      coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(currency, firstAccrualDate, maturityDate, paymentPeriod, true, true, calendar, dayCount, businessDay,
          isEOM, notional, rate, false);
    }
    final PaymentFixedDefinition[] nominalPayment = new PaymentFixedDefinition[] {new PaymentFixedDefinition(currency, businessDay.adjustDate(calendar, maturityDate),
        notional) };
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(nominalPayment, calendar);
    return new BondFixedSecurityDefinition(nominal, coupon, exCouponDays, settlementDays, calendar, dayCount, yieldConvention, isEOM, issuer, repoType);
  }
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    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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  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveNominal() {
    final AnnuityCouponFixedDefinition coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, START_ACCRUAL_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true,
        CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, 1.0, RATE, false);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, -1.0)}, CALENDAR);
    new BondFixedSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
  }
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  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testPositiveCoupon() {
    final AnnuityCouponFixedDefinition coupon = AnnuityCouponFixedDefinition.fromAccrualUnadjusted(CUR, START_ACCRUAL_DATE, MATURITY_DATE, PAYMENT_TENOR, true, true,
        CALENDAR, DAY_COUNT, BUSINESS_DAY, IS_EOM, 1.0, RATE, true);
    final AnnuityPaymentFixedDefinition nominal = new AnnuityPaymentFixedDefinition(new PaymentFixedDefinition[] {new PaymentFixedDefinition(CUR, MATURITY_DATE, 1.0) }, CALENDAR);
    new BondFixedSecurityDefinition(nominal, coupon, 0, SETTLEMENT_DAYS, CALENDAR, DAY_COUNT, YIELD_CONVENTION, IS_EOM, ISSUER_NAME);
  }
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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeUSTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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  }

  @Test
  public void toDerivativeUST() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION.toDerivative(REFERENCE_DATE_1);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS, CALENDAR);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE, COUPON_PER_YEAR)
        * NOTIONAL;
 
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  @SuppressWarnings("deprecation")
  @Test
  public void toDerivativeUKTDeprecated() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1, CURVES_NAME);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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  }

  @Test
  public void toDerivativeUKT() {
    final BondFixedSecurity bondConverted = BOND_SECURITY_DEFINITION_G.toDerivative(REFERENCE_DATE_1);
    AnnuityPaymentFixedDefinition nominalDefinition = (AnnuityPaymentFixedDefinition) BOND_SECURITY_DEFINITION_G.getNominal();
    AnnuityCouponFixedDefinition couponDefinition = BOND_SECURITY_DEFINITION_G.getCoupons();
    final ZonedDateTime spotDate1 = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE_1, SETTLEMENT_DAYS_G, CALENDAR_G);
    nominalDefinition = nominalDefinition.trimBefore(spotDate1);
    couponDefinition = couponDefinition.trimBefore(spotDate1);

    final AnnuityPaymentFixed nominal = nominalDefinition.toDerivative(REFERENCE_DATE_1);
    final AnnuityCouponFixed coupon = couponDefinition.toDerivative(REFERENCE_DATE_1);
    final double spotTime1 = ACT_ACT.getDayCountFraction(REFERENCE_DATE_1, spotDate1);
    final double accruedInterest = DAY_COUNT_G.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spotDate1, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), RATE_G, COUPON_PER_YEAR_G)
        * NOTIONAL_G;
 
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Related Classes of com.opengamma.analytics.financial.instrument.annuity.AnnuityPaymentFixedDefinition

  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondFixedSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondIborSecurityDefinitionTest
  • com.opengamma.analytics.financial.interestrate.annuity.derivative.AnnuityPaymentFixed
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