Package com.opengamma.analytics.financial.instrument.cash

Examples of com.opengamma.analytics.financial.instrument.cash.CashDefinition

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  @Test
  /**
   * Tests the builders.
   */
  public void from() {
    final CashDefinition fromTradeTenor = CashDefinition.fromTrade(TRADE_DATE, DEPOSIT_PERIOD, NOTIONAL, RATE, GENERATOR);
    assertEquals("CashDefinition: from", DEPOSIT_DEFINITION, fromTradeTenor);
    final CashDefinition fromStartTenor = CashDefinition.fromStart(SPOT_DATE, DEPOSIT_PERIOD, NOTIONAL, RATE, GENERATOR);
    assertEquals("CashDefinition: from", DEPOSIT_DEFINITION, fromStartTenor);
    final int start = 1;
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(TRADE_DATE, start, TARGET);
    final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, TARGET);
    final double af = GENERATOR.getDayCount().getDayCountFraction(startDate, endDate);
    final CashDefinition on = new CashDefinition(EUR, startDate, endDate, NOTIONAL, RATE, af);
    final CashDefinition fromTradeON = CashDefinition.fromTrade(TRADE_DATE, start, NOTIONAL, RATE, GENERATOR);
    assertEquals("CashDefinition: from", on, fromTradeON);
    final CashDefinition fromStartON = CashDefinition.fromStart(startDate, NOTIONAL, RATE, GENERATOR);
    assertEquals("CashDefinition: from", on, fromStartON);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 7, 17);
    final Period tenor = Period.ofDays(2);
    final double rate = 0.01;
    final double notional = 12345;
    final GeneratorAttributeIR attribute = new GeneratorAttributeIR(tenor, tenor);
    final CashDefinition insGenerated = GENERATOR_DEPOSIT_ON_USD.generateInstrument(referenceDate, rate, notional, attribute);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(referenceDate, tenor, CALENDAR);
    final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, 1, CALENDAR);
    final double accrualFactor = DAY_COUNT.getDayCountFraction(startDate, endDate);
    final CashDefinition insExpected = new CashDefinition(CUR, startDate, endDate, notional, rate, accrualFactor);
    assertEquals("Generator Deposit Counterpart: generate instrument", insExpected, insGenerated);
  }
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    final ZonedDateTime referenceDate = DateUtils.getUTCDate(2012, 7, 17);
    final Period tenor = Period.ofMonths(6);
    final double rate = 0.01;
    final double notional = 12345;
    final GeneratorAttributeIR attribute = new GeneratorAttributeIR(tenor);
    final CashDefinition insGenerated = GENERATOR_DEPOSIT_USD.generateInstrument(referenceDate, rate, notional, attribute);
    final ZonedDateTime startDate = ScheduleCalculator.getAdjustedDate(referenceDate, SETTLEMENT_DAYS, CALENDAR);
    final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(startDate, tenor, BUSINESS_DAY, CALENDAR, IS_EOM);
    final double accrualFactor = DAY_COUNT.getDayCountFraction(startDate, endDate);
    final CashDefinition insExpected = new CashDefinition(CUR, startDate, endDate, notional, rate, accrualFactor);
    assertEquals("Generator Deposit: generate instrument", insExpected, insGenerated);
  }
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   */
  public void parRateBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parRate = METHOD_DEPOSIT.parRate(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, parRate, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: par rate", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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   */
  public void parSpreadBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: par spread", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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   */
  public void parSpreadOnStart() {
    final ZonedDateTime referenceDate = DEPOSIT_DEFINITION.getStartDate();
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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   */
  public void parSpreadAfterStart() {
    final ZonedDateTime referenceDate = ScheduleCalculator.getAdjustedDate(DEPOSIT_DEFINITION.getStartDate(), 1, TARGET);
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, PROVIDER); // Spread will be -(1/delta+rate), as there is no initial amount
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate);
    final MultipleCurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, PROVIDER);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(EUR), TOLERANCE_PV);
  }
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   */
  public void parRateBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double parRate = METHOD_DEPOSIT.parRate(deposit, CURVES);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, parRate, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositDefinition: par rate", 0, pv0.getAmount(), TOLERANCE_PRICE);
  }
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   */
  public void parSpreadBeforeStart() {
    final ZonedDateTime referenceDate = TRADE_DATE;
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositDefinition: par spread", 0, pv0.getAmount(), TOLERANCE_PRICE);
  }
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   */
  public void parSpreadOnStart() {
    final ZonedDateTime referenceDate = DEPOSIT_DEFINITION.getStartDate();
    final Cash deposit = DEPOSIT_DEFINITION.toDerivative(referenceDate, CURVES_NAME[0]);
    final double parSpread = METHOD_DEPOSIT.parSpread(deposit, CURVES);
    final CashDefinition deposit0Definition = new CashDefinition(EUR, SPOT_DATE, END_DATE, NOTIONAL, RATE + parSpread, DEPOSIT_AF);
    final Cash deposit0 = deposit0Definition.toDerivative(referenceDate, CURVES_NAME[0]);
    final CurrencyAmount pv0 = METHOD_DEPOSIT.presentValue(deposit0, CURVES);
    assertEquals("DepositDefinition: present value", 0, pv0.getAmount(), TOLERANCE_PRICE);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.cash.CashDefinition

  • com.opengamma.analytics.financial.instrument.cash.definition.CashDefinitionTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDeposit
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositON
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositONTest
  • com.opengamma.analytics.financial.instrument.index.GeneratorDepositTest
  • com.opengamma.analytics.financial.interestrate.cash.derivative.Cash
  • com.opengamma.analytics.financial.interestrate.cash.method.CashDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.cash.provider.CashDiscountingMethodTest
  • com.opengamma.financial.analytics.conversion.CashSecurityConverter
  • com.opengamma.financial.analytics.curve.CashNodeConverter
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