Package com.opengamma.analytics.financial.instrument.fra

Examples of com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition

115
116
117
118
119
120
121
122
123
124
125
126
  }

  @Test
  public void presentValueBuySellParity() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final ForwardRateAgreementDefinition fraDefinitionSell = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, -NOTIONAL,
        FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
    final ForwardRateAgreement fraSell = (ForwardRateAgreement) fraDefinitionSell.toDerivative(REFERENCE_DATE, CURVE_NAME_1);
    final CurrencyAmount pvBuy = FRA_METHOD.presentValue(FRA, curves);
    final CurrencyAmount pvSell = FRA_METHOD.presentValue(fraSell, curves);
    assertEquals("FRA discounting: present value - buy/sell parity", pvSell.getAmount(), -pvBuy.getAmount(), 1.0E-2);
  }
View Full Code Here
273
274
275
276
277
278
279
280
281
282
283
  @Test
  public void parSpread() {
    final ForwardRateAgreement fra2 = (ForwardRateAgreement) FRA_DEFINITION.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double parSpread = FRA_METHOD.parSpread(fra2, CURVES_2);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE, CURVE_NAME_2);
    final double pv0 = fra0.accept(PVC, CURVES_2);
    assertEquals("FRA discounting: par spread", pv0, 0, TOLERANCE_PV);
  }
View Full Code Here
523
524
525
526
527
528
529
530
531
    final IborIndex index = new IborIndex(Currency.USD, Tenor.THREE_MONTHS.getPeriod(), 2, THIRTY_360, MODIFIED_FOLLOWING, false, LIBOR_3M_ID.getValue());
    final ZonedDateTime now = DateUtils.getUTCDate(2013, 3, 1);
    final CurveNodeVisitor<InstrumentDefinition<?>> converter = new FRANodeConverter(CONVENTION_SOURCE, HOLIDAY_SOURCE, REGION_SOURCE, marketValues, marketDataId, now);
    final InstrumentDefinition<?> definition = fraNode.accept(converter);
    assertTrue(definition instanceof ForwardRateAgreementDefinition);
    final ForwardRateAgreementDefinition fra = (ForwardRateAgreementDefinition) definition;
    final ForwardRateAgreementDefinition expectedFRA = ForwardRateAgreementDefinition.from(DateUtils.getUTCDate(2013, 9, 5), DateUtils.getUTCDate(2013, 12, 5), 1, index, rate, CALENDAR);
    assertEquals(expectedFRA, fra);
  }
View Full Code Here
101
102
103
104
105
106
107
108
109
110
111
112
    assertEquals("FRA discounting: present value calculator vs method", pvCalculator.getAmount(CUR), pvMethod.getAmount(CUR), 1.0E-2);
  }

  @Test
  public void presentValueBuySellParity() {
    final ForwardRateAgreementDefinition fraDefinitionSell = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, -NOTIONAL,
        FIXING_DATE, INDEX, FRA_RATE, CALENDAR);
    final ForwardRateAgreement fraSell = (ForwardRateAgreement) fraDefinitionSell.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pvBuy = FRA_METHOD.presentValue(FRA, PROVIDER);
    final MultipleCurrencyAmount pvSell = FRA_METHOD.presentValue(fraSell, PROVIDER);
    assertEquals("FRA discounting: present value - buy/sell parity", pvSell.getAmount(CUR), -pvBuy.getAmount(CUR), 1.0E-2);
  }
View Full Code Here
129
130
131
132
133
134
135
136
137
138
139
  }

  @Test
  public void parSpread() {
    final double parSpread = FRA_METHOD.parSpread(FRA, PROVIDER);
    final ForwardRateAgreementDefinition fra0Definition = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE,
        INDEX, FRA_RATE + parSpread, CALENDAR);
    final ForwardRateAgreement fra0 = (ForwardRateAgreement) fra0Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount pv0 = fra0.accept(PVDC, PROVIDER);
    assertEquals("FRA discounting: par spread", pv0.getAmount(CUR), 0, TOLERANCE_PV);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.instrument.fra.ForwardRateAgreementDefinition

  • com.opengamma.analytics.financial.interestrate.fra.derivative.ForwardRateAgreement
  • com.opengamma.analytics.financial.interestrate.fra.method.ForwardRateAgreementDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.fra.provider.ForwardRateAgreementDiscountingMethodTest
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.convention.daycount.DayCount
  • org.threeten.bp.Period
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.