Package com.opengamma.analytics.financial.instrument.index

Examples of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor

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    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
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    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount fixedLegDayCount;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      fixedLegDayCount = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      fixedLegDayCount = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
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    ArgumentChecker.notNull(blackMulticurves, "Black volatility for swaption and multicurve");
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = blackMulticurves.getBlackParameters().getGeneratorSwap();
    Calendar calendar;
    DayCount dayCountModification;
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
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    ArgumentChecker.notNull(curveBlack, "Curves with Black volatility");
    Calendar calendar;
    DayCount dayCountModification;
    final GeneratorInstrument<GeneratorAttributeIR> generatorSwap = curveBlack.getBlackParameters().getGeneratorSwap();
    if (generatorSwap instanceof GeneratorSwapFixedIbor) {
      final GeneratorSwapFixedIbor fixedIborGenerator = (GeneratorSwapFixedIbor) generatorSwap;
      calendar = fixedIborGenerator.getCalendar();
      dayCountModification = fixedIborGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedON) {
      final GeneratorSwapFixedON fixedONGenerator = (GeneratorSwapFixedON) generatorSwap;
      calendar = fixedONGenerator.getOvernightCalendar();
      dayCountModification = fixedONGenerator.getFixedLegDayCount();
    } else if (generatorSwap instanceof GeneratorSwapFixedCompoundedONCompounded) {
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   * To check the precision, increase the NB_INTEGRATION to 50 (slower but more precise).
   */
  public void approximationNumericalIntegrationGrid() {
    final G2ppPiecewiseConstantParameters parametersG2pp = TestsDataSetG2pp.createG2ppParameters3();
    final G2ppProviderDiscount bundleG2pp = new G2ppProviderDiscount(MULTICURVES, parametersG2pp, CUR);
    final GeneratorSwapFixedIbor generator = GENERATOR_SWAP_MASTER.getGenerator("EUR1YEURIBOR6M", CALENDAR);
    final Period[] expiry = new Period[] {Period.ofMonths(6), Period.ofYears(1), Period.ofYears(2), Period.ofYears(5), Period.ofYears(10), Period.ofYears(25)};
    final int nbExpiry = expiry.length;
    final Period[] tenor = new Period[] {Period.ofYears(2), Period.ofYears(5), Period.ofYears(10), Period.ofYears(25)};
    final int nbTenor = tenor.length;
    final double[] fixedRate = new double[] {0.01, 0.02, 0.025, 0.03, 0.04};
    final int nbStrike = fixedRate.length;
    final SwaptionPhysicalFixedIbor[][][] swaption = new SwaptionPhysicalFixedIbor[nbExpiry][nbTenor][nbStrike];
    final ZonedDateTime[] expiryDate = new ZonedDateTime[nbExpiry];
    final ZonedDateTime[] settleDate = new ZonedDateTime[nbExpiry];
    for (int loopexp = 0; loopexp < nbExpiry; loopexp++) {
      expiryDate[loopexp] = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expiry[loopexp], generator.getIborIndex(), CALENDAR);
      settleDate[loopexp] = ScheduleCalculator.getAdjustedDate(expiryDate[loopexp], generator.getSpotLag(), CALENDAR);
      for (int loopten = 0; loopten < nbTenor; loopten++) {
        for (int loopstrike = 0; loopstrike < nbStrike; loopstrike++) {
          final SwapFixedIborDefinition swapDefinition = SwapFixedIborDefinition.from(settleDate[loopexp], tenor[loopten], generator, 10000.0, fixedRate[loopstrike], true);
          final SwaptionPhysicalFixedIborDefinition swaptionDefinition = SwaptionPhysicalFixedIborDefinition.from(expiryDate[loopexp], swapDefinition, true);
          swaption[loopexp][loopten][loopstrike] = swaptionDefinition.toDerivative(REFERENCE_DATE);
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    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final boolean eom = indexConvention.isIsEOM();
    final Period indexTenor = iborLegConvention.getResetTenor().getPeriod();
    final int spotLagIndex = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, indexConvention.getName());
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", fixedLegConvention.getPaymentTenor().getPeriod(), fixedLegConvention.getDayCount(), iborIndex, calendar);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(deliveryDate, maturityTenor.getPeriod(), generator, notional, 0.0, false); //FIXME: rate of underlying?
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(lastTradeDate, underlying, notional);
    return new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, _valuationTime, price, 1);
  }
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    final BusinessDayConvention businessDayConvention = MODIFIED_FOLLOWING;
    final boolean eom = false;
    final Period indexTenor = Period.ofMonths(3);
    final int spotLagIndex = 2;
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLagIndex, dayCount, businessDayConvention, eom, "USD 3m Libor");
    final GeneratorSwapFixedIbor generator = new GeneratorSwapFixedIbor("", Period.ofMonths(6), ACT_360, iborIndex, CALENDAR);
    final SwapFixedIborDefinition underlying = SwapFixedIborDefinition.from(DateUtils.getUTCDate(2013, 6, 19), Period.ofYears(10), generator, 1, rate, false);
    final SwapFuturesPriceDeliverableSecurityDefinition securityDefinition = new SwapFuturesPriceDeliverableSecurityDefinition(DateUtils.getUTCDate(2013, 6, 17), underlying, 1);
    final SwapFuturesPriceDeliverableTransactionDefinition transaction = new SwapFuturesPriceDeliverableTransactionDefinition(securityDefinition, NOW, price, 1);
    assertEquals(transaction, definition);
  }
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    final IborIndex USDLIBOR3M = IndexIborMaster.getInstance().getIndex("USDLIBOR3M");
    final Period expiryTenor = Period.ofYears(5);
    final Period underlyingTenor = Period.ofYears(10);
    final ZonedDateTime expiryDate = ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, expiryTenor, USDLIBOR3M, CALENDAR);
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(expiryDate, USDLIBOR3M.getSpotLag(), CALENDAR);
    final GeneratorSwapFixedIbor USD6MLIBOR3M = GeneratorSwapFixedIborMaster.getInstance().getGenerator("USD6MLIBOR3M", CALENDAR);
    final double notional = 1000000; // 1m
    final double strikeRange = 0.1150;
    final double strikeStart = 0.0050;
    final int nbStrike = 50;
    final double[] strikes = new double[nbStrike + 1];
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        } else if (frequency instanceof SimpleFrequency) {
          fixedLegPeriod = ((SimpleFrequency) frequency).toPeriodFrequency().getPeriod();
        } else {
          throw new OpenGammaRuntimeException("Can only handle PeriodFrequency or SimpleFrequency");
        }
        return new GeneratorSwapFixedIbor("Swap Generator", fixedLegPeriod, fixedLegDayCount, iborIndex, calendar);
      }
      case OIS: {
        IndexON onIndex;
        Calendar calendar;
        if (swap.getFirstLeg() instanceof AnnuityCouponONDefinition) {
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Related Classes of com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedIbor

  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborBlackMethod
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborG2ppMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSpreadBlackMethod
  • com.opengamma.financial.analytics.curve.CurveNodeToDefinitionConverterTest
  • com.opengamma.financial.analytics.curve.DeliverableSwapFutureNodeConverter
  • com.opengamma.financial.analytics.model.swaption.SwaptionUtils
  • org.threeten.bp.ZonedDateTime
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