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

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

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    assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false);
    modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, PAYMENT_DATE, INDEX, FRA_RATE, CALENDAR);
    assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false);
    modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, INDEX, FRA_RATE + 0.10, CALENDAR);
    assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false);
    final IborIndex otherIndex = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor");
    modifiedFRA = new ForwardRateAgreementDefinition(CUR, PAYMENT_DATE, ACCRUAL_START_DATE, ACCRUAL_END_DATE, ACCRUAL_FACTOR_PAYMENT, NOTIONAL, FIXING_DATE, otherIndex, FRA_RATE, CALENDAR);
    assertEquals(modifiedFRA.equals(FRA_DEFINITION_1), false);
    assertFalse(FRA_DEFINITION_1.equals(CUR));
    assertFalse(FRA_DEFINITION_1.equals(null));
  }
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@Test(groups = TestGroup.UNIT)
public class AnalyticsParameterProviderBuildersTest extends AnalyticsTestBase {

  @Test
  public void testIborIndex() {
    final IborIndex index = new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F");
    assertEquals(index, cycleObject(IborIndex.class, index));
  }
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    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
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    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, DoublesCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "F"),
        ConstantDoublesCurve.from(0.03, "c"));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "D"),
        ConstantDoublesCurve.from(0.03, "d"));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
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    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
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    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "L"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "P"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
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    final FXMatrix matrix = new FXMatrix(map, fxRates);
    final Map<Currency, YieldAndDiscountCurve> discounting = new LinkedHashMap<>();
    discounting.put(Currency.USD, new YieldCurve("A", ConstantDoublesCurve.from(0.06, "a")));
    discounting.put(Currency.EUR, new DiscountCurve("B", ConstantDoublesCurve.from(0.99, "b")));
    final Map<IborIndex, YieldAndDiscountCurve> ibor = new LinkedHashMap<>();
    ibor.put(new IborIndex(Currency.USD, Period.ofMonths(3), 0, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "T"),
        new YieldCurve("C", ConstantDoublesCurve.from(0.03, "c")));
    ibor.put(new IborIndex(Currency.EUR, Period.ofMonths(6), 1, DayCountFactory.INSTANCE.getDayCount("Act/360"),
        BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"), false, "U"),
        new YieldCurve("D", ConstantDoublesCurve.from(0.03, "d")));
    final Map<IndexON, YieldAndDiscountCurve> overnight = new LinkedHashMap<>();
    overnight.put(new IndexON("NAME1", Currency.USD, DayCountFactory.INSTANCE.getDayCount("Act/360"), 1), new YieldCurve("E", ConstantDoublesCurve.from(0.003, "e")));
    overnight.put(new IndexON("NAME2", Currency.EUR, DayCountFactory.INSTANCE.getDayCount("Act/360"), 0), new YieldCurve("F", ConstantDoublesCurve.from(0.006, "f")));
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    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertEquals(IBOR_COUPON_SPREAD_DEFINITION, other);
    assertEquals(IBOR_COUPON_SPREAD_DEFINITION.hashCode(), other.hashCode());
    other = new CouponIborSpreadDefinition(Currency.AUD, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(), IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, new IborIndex(Currency.AUD, TENOR, SETTLEMENT_DAYS,
            DAY_COUNT_INDEX, BUSINESS_DAY, IS_EOM, "Ibor"), SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate().plusDays(1), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(), IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate().plusDays(1),
        IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(), IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate()
        .plusDays(1), IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction() + 0.01, NOTIONAL, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL + 100, FIXING_DATE, INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE.plusDays(1), INDEX, SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, new IborIndex(Currency.EUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor"), SPREAD, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
    other = new CouponIborSpreadDefinition(CUR, IBOR_COUPON_SPREAD_DEFINITION.getPaymentDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualStartDate(), IBOR_COUPON_SPREAD_DEFINITION.getAccrualEndDate(),
        IBOR_COUPON_SPREAD_DEFINITION.getPaymentYearFraction(), NOTIONAL, FIXING_DATE, INDEX, SPREAD + 0.01, CALENDAR);
    assertFalse(IBOR_COUPON_SPREAD_DEFINITION.equals(other));
  }
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    final double fixingTime = paymentTime - 2. / 365;
    final double fixingPeriodStart = paymentTime;
    final double fixingPeriodEnd = 7. / 12;
    final double fixingYearFraction = 31. / 365;
    final double rate = 0.15;
    final IborIndex index = new IborIndex(CUR, Period.ofMonths(1), 2, DayCountFactory.INSTANCE.getDayCount("Actual/365"), BusinessDayConventionFactory.INSTANCE.getBusinessDayConvention("Following"),
        true);
    final ForwardRateAgreement fra = new ForwardRateAgreement(CUR, paymentTime, FUNDING_CURVE_NAME, paymentYearFraction, 1, index, fixingTime, fixingPeriodStart, fixingPeriodEnd, fixingYearFraction,
        rate, LIBOR_CURVE_NAME);
    doTest(fra, CURVES);
  }
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    final IborIndexConvention iborIndexConvention = _conventionSource.getConvention(IborIndexConvention.class, convention.getIndexConvention());
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, convention.getExchangeCalendar());
    final Period period = Period.ofMonths(3); //TODO
    final double paymentAccrualFactor = getAccrualFactor(period);
    final int spotLag = iborIndexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, period, spotLag, iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isIsEOM(), iborIndexConvention.getName());
    final double notional = security.getUnitAmount() / paymentAccrualFactor;
    return new InterestRateFutureSecurityDefinition(lastTradeDate, iborIndex, notional, paymentAccrualFactor, security.getName(), calendar);
  }
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