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

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

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                                                              indexConvention.getRegionCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final IborIndex iborIndex = new IborIndex(currency,
                                              indexTenor,
                                              spotLag,
                                              dayCount,
                                              businessDayConvention,
                                              eom,
                                              convention.getName());
    final ZonedDateTime spotDate = ScheduleCalculator.getAdjustedDate(_valuationTime, spotLag, regionCalendar);
    final ZonedDateTime accrualStartDate = ScheduleCalculator.getAdjustedDate(spotDate,
                                                                              startPeriod,
                                                                              businessDayConvention,
                                                                              regionCalendar,
                                                                              eom);
    final ZonedDateTime accrualEndDate = ScheduleCalculator.getAdjustedDate(spotDate,
                                                                            endPeriod,
                                                                            businessDayConvention,
                                                                            regionCalendar,
                                                                            eom);
    final ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(accrualStartDate,
                                                                        -iborIndex.getSpotLag(),
                                                                        fixingCalendar);
    return new FRASecurity(currency,
                           indexConvention.getRegionCalendar(),
                           accrualStartDate,
                           accrualEndDate,
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    final Period indexTenor = convention.getResetTenor().getPeriod();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource,
                                                        _holidaySource,
                                                        indexConvention.getFixingCalendar());
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency,
                                              indexTenor,
                                              spotLag,
                                              dayCount,
                                              businessDayConvention,
                                              eomIndex,
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      final double accrualFactor = dayCount.getDayCountFraction(startDate, endDate);
      final int spotLag = iborConvention.getSettlementDays();
      final boolean eom = iborConvention.isIsEOM();
      final long months = maturityPeriod.toTotalMonths() - startPeriod.toTotalMonths();
      final Period indexTenor = Period.ofMonths((int) months);
      final IborIndex iborIndex = new IborIndex(currency,
                                                indexTenor,
                                                spotLag,
                                                dayCount,
                                                businessDayConvention,
                                                eom,
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    final Calendar regionCalendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, indexConvention.getRegionCalendar());
    final BusinessDayConvention businessDayConvention = indexConvention.getBusinessDayConvention();
    final DayCount dayCount = indexConvention.getDayCount();
    final boolean eom = indexConvention.isIsEOM();
    final int spotLag = indexConvention.getSettlementDays();
    final IborIndex iborIndex = new IborIndex(currency, indexTenor, spotLag, dayCount, businessDayConvention, eom, indexConvention.getName());
    final ExchangeTradedInstrumentExpiryCalculator expiryCalculator = ExchangeTradedInstrumentExpiryCalculatorFactory.getCalculator(expiryCalculatorName);
    final ZonedDateTime startDate = _valuationTime.plus(rateFuture.getStartTenor().getPeriod());
    final LocalTime time = startDate.toLocalTime();
    final ZoneId timeZone = startDate.getZone();
    final ZonedDateTime expiryDate = ZonedDateTime.of(expiryCalculator.getExpiryDate(rateFuture.getFutureNumber(), startDate.toLocalDate(), regionCalendar), time, timeZone);
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        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.02, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    final IborIndex index = MASTER_IBOR.getIndex("USDLIBOR3M");
    other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, index,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompoundingFlatSpread(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 0.01, USDLIBOR1M,
        FIXING_TIMES, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, SPREAD);
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        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL + 10000, NOTIONAL * 1.02, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertFalse(other.equals(CPN));
    final IborIndex index = MASTER_IBOR.getIndex("USDLIBOR3M");
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, index,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, USDLIBOR1M,
        FIXING_TIMES, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS);
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        FIXING_YEAR_FRACTION, FORWARD_CURVE_NAME, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    other = new CapFloorIbor(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME - 1e-8, INDEX, FIXING_START_TIME, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, FORWARD_CURVE_NAME, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    final IborIndex index = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor");
    other = new CapFloorIbor(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME, index, FIXING_START_TIME, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, FORWARD_CURVE_NAME, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    other = new CapFloorIbor(CUR, PAYMENT_TIME, FUNDING_CURVE_NAME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME, INDEX, FIXING_START_TIME - 1e-8, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, FORWARD_CURVE_NAME, STRIKE, IS_CAP);
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        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL + 10000, NOTIONAL * 1.02, USDLIBOR1M,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertFalse(other.equals(CPN));
    final IborIndex index = MASTER_IBOR.getIndex("USDLIBOR3M");
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, index,
        PAYMENT_ACCRUAL_FACTORS, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
    assertFalse(other.equals(CPN));
    other = new CouponIborCompounding(USDLIBOR1M.getCurrency(), PAYMENT_TIME, DSC_NAME, PAYMENT_ACCRUAL_FACTOR, NOTIONAL, NOTIONAL * 1.01, USDLIBOR1M,
        FIXING_TIMES, FIXING_TIMES, ACCRUAL_START_TIMES, FIXING_PERIOD_END_TIMES, FIXING_ACCRUAL_FACTORS, FWD_NAME);
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        FIXING_YEAR_FRACTION, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    other = new CapFloorIbor(CUR, PAYMENT_TIME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME - 1e-8, INDEX, FIXING_START_TIME, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    final IborIndex index = new IborIndex(CUR, TENOR, SETTLEMENT_DAYS, DAY_COUNT_INDEX, BUSINESS_DAY, !IS_EOM, "Ibor");
    other = new CapFloorIbor(CUR, PAYMENT_TIME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME, index, FIXING_START_TIME, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, STRIKE, IS_CAP);
    assertFalse(other.equals(cap));
    other = new CapFloorIbor(CUR, PAYMENT_TIME, PAYMENT_YEAR_FRACTION, NOTIONAL, FIXING_TIME, INDEX, FIXING_START_TIME - 1e-8, FIXING_END_TIME,
        FIXING_YEAR_FRACTION, STRIKE, IS_CAP);
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  public double getVolBondForward(final double startTime, final double endTime, final InflationConvexityAdjustmentProviderInterface inflationConvexity) {
    ArgumentChecker.isTrue(startTime <= endTime, null);
    if (startTime == endTime) {
      return 0.0;
    }
    final IborIndex iborIndex = inflationConvexity.getBlackSmileIborCapParameters().getIndex();
    final int liborTenorInMonth = iborIndex.getTenor().getMonths();
    final double lenghtOfInterval = liborTenorInMonth / 12.0;
    final int numberOfInterval = (int) Math.round((endTime - startTime) / lenghtOfInterval);

    if (numberOfInterval == 0) {
      double volBondForward = ((endTime - startTime) / lenghtOfInterval) * inflationConvexity.getMulticurveProvider().getForwardRate(iborIndex, startTime, endTime, 1.0);
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Related Classes of com.opengamma.analytics.financial.instrument.index.IborIndex

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorCMSSpreadDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCapFloorIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponCMSDefinitionTest
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  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesSecurityDefinitionTest
  • com.opengamma.analytics.financial.instrument.future.InterestRateFuturesTransactionDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborAverageDefinitionTest
  • com.opengamma.analytics.financial.instrument.payment.CouponIborDefinitionTest
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