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

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

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   * Test the absence of arbitrage between swaptions with same cash-flows but different conventions.
   */
  @Test
  public void testPresentValueConventionArbitrage() {
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/360"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(EUR1YEURIBOR6M.getFixedLegPeriod(), DayCountFactory.INSTANCE.getDayCount("Actual/365"), EURIBOR6M, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, true, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE);
    final MultipleCurrencyAmount price360 = METHOD_SWPT_SABR.presentValue(swaption360, SABR_MULTICURVES);
    final MultipleCurrencyAmount price365 = METHOD_SWPT_SABR.presentValue(swaption365, SABR_MULTICURVES);
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      throw new OpenGammaRuntimeException("Could not get ibor index convention for " + swapIndexConvention.getSwapFloatingLegInitialRate());
    }
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCouponCMSDefinition.from(effectiveDate, maturityDate, notional, swapIndex, tenorPayment, floatLeg.getDayCount(), isPayer, calendar);
  }
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    final IndexSwap[] swapIndex = new IndexSwap[2];
    for (int loopindex = 0; loopindex < 2; loopindex++) {
      iborIndex[loopindex] = new IborIndex(currency, tenorPayment, iborIndexConvention[loopindex].getSettlementDays(), iborIndexConvention[loopindex].getDayCount(),
          iborIndexConvention[loopindex].getBusinessDayConvention(), iborIndexConvention[loopindex].isEOMConvention());
      final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention[loopindex].getSwapFixedLegFrequency());
      swapIndex[loopindex] = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention[loopindex].getSwapFixedLegDayCount(), iborIndex[loopindex], swapIndexConvention[loopindex].getPeriod(), calendar);
    }
    return AnnuityCapFloorCMSSpreadDefinition.from(startDate, endDate, notional, swapIndex[0], swapIndex[1], tenorPayment, capFloorCMSSpreadSecurity.getDayCount(),
        capFloorCMSSpreadSecurity.isPayer(), capFloorCMSSpreadSecurity.getStrike(), capFloorCMSSpreadSecurity.isCap(), calendar, calendar);
  }
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    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, SWAP, !IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
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    modifiedSwaption = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, SWAP, !IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.hashCode() == modifiedSwaption.hashCode());
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(SETTLEMENT_DATE, SWAP, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_PERIOD, FIXED_DAY_COUNT, INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition otherSwap = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, 2 * NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    modifiedSwaption = SwaptionCashFixedIborDefinition.from(EXPIRY_DATE, otherSwap, IS_LONG);
    assertFalse(SWAPTION.equals(modifiedSwaption));
    assertFalse(SWAPTION.equals(EXPIRY_DATE));
    assertFalse(SWAPTION.equals(null));
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    assertEquals(swap.getIborLeg(), iborAnnuity);
    assertEquals(swap.getFirstLeg(), fixedAnnuity);
    assertEquals(swap.getSecondLeg(), iborAnnuity);

    // CMS index builder
    final IndexSwap cmsIndex = new IndexSwap(FIXED_PAYMENT_FREQUENCY.getPeriod(), FIXED_DAY_COUNT, IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swapFromCMSIndex = SwapFixedIborDefinition.from(SETTLEMENT_DATE, cmsIndex, NOTIONAL, RATE, FIXED_IS_PAYER, CALENDAR);
    assertEquals(swap, swapFromCMSIndex);
  }
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    regionId = swapIndexConvention.getSwapFloatingLegRegion();
    final Calendar calendar = CalendarUtils.getCalendar(_regionSource, _holidaySource, regionId);
    final IborIndex iborIndex = new IborIndex(currency, tenorPayment, iborIndexConvention.getSettlementDays(), iborIndexConvention.getDayCount(),
        iborIndexConvention.getBusinessDayConvention(), iborIndexConvention.isEOMConvention());
    final Period fixedLegPaymentPeriod = getTenor(swapIndexConvention.getSwapFixedLegFrequency());
    final IndexSwap swapIndex = new IndexSwap(fixedLegPaymentPeriod, swapIndexConvention.getSwapFixedLegDayCount(), iborIndex, swapIndexConvention.getPeriod(), calendar);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
        capFloorSecurity.isCap(), calendar);
  }
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    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, CURVES);
    final int[] swapTenorYear = {1, 2, 3, 4, 5 };
    final IndexSwap[] cmsIndex = new IndexSwap[swapTenorYear.length];
    for (int loopexp = 0; loopexp < swapTenorYear.length; loopexp++) {
      cmsIndex[loopexp] = new IndexSwap(fixedPaymentPeriod, FIXED_DAY_COUNT, iborIndex, Period.ofYears(swapTenorYear[loopexp]), CALENDAR);
    }
    final double[] amortization = new double[] {1.00, 0.80, 0.60, 0.40, 0.20 }; // For 5Y amortization
    //    double[] amortization = new double[] {1.00, 0.90, 0.80, 0.70, 0.60, 0.50, 0.40, 0.30, 0.20, 0.10}; // For 10Y amortization
    final SwapFixedIborDefinition[] swapCalibrationDefinition = new SwapFixedIborDefinition[swapTenorYear.length];
    final SwaptionPhysicalFixedIborDefinition[] swaptionCalibrationDefinition = new SwaptionPhysicalFixedIborDefinition[swapTenorYear.length];
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  public void testPresentValueConventionArbitrage() {
    final YieldCurveBundle curves = TestsDataSetsSABR.createCurves1();
    final SABRInterestRateParameters sabrParameter = TestsDataSetsSABR.createSABR1();
    final SABRInterestRateDataBundle sabrBundle = new SABRInterestRateDataBundle(sabrParameter, curves);
    final double rate360 = 0.0360;
    final IndexSwap index360 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/360"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap360 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index360, NOTIONAL, rate360, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption360Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap360, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption360 = swaption360Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double rate365 = 0.0365;
    final IndexSwap index365 = new IndexSwap(FIXED_PAYMENT_PERIOD, DayCountFactory.INSTANCE.getDayCount("Actual/365"), IBOR_INDEX, ANNUITY_TENOR, CALENDAR);
    final SwapFixedIborDefinition swap365 = SwapFixedIborDefinition.from(SETTLEMENT_DATE, index365, NOTIONAL, rate365, FIXED_IS_PAYER, CALENDAR);
    final SwaptionPhysicalFixedIborDefinition swaption365Definition = SwaptionPhysicalFixedIborDefinition.from(EXPIRY_DATE, swap365, IS_LONG);
    final SwaptionPhysicalFixedIbor swaption365 = swaption365Definition.toDerivative(REFERENCE_DATE, CURVES_NAME);
    final double price360 = swaption360.accept(PVC, sabrBundle);
    final double price365 = swaption365.accept(PVC, sabrBundle);
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    final SwapIndexConvention swapIndexConvention = _conventionSource.getConvention(SwapIndexConvention.class, ExternalId.of(SCHEME_NAME, swapIndexConventionName));
    if (swapIndexConvention == null) {
      throw new OpenGammaRuntimeException("Could not get swap index convention called " + capFloorSecurity.getUnderlyingId().toString());
    }
    final SwapConvention swapConvention = _conventionSource.getConvention(SwapConvention.class, swapIndexConvention.getSwapConvention());
    final IndexSwap swapIndex = getSwapIndex(swapConvention, iborIndex);
    return AnnuityCapFloorCMSDefinition.from(startDate, endDate, notional, swapIndex, tenorPayment, capFloorSecurity.getDayCount(), capFloorSecurity.isPayer(), capFloorSecurity.getStrike(),
        capFloorSecurity.isCap(), calendar);
  }
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Related Classes of com.opengamma.analytics.financial.instrument.index.IndexSwap

  • com.opengamma.analytics.financial.instrument.swap.SwapFixedIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedIborDefinitionTest
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionPhysicalFixedIborDefinitionTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborLMMDDMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.method.SwaptionPhysicalFixedIborSABRMethodTest
  • com.opengamma.analytics.financial.interestrate.swaption.provider.SwaptionPhysicalFixedIborSABRMethodTest
  • com.opengamma.financial.analytics.conversion.CapFloorCMSSpreadSecurityConverter
  • com.opengamma.financial.analytics.conversion.CapFloorSecurityConverter
  • com.opengamma.financial.analytics.conversion.CapFloorSecurityConverterDeprecated
  • com.opengamma.financial.analytics.conversion.SwapSecurityConverter
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