Package com.opengamma.analytics.financial.instrument.inflation

Examples of com.opengamma.analytics.financial.instrument.inflation.CouponInflationDefinition

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    final double factorSpot = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), settlementDate, couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0,
        _couponPerYear);
    final double factorPeriod = getDayCount().getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(),
        couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, _couponPerYear);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final CouponInflationDefinition nominalLast = getNominal().getNthPayment(getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = settlementDate.isBefore(date) ? date : settlementDate;
    final double notional = nominalLast.getNotional() * (settlementDate.isBefore(date) ? 0.0 : 1.0);
    final CouponInflationDefinition settlementDefinition = nominalLast.with(settlementDate2, nominalLast.getAccrualStartDate(), settlementDate2, notional);
    final CouponInflation settlement = (CouponInflation) settlementDefinition.toDerivative(date);
    return new BondCapitalIndexedSecurity<>(nominalStandard, couponStandard, settlementTime, accruedInterest, factorToNextCoupon, _yieldConvention, _couponPerYear, settlement, _indexStartValue,
        getIssuer());
  }
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    final double factorSpot = DAY_COUNT_GILT_1.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), spot, couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), 1.0, COUPON_PER_YEAR_GILT_1);
    final double factorPeriod = DAY_COUNT_GILT_1.getAccruedInterest(couponDefinition.getNthPayment(0).getAccrualStartDate(), couponDefinition.getNthPayment(0)
        .getAccrualEndDate(), couponDefinition.getNthPayment(0).getAccrualEndDate(), 1.0, COUPON_PER_YEAR_GILT_1);
    final double factorToNextCoupon = (factorPeriod - factorSpot) / factorPeriod;
    final CouponInflationDefinition nominalLast = bondFromDefinition.getNominal().getNthPayment(bondFromDefinition.getNominal().getNumberOfPayments() - 1);
    final ZonedDateTime settlementDate2 = spot;
    final double notional = 1.0;
    final CouponInflationDefinition settlementDefinition = nominalLast.with(settlementDate2, nominalLast.getAccrualStartDate(), settlementDate2, notional);
    final CouponInflation settlement = (CouponInflation) settlementDefinition.toDerivative(pricingDate);
    final BondCapitalIndexedSecurity<Coupon> bondSecurityExpected = new BondCapitalIndexedSecurity<>(nominal, coupon, settleTime, accruedInterest,
        factorToNextCoupon, YIELD_CONVENTION_GILT_1, COUPON_PER_YEAR_GILT_1, settlement, INDEX_START_GILT_1, ISSUER_UK);
    assertEquals("Capital Index Bond: toDerivative", bondSecurityExpected, bond);
  }
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            }
            final InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(conventionSource, holidaySource, regionSource,
                snapshot, node.getIdentifier(), timeSeries, now));
            // Construction of the first guess for the root finder
            final SwapFixedInflationZeroCouponDefinition swap = (SwapFixedInflationZeroCouponDefinition) definitionForNode;
            final CouponInflationDefinition couponInflation = (CouponInflationDefinition) swap.getSecondLeg().getNthPayment(swap.getSecondLeg().getNumberOfPayments() - 1);
            final CouponFixedCompoundingDefinition couponFix = (CouponFixedCompoundingDefinition) swap.getFirstLeg().getNthPayment(swap.getFirstLeg().getNumberOfPayments() - 1);
            if (couponInflation instanceof CouponInflationZeroCouponInterpolationDefinition) {
              final CouponInflationZeroCouponInterpolationDefinition coupon = (CouponInflationZeroCouponInterpolationDefinition) couponInflation;
              parameterGuessForCurves[k] = 100.0 * Math.pow((1 + marketData), couponFix.getPaymentAccrualFactors().length);
            } else {
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Related Classes of com.opengamma.analytics.financial.instrument.inflation.CouponInflationDefinition

  • com.opengamma.analytics.financial.instrument.bond.BondCapitalIndexedSecurityDefinition
  • com.opengamma.analytics.financial.instrument.bond.BondCapitalIndexedSecurityDefinitionTest
  • com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition
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