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

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

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

com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponInterpolationDefinition
Class describing an zero-coupon inflation coupon where the inflation figures are interpolated between monthly inflation figures. The start index value is known when the coupon is traded/issued. The index for a given month is given in the yield curve and in the time series on the first of the month. The pay-off is (Index_End / Index_Start - X) with X=0 for notional payment and X=1 for no notional payment.

    ArgumentChecker.notNull(businessDayConvention, "Business day convention");
    ArgumentChecker.notNull(calendar, "Calendar");
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, Period.ofYears(tenor), businessDayConvention, calendar, endOfMonth);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(index.getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional, tenor,
        fixedRate);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
        conventionalMonthLag, monthLag, false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
  }

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    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settlementDate, tenor, generator.getBusinessDayConvention(), generator.getCalendar(),
        generator.isEndOfMonth());
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(generator.getIndexPrice().getCurrency(), settlementDate, paymentDate, (isPayer ? -1.0 : 1.0) * notional,
        tenor.getYears(),
        fixedRate);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional,
        generator.getIndexPrice(), generator.getMonthLag(), generator.getMonthLag(), false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, generator.getCalendar());
  }

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    final double notional = 100000000;
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
    final double weightSettle = 1.0 - (settleDate.getDayOfMonth() - 1.0) / settleDate.toLocalDate().lengthOfMonth();
    final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, priceIndexTS);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(zeroCouponUsd, marketSeason.getInflationProvider());
    final double df = MARKET.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
    final double pvExpected = (finalIndex / INDEX_MAY_2011_INT - 1) * df * notional;
    assertEquals("PV in market with seasonal adjustment", pvExpected, pvInflation.getAmount(zeroCouponUsd.getCurrency()), 1E-2);
  }

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    final int monthLag = inflationLegConvention.getMonthLag();
    final IndexPrice index = new IndexPrice(priceIndexConvention.getName(), currency);
    switch (inflationNode.getInflationNodeType()) {
      case INTERPOLATED:
      {
        final CouponInflationZeroCouponInterpolationDefinition inflationCoupon = CouponInflationZeroCouponInterpolationDefinition.from(settlementDate, paymentDate,
            -notional, index, conventionalMonthLag, monthLag, false);
        return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
      }
      case MONTHLY:
      {

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   * Tests the construction of zero-coupon inflation swaps.
   */
  public void swapFixedInflationZeroCouponInterpolationConstructor() {
    final double zeroCpnRate = 0.02;
    //    ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(START_DATE, BUSINESS_DAY, CALENDAR, EOM, COUPON_TENOR);
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, -NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    assertTrue("Swap zero-coupon inflation constructor", swap.getFirstLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {fixedCpn }, CALENDAR)));
    assertTrue("Swap zero-coupon inflation constructor", swap.getSecondLeg().equals(new AnnuityDefinition<>(new PaymentDefinition[] {inflationCpn }, CALENDAR)));

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  /**
   * Tests the construction of zero-coupon inflation swaps.
   */
  public void couponFixedInflationZeroCouponInterpolationFrom() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition swapFrom = SwapFixedInflationZeroCouponDefinition.fromInterpolation(PRICE_INDEX_EUR, START_DATE, COUPON_TENOR_YEAR, zeroCpnRate, NOTIONAL,
        true, BUSINESS_DAY, CALENDAR, EOM, MONTH_LAG, MONTH_LAG);

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  /**
   * Tests the construction of zero-coupon inflation swaps.
   */
  public void couponFixedInflationZeroCouponInterpolationWithGenerator() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition swapFrom = SwapFixedInflationZeroCouponDefinition.fromGeneratorInterpolation(START_DATE, zeroCpnRate, NOTIONAL, COUPON_TENOR,
        GENERATOR_SWAP_INFLATION,

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  /**
   * Tests the construction of zero-coupon inflation swaps.
   */
  public void swapFixedInflationZeroCouponInterpolationConstructor() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponInterpolationDefinition inflationCpn = CouponInflationZeroCouponInterpolationDefinition.from(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL,
        PRICE_INDEX_EUR, MONTH_LAG, REFERENCE_START_DATES, REFERENCE_END_DATES, false);
    final CouponFixedCompoundingDefinition fixedCpn = CouponFixedCompoundingDefinition.from(CUR, START_DATE, PAYMENT_DATE, -NOTIONAL, COUPON_TENOR_YEAR, zeroCpnRate);
    final SwapFixedInflationZeroCouponDefinition swap = new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, CALENDAR);
    final SwapFixedInflationZeroCouponDefinition generateSwap = GENERATOR_SWAP_INFLATION_LINEAR.generateInstrument(TODAY, zeroCpnRate, NOTIONAL, ATTRIBUTE);
    assertEquals("Swap zero-coupon inflation constructor", swap, generateSwap);

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    final double notional = 100000000;
    final ZonedDateTime settleDate = ScheduleCalculator.getAdjustedDate(PRICING_DATE, USDLIBOR3M.getSpotLag(), CALENDAR_USD);
    final ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(settleDate, Period.ofYears(tenorYear), BUSINESS_DAY, CALENDAR_USD, USDLIBOR3M.isEndOfMonth());
    final double weightSettle = 1.0 - (paymentDate.getDayOfMonth() - 1.0) / paymentDate.toLocalDate().lengthOfMonth();
    final double indexStart = weightSettle * 225.964 + (1 - weightSettle) * 225.722;
    final CouponInflationZeroCouponInterpolationDefinition zeroCouponUsdDefinition = CouponInflationZeroCouponInterpolationDefinition.from(settleDate, paymentDate, notional, PRICE_INDEX_US,
        MONTH_LAG, MONTH_LAG, false);
    final CapFloorInflationZeroCouponInterpolationDefinition capZeroCouponUsdDefinition = CapFloorInflationZeroCouponInterpolationDefinition.from(zeroCouponUsdDefinition,
        LAST_KNOWN_FIXING_DATE, MATURITY, STRIKE, IS_CAP);


    final ZonedDateTimeDoubleTimeSeries ts = ImmutableZonedDateTimeDoubleTimeSeries.ofUTC(
        new ZonedDateTime[] {DateUtils.getUTCDate(2008, 4, 30), DateUtils.getUTCDate(2008, 5, 31), DateUtils.getUTCDate(2011, 5, 31), DateUtils.getUTCDate(2011, 6, 30),
          DateUtils.getUTCDate(2011, 9, 27),
          DateUtils.getUTCDate(2011, 9, 28) }, new double[] {108.23, 108.64, 225.964, 225.722, 200, 200 });


    final CapFloorInflationZeroCouponInterpolation capZeroCouponUsd = (CapFloorInflationZeroCouponInterpolation) capZeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final CouponInflationZeroCouponInterpolation zeroCouponUsd = (CouponInflationZeroCouponInterpolation) zeroCouponUsdDefinition.toDerivative(PRICING_DATE, ts);
    final MultipleCurrencyAmount pvInflation = METHOD.presentValue(capZeroCouponUsd, blackInflation);
    final double df = marketSeason.getCurve(zeroCouponUsd.getCurrency()).getDiscountFactor(zeroCouponUsd.getPaymentTime());
    final double indexMonth0 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[0]);
    final double indexMonth1 = marketSeason.getCurve(PRICE_INDEX_US).getPriceIndex(zeroCouponUsd.getReferenceEndTime()[1]);
    final double finalIndex = zeroCouponUsdDefinition.getWeight() * indexMonth0 + (1 - zeroCouponUsdDefinition.getWeight()) * indexMonth1;
    final double forward = finalIndex / indexStart;
    final double timeToMaturity = capZeroCouponUsd.getReferenceEndTime()[1] - capZeroCouponUsd.getLastKnownFixingTime();
    final EuropeanVanillaOption option = new EuropeanVanillaOption(Math.pow(1 + capZeroCouponUsd.getStrike(), capZeroCouponUsd.getMaturity()), timeToMaturity, capZeroCouponUsd.isCap());
    final double volatility = blackInflation.getBlackParameters().getVolatility(capZeroCouponUsd.getReferenceEndTime()[1], capZeroCouponUsd.getStrike());
    final BlackFunctionData dataBlack = new BlackFunctionData(forward, 1.0, volatility);

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            // 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 {
              final CouponInflationZeroCouponMonthlyDefinition coupon = (CouponInflationZeroCouponMonthlyDefinition) couponInflation;
              parameterGuessForCurves[k] = 100.0 * Math.pow((1 + marketData), couponFix.getPaymentAccrualFactors().length);
            }

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