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

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

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    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 CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, (isPayer ? 1.0 : -1.0) * notional, index,
        conventionalMonthLag, monthLag, false);
    return new SwapFixedInflationZeroCouponDefinition(fixedCpn, inflationCpn, calendar);
  }
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    ArgumentChecker.notNull(tenor, "tenor");
    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 CouponInflationZeroCouponMonthlyDefinition inflationCpn = CouponInflationZeroCouponMonthlyDefinition.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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            -notional, index, conventionalMonthLag, monthLag, false);
        return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
      }
      case MONTHLY:
      {
        final CouponInflationZeroCouponMonthlyDefinition inflationCoupon = CouponInflationZeroCouponMonthlyDefinition.from(settlementDate, paymentDate, -notional,
            index, conventionalMonthLag, monthLag, false);
        return new SwapFixedInflationZeroCouponDefinition(fixedCoupon, inflationCoupon, calendar);
      }
      default:
        throw new OpenGammaRuntimeException("Could not handle inflation nodes of type " + inflationNode.getInflationNodeType());
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   * Tests the construction of zero-coupon inflation swaps.
   */
  public void swapFixedInflationZeroCouponMonthlyConstructor() {
    final double zeroCpnRate = 0.02;
    //    ZonedDateTime paymentDate = ScheduleCalculator.getAdjustedDate(START_DATE, BUSINESS_DAY, CALENDAR, EOM, COUPON_TENOR);
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, -NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, REFERENCE_START_DATE, REFERENCE_END_DATES[0], 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 couponFixedInflationZeroCouponMonthlyFrom() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, REFERENCE_START_DATE_MONTHLY, REFERENCE_END_DATES[0], 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.fromMonthly(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 couponFixedInflationZeroCouponMonthlyWithGenerator() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, MONTH_LAG, REFERENCE_START_DATE_MONTHLY, REFERENCE_END_DATES[0], 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
        .fromGeneratorMonthly(START_DATE, zeroCpnRate, NOTIONAL, COUPON_TENOR, GENERATOR_SWAP_INFLATION, true);
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  /**
   * Tests the construction of zero-coupon inflation swaps.
   */
  public void swapFixedInflationZeroCouponMonthlyConstructor() {
    final double zeroCpnRate = 0.02;
    final CouponInflationZeroCouponMonthlyDefinition inflationCpn = new CouponInflationZeroCouponMonthlyDefinition(CUR, PAYMENT_DATE, START_DATE, PAYMENT_DATE, 1.0, NOTIONAL, PRICE_INDEX_EUR,
        MONTH_LAG, 3, REFERENCE_START_DATE_MONTHLY, REFERENCE_END_DATES[0], 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_PIECEWISE.generateInstrument(TODAY, zeroCpnRate, NOTIONAL, ATTRIBUTE);
    assertEquals("Swap zero-coupon inflation constructor", swap, generateSwap);
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            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);
            }
            derivativesForCurve[k++] = getCurveNodeConverter(conventionSource).getDerivative(node, definitionForNode, now, timeSeries);
          } // Node points - end
          for (final CurveTypeConfiguration type : entry.getValue()) { // Type - start
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Related Classes of com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyDefinition

  • com.opengamma.analytics.financial.instrument.index.GeneratorSwapFixedInflationTest
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedInflationZeroCouponDefinitionTest
  • com.opengamma.analytics.financial.interestrate.inflation.derivative.CouponInflationZeroCouponMonthly
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixed
  • com.opengamma.financial.analytics.curve.ZeroCouponInflationNodeConverter
  • com.opengamma.financial.analytics.model.curve.InflationProviderDiscountingFunction$MyCompiledFunctionDefinition
  • org.threeten.bp.LocalDate
  • org.threeten.bp.ZonedDateTime
  • com.opengamma.OpenGammaRuntimeException
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