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

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

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

com.opengamma.analytics.financial.instrument.inflation.CouponInflationZeroCouponMonthlyGearingDefinition
Class describing an zero-coupon inflation coupon were the inflation figure are the one of the reference month (not interpolated) and the inflation increment is multiplied by a gearing factor. 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 factor*(Index_End / Index_Start - X) with X=0 for notional payment and X=1 for no notional payment.

   */
  public static BondCapitalIndexedSecurityDefinition<CouponInflationZeroCouponMonthlyGearingDefinition> fromMonthly(final IndexPrice priceIndex, final int monthLag, final ZonedDateTime startDate,
      final double indexStartValue, final ZonedDateTime maturityDate, final Period couponPeriod, final double notional, final double realRate, final BusinessDayConvention businessDay,
      final int settlementDays, final Calendar calendar, final DayCount dayCount, final YieldConvention yieldConvention, final boolean isEOM, final String issuer) {
    // Nominal construction
    final CouponInflationZeroCouponMonthlyGearingDefinition nominalPayment = CouponInflationZeroCouponMonthlyGearingDefinition.from(startDate, maturityDate, notional, priceIndex, indexStartValue,
        monthLag,
        monthLag, true, 1.0);
    final AnnuityDefinition<CouponInflationZeroCouponMonthlyGearingDefinition> nominalAnnuity = new AnnuityDefinition<>(
        new CouponInflationZeroCouponMonthlyGearingDefinition[] {nominalPayment }, calendar);
    // Coupon construction

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  public static BondCapitalIndexedSecurityDefinition<CouponInflationZeroCouponMonthlyGearingDefinition> fromMonthly(final IndexPrice priceIndex, final int monthLag, final ZonedDateTime startDate,
      final double indexStartValue, final ZonedDateTime firstCouponDate, final ZonedDateTime maturityDate, final Period couponPeriod, final double notional, final double realRate,
      final BusinessDayConvention businessDay, final int settlementDays, final Calendar calendar, final DayCount dayCount, final YieldConvention yieldConvention, final boolean isEOM,
      final String issuer) {
    // Nominal construction
    final CouponInflationZeroCouponMonthlyGearingDefinition nominalPayment = CouponInflationZeroCouponMonthlyGearingDefinition.from(startDate, maturityDate, notional, priceIndex, indexStartValue,
        monthLag,
        monthLag, true, 1.0);
    final AnnuityDefinition<CouponInflationZeroCouponMonthlyGearingDefinition> nominalAnnuity = new AnnuityDefinition<>(
        new CouponInflationZeroCouponMonthlyGearingDefinition[] {nominalPayment }, calendar);
    // Coupon construction

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  /**
   * Tests the bond constructors.
   */
  public void constructorGilts() {
    // Nominal construction
    final CouponInflationZeroCouponMonthlyGearingDefinition nominalPayment = CouponInflationZeroCouponMonthlyGearingDefinition.from(START_DATE_GILT_1,
        MATURITY_DATE_GILT_1, NOTIONAL_GILT_1, PRICE_INDEX_UKRPI, INDEX_START_GILT_1, MONTH_LAG_GILT_1, MONTH_LAG_GILT_1, true, 1.0);
    final AnnuityDefinition<CouponInflationZeroCouponMonthlyGearingDefinition> nominalAnnuity = new AnnuityDefinition<>(
        new CouponInflationZeroCouponMonthlyGearingDefinition[] {nominalPayment }, CALENDAR_GBP);
    // Coupon construction
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(FIRST_COUPON_DATE_GILT_1, MATURITY_DATE_GILT_1, COUPON_PERIOD_GILT_1,

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