Examples of com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinition

    @SuppressWarnings("unused")
    MultipleCurrencyMulticurveSensitivity pvcsExact;


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final CouponArithmeticAverageONDefinition ffDefinition = CouponArithmeticAverageONDefinition.from(FEDFUND, ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, TENOR_1Y, USDLIBOR3M, NYC), TENOR_3M,
          NOTIONAL, 0, USDLIBOR3M.getBusinessDayConvention(), true, NYC);
      final CouponArithmeticAverageON ff = ffDefinition.toDerivative(REFERENCE_DATE);
      pvExact = METHOD_FF_EXACT.presentValue(ff, MULTICURVES);
      //      pvExact = METHOD_FF_EXACT.presentValue(FEDFUND_CPN_3MFWD, MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println("CouponArithmeticAverageONDiscountingMethod: " + nbTest + " pv Arithmetic Average ON - Exact: " + (endTime - startTime) + " ms");
    // Performance note: AA ON exact pv: 26-Mar-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 200 ms for 10000 coupons.
    // Performance note: AA ON exact constr. + pv: 26-Mar-2013: On Mac Pro 3.2 GHz Quad-Core Intel Xeon: 460 ms for 10000 coupons.


    startTime = System.currentTimeMillis();
    for (int looptest = 0; looptest < nbTest; looptest++) {
      final CouponArithmeticAverageONDefinition ffDefinition = CouponArithmeticAverageONDefinition.from(FEDFUND, ScheduleCalculator.getAdjustedDate(REFERENCE_DATE, TENOR_1Y, USDLIBOR3M, NYC), TENOR_3M,
          NOTIONAL, 0, USDLIBOR3M.getBusinessDayConvention(), true, NYC);
      final CouponArithmeticAverageON ff = ffDefinition.toDerivative(REFERENCE_DATE);
      pvAppro = METHOD_FF_APPRO.presentValue(ff, MULTICURVES);
      //      pvAppro = METHOD_FF_APPRO.presentValue(FEDFUND_CPN_3MFWD, MULTICURVES);
    }
    endTime = System.currentTimeMillis();
    System.out.println("CouponArithmeticAverageONDiscountingMethod: " + nbTest + " pv Arithmetic Average ON - Approximation: " + (endTime - startTime) + " ms");

      multicurvesCst.replaceCurve(FEDFUND, curveCst);


      for (int loopstart = 0; loopstart < nbStart; loopstart++) {
        effectiveDate[loopstart] = ScheduleCalculator.getAdjustedDate(effectiveDate[0], step.multipliedBy(loopstart), USDLIBOR3M, NYC);
        final ZonedDateTime endDate = ScheduleCalculator.getAdjustedDate(effectiveDate[loopstart], TENOR_3M, USDLIBOR3M, NYC);
        final CouponArithmeticAverageONDefinition cpnONDefinition = CouponArithmeticAverageONDefinition.from(FEDFUND, effectiveDate[loopstart], endDate, NOTIONAL, 0, NYC);
        final CouponArithmeticAverageON cpnON = cpnONDefinition.toDerivative(REFERENCE_DATE);
        // Compute daily forwards
        final int nbON = cpnON.getFixingPeriodAccrualFactors().length;
        final double fwdON[] = new double[nbON];
        for (int loopon = 0; loopon < nbON; loopon++) {
          fwdON[loopon] = multicurvesCst.getForwardRate(FEDFUND, cpnON.getFixingPeriodTimes()[loopon], cpnON.getFixingPeriodTimes()[loopon + 1], cpnON.getFixingPeriodAccrualFactors()[loopon]);

Examples of com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinition

Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponArithmeticAverageONDefinition