Package com.opengamma.analytics.financial.instrument.payment

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

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    ArgumentChecker.notNull(businessDay, "business day convention");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, paymentPeriod, true, false, businessDay, calendar, isEOM);
    final CouponFixedAccruedCompoundingDefinition[] coupons = new CouponFixedAccruedCompoundingDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedAccruedCompoundingDefinition(coupons, calendar);
  }
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    ArgumentChecker.notNull(businessDay, "business day convention");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, maturityDate, frequency, true, false, businessDay, calendar, isEOM);
    final CouponFixedAccruedCompoundingDefinition[] coupons = new CouponFixedAccruedCompoundingDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedAccruedCompoundingDefinition(coupons, calendar);
  }
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    ArgumentChecker.notNull(businessDay, "business day convention");
    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(paymentDatesUnadjusted, businessDay, calendar);
    final CouponFixedAccruedCompoundingDefinition[] coupons = new CouponFixedAccruedCompoundingDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[0], settlementDate, paymentDates[0], dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar),
        sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedAccruedCompoundingDefinition(coupons, calendar);
  }
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    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(settlementDate, maturityDate, period, stubShort, fromEnd);
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(paymentDatesUnadjusted, businessDay, calendar);
    final CouponFixedAccruedCompoundingDefinition[] coupons = new CouponFixedAccruedCompoundingDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[0], settlementDate, paymentDatesUnadjusted[0],
        dayCount.getDayCountFraction(settlementDate, paymentDates[0], calendar), sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[loopcpn], paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn],
          dayCount.getDayCountFraction(paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn], calendar), sign * notional, fixedRate);
    }

    return new AnnuityCouponFixedAccruedCompoundingDefinition(coupons, calendar);
  }
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    final double sign = isPayer ? -1.0 : 1.0;
    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(settlementDate, maturityDate, period, stubShort, fromEnd);
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(paymentDatesUnadjusted, businessDay, calendar);
    final CouponFixedAccruedCompoundingDefinition[] coupons = new CouponFixedAccruedCompoundingDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[0], settlementDate, paymentDatesUnadjusted[0], dayCount.getAccruedInterest(settlementDate, paymentDates[0],
        paymentDates[0], 1.0,
        nbPaymentPerYear), sign * notional, fixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponFixedAccruedCompoundingDefinition(currency, paymentDates[loopcpn], paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn],
          dayCount.getAccruedInterest(
              paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn], paymentDatesUnadjusted[loopcpn], 1.0, nbPaymentPerYear), sign * notional, fixedRate);
    }
    return new AnnuityCouponFixedAccruedCompoundingDefinition(coupons, calendar);
  }
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    final double notionalSigned = sign * notional;
    return from(onCompoundedCoupon, notionalSigned, fixedRate, generator.getOvernightCalendar());
  }

  private static SwapFixedCompoundedONCompoundedDefinition from(final CouponONCompoundedDefinition onCoupon, final double notionalSigned, final double fixedRate, final Calendar calendar) {
    final CouponFixedAccruedCompoundingDefinition cpnFixed = new CouponFixedAccruedCompoundingDefinition(onCoupon.getCurrency(), onCoupon.getPaymentDate(), onCoupon.getAccrualStartDate(), onCoupon
        .getAccrualEndDate(), onCoupon.getPaymentYearFraction(), notionalSigned, fixedRate);
    return new SwapFixedCompoundedONCompoundedDefinition(cpnFixed, onCoupon, calendar);
  }
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      final boolean isCall, final boolean isLong) {
    ArgumentChecker.notNull(expiryDate, "expiry date");
    ArgumentChecker.notNull(underlyingSwap, "underlying swap");
    ArgumentChecker.isTrue(isCall == underlyingSwap.getFixedLeg().isPayer(), "Call flag not in line with underlying");
    //TODO do we need to check that the swaption expiry is consistent with the underlying swap?
    final CouponFixedAccruedCompoundingDefinition firstPayment = underlyingSwap.getFixedLeg().getNthPayment(0);
    _underlyingSwap = underlyingSwap;
    _currency = underlyingSwap.getCurrency();
    _isLong = isLong;
    _settlementDate = underlyingSwap.getFixedLeg().getNthPayment(0).getAccrualStartDate();
    _expiry = new Expiry(expiryDate);
    _strike = firstPayment.getRate();
    _isCall = isCall;
  }
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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponFixedAccruedCompoundingDefinition

  • com.opengamma.analytics.financial.instrument.annuity.AnnuityCouponFixedAccruedCompoundingDefinition
  • com.opengamma.analytics.financial.instrument.swap.SwapFixedCompoundedONCompoundedDefinition
  • com.opengamma.analytics.financial.instrument.swaption.SwaptionCashFixedCompoundedONCompoundingDefinition
  • com.opengamma.analytics.financial.interestrate.payments.derivative.CouponFixedAccruedCompounding
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