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

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

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

com.opengamma.analytics.financial.instrument.payment.CouponFixedCompoundingDefinition
Class describing a fixed compounded coupon. The fixed rate is compounded over several sub-periods. The amount paid is equal to $$ \begin{equation*} \left(\prod_{i=1}^n (1+\delta_i r) \right)-1 \end{equation*} $$ where the $\delta_i$ are the accrual factors of the sub periods and the $r$ the fixed rate for the same periods.

   */
  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);
    assertEquals("Swap zero-coupon inflation constructor", swap, swapFrom);
  }

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   */
  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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   */
  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 InstrumentDefinition<?> definitionForNode = node.getCurveNode().accept(getCurveNodeConverter(conventionSource, holidaySource, regionSource,
                snapshot, node.getIdentifier(), timeSeries, now));
            // 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);
            }
            derivativesForCurve[k++] = getCurveNodeConverter(conventionSource).getDerivative(node, definitionForNode, now, timeSeries);
          } // Node points - end
          for (final CurveTypeConfiguration type : entry.getValue()) { // Type - start
            if (type instanceof InflationCurveTypeConfiguration) {

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