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

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

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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 CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(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 CouponFixedDefinition(currency, paymentDates[loopcpn], paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn],
          dayCount.getDayCountFraction(paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn], calendar), sign * notional, fixedRate);
    }

    return new AnnuityCouponFixedDefinition(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 CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(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 CouponFixedDefinition(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 AnnuityCouponFixedDefinition(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, paymentPeriod, true, false, businessDay, calendar, isEOM);
    final CouponFixedDefinition[] coupons = new CouponFixedDefinition[paymentDates.length];
    //First coupon uses settlement date
    coupons[0] = new CouponFixedDefinition(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 CouponFixedDefinition(currency, paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          dayCount.getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), sign * notional, fixedRate);
    }
    return new AnnuityDefinition<>(coupons, calendar);
  }
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  private static SwapFixedONSimplifiedDefinition from(final AnnuityCouponONSimplifiedDefinition oisLeg, final double notionalSigned, final double fixedRate,
      final Calendar calendar) {
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[oisLeg.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < oisLeg.getNumberOfPayments(); loopcpn++) {
      cpnFixed[loopcpn] = new CouponFixedDefinition(oisLeg.getCurrency(), oisLeg.getNthPayment(loopcpn).getPaymentDate(), oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), oisLeg.getNthPayment(
          loopcpn).getAccrualEndDate(), oisLeg.getNthPayment(loopcpn).getPaymentYearFraction(), notionalSigned, fixedRate);
    }
    return new SwapFixedONSimplifiedDefinition(new AnnuityCouponFixedDefinition(cpnFixed, calendar), oisLeg);
  }
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    final ZonedDateTime[] paymentDatesUnadjusted = ScheduleCalculator.getUnadjustedDateSchedule(settlementDate, maturityDate, index.getTenor(), true, false);
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(paymentDatesUnadjusted, index.getBusinessDayConvention(), calendar, false);
    final double sign = isPayer ? -1.0 : 1.0;
    final CouponIborDefinition[] coupons = new CouponIborDefinition[paymentDates.length];
    //First coupon uses settlement date
    CouponFixedDefinition coupon = new CouponFixedDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDatesUnadjusted[0],
        index.getDayCount().getDayCountFraction(settlementDate, paymentDatesUnadjusted[0], calendar), sign * notional, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(settlementDate, -index.getSpotLag(), calendar);
    coupons[0] = CouponIborDefinition.from(coupon, fixingDate, index, calendar);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupon = new CouponFixedDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn],
          index.getDayCount().getDayCountFraction(paymentDatesUnadjusted[loopcpn - 1], paymentDatesUnadjusted[loopcpn], calendar), sign * notional, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(paymentDatesUnadjusted[loopcpn - 1], -index.getSpotLag(), calendar);
      coupons[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, index, calendar);
    }
    return new AnnuityCouponIborDefinition(coupons, index, calendar);
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  }

  private static SwapFixedONDefinition from(final AnnuityCouponONDefinition oisLeg, final double notionalSigned, final double fixedRate, final Calendar calendar) {
    final CouponFixedDefinition[] cpnFixed = new CouponFixedDefinition[oisLeg.getNumberOfPayments()];
    for (int loopcpn = 0; loopcpn < oisLeg.getNumberOfPayments(); loopcpn++) {
      cpnFixed[loopcpn] = new CouponFixedDefinition(oisLeg.getCurrency(), oisLeg.getNthPayment(loopcpn).getPaymentDate(), oisLeg.getNthPayment(loopcpn).getAccrualStartDate(), oisLeg.getNthPayment(
          loopcpn).getAccrualEndDate(), oisLeg.getNthPayment(loopcpn).getPaymentYearFraction(), notionalSigned, fixedRate);
    }
    return new SwapFixedONDefinition(new AnnuityCouponFixedDefinition(cpnFixed, calendar), oisLeg);
  }
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      final Calendar calendar) {
    final ZonedDateTime[] paymentDates = ScheduleCalculator.getAdjustedDateSchedule(settlementDate, annuityTenor, index.getTenor(), index.getBusinessDayConvention(), calendar,
        index.isEndOfMonth());
    final CouponDefinition[] coupons = new CouponDefinition[paymentDates.length];
    final double notionalSign = notional * (isPayer ? -1.0 : 1.0);
    coupons[0] = new CouponFixedDefinition(index.getCurrency(), paymentDates[0], settlementDate, paymentDates[0],
        index.getDayCount().getDayCountFraction(settlementDate, paymentDates[0], calendar), notionalSign, firstCouponFixedRate);
    for (int loopcpn = 1; loopcpn < paymentDates.length; loopcpn++) {
      coupons[loopcpn] = new CouponIborRatchetDefinition(index.getCurrency(), paymentDates[loopcpn], paymentDates[loopcpn - 1], paymentDates[loopcpn],
          index.getDayCount().getDayCountFraction(paymentDates[loopcpn - 1], paymentDates[loopcpn], calendar), notionalSign,
          ScheduleCalculator.getAdjustedDate(paymentDates[loopcpn - 1], -index.getSpotLag(), calendar), index, mainCoefficients, floorCoefficients,
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    if (!found) {
      return 0.0;
    }

    final CouponFixedDefinition currentPeriod = _premium.getNthPayment(couponIndex);
    final ZonedDateTime previousAccrualDate = currentPeriod.getAccrualStartDate();
    final ZonedDateTime nextAccrualDate = currentPeriod.getAccrualEndDate();

    return currentPeriod.getNotional() * AccruedInterestCalculator.getAccruedInterest(
        _convention.getDayCount(), couponIndex, nCoupons, previousAccrualDate, stepinDate, nextAccrualDate,
        currentPeriod.getRate(), Math.round(1.0 / currentPeriod.getPaymentYearFraction()), /* isEOM */ false);
  }
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  @Test
  public void test() {
    final double sign = FIXED_IS_PAYER ? -1.0 : 1.0;
    // Fixed leg
    final CouponFixedDefinition[] couponsFixed = new CouponFixedDefinition[FIXED_PAYMENT_DATES.length];
    couponsFixed[0] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[0], SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0], FIXED_DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, FIXED_PAYMENT_DATES[0]),
        sign * NOTIONAL, RATE);
    for (int loopcpn = 1; loopcpn < FIXED_PAYMENT_DATES.length; loopcpn++) {
      couponsFixed[loopcpn] = new CouponFixedDefinition(CUR, FIXED_PAYMENT_DATES[loopcpn], FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn], FIXED_DAY_COUNT.getDayCountFraction(
          FIXED_PAYMENT_DATES[loopcpn - 1], FIXED_PAYMENT_DATES[loopcpn]), sign * NOTIONAL, RATE);
    }
    final AnnuityCouponFixedDefinition fixedAnnuity = new AnnuityCouponFixedDefinition(couponsFixed, CALENDAR);
    // Ibor leg
    final CouponIborDefinition[] couponsIbor = new CouponIborDefinition[IBOR_PAYMENT_DATES.length];
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[0], SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0]),
        -sign * NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    couponsIbor[0] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
    for (int loopcpn = 1; loopcpn < IBOR_PAYMENT_DATES.length; loopcpn++) {
      coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[loopcpn], IBOR_PAYMENT_DATES[loopcpn - 1], IBOR_PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(IBOR_PAYMENT_DATES[loopcpn - 1],
          IBOR_PAYMENT_DATES[loopcpn]), -sign * NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(IBOR_PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      couponsIbor[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
    }
    final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(couponsIbor, IBOR_INDEX, CALENDAR);
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  @Test(expectedExceptions = IllegalArgumentException.class)
  public void testNullFixedLeg() {
    // Ibor leg
    final CouponIborDefinition[] couponsIbor = new CouponIborDefinition[IBOR_PAYMENT_DATES.length];
    CouponFixedDefinition coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[0], SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0], DAY_COUNT.getDayCountFraction(SETTLEMENT_DATE, IBOR_PAYMENT_DATES[0]),
        NOTIONAL, 0.0);
    ZonedDateTime fixingDate = ScheduleCalculator.getAdjustedDate(SETTLEMENT_DATE, -SETTLEMENT_DAYS, CALENDAR);
    couponsIbor[0] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
    for (int loopcpn = 1; loopcpn < IBOR_PAYMENT_DATES.length; loopcpn++) {
      coupon = new CouponFixedDefinition(CUR, IBOR_PAYMENT_DATES[loopcpn], IBOR_PAYMENT_DATES[loopcpn - 1], IBOR_PAYMENT_DATES[loopcpn], DAY_COUNT.getDayCountFraction(IBOR_PAYMENT_DATES[loopcpn - 1],
          IBOR_PAYMENT_DATES[loopcpn]), NOTIONAL, 0.0);
      fixingDate = ScheduleCalculator.getAdjustedDate(IBOR_PAYMENT_DATES[loopcpn - 1], -SETTLEMENT_DAYS, CALENDAR);
      couponsIbor[loopcpn] = CouponIborDefinition.from(coupon, fixingDate, IBOR_INDEX, CALENDAR);
    }
    final AnnuityCouponIborDefinition iborAnnuity = new AnnuityCouponIborDefinition(couponsIbor, IBOR_INDEX, CALENDAR);
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Related Classes of com.opengamma.analytics.financial.instrument.payment.CouponFixedDefinition

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